Jean-Sebastien Fontaine : Citation Profile


Are you Jean-Sebastien Fontaine?

Bank of Canada

3

H index

2

i10 index

123

Citations

RESEARCH PRODUCTION:

7

Articles

24

Papers

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 12
   Journals where Jean-Sebastien Fontaine has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 9 (6.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfo255
   Updated: 2019-04-20    RAS profile: 2019-01-31    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Feunou, Bruno (7)

Walton, Adrian (4)

Garcia, René (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Sebastien Fontaine.

Is cited by:

Hubert, Paul (7)

Renne, Jean-Paul (4)

Venter, Gyuri (3)

Vayanos, Dimitri (3)

Gungor, Sermin (3)

Christoffersen, Peter (3)

Bekaert, Geert (3)

Bulusu, Narayan (3)

Monfort, Alain (3)

Mueller, Philippe (3)

Jin, Jianjian (2)

Cites to:

Vayanos, Dimitri (13)

Piazzesi, Monika (13)

Ang, Andrew (9)

Campbell, John (8)

Singleton, Kenneth (6)

Shiller, Robert (6)

Pedersen, Lasse (6)

Duffee, Greg (4)

Feunou, Bruno (4)

Hamilton, James (4)

Duffie, Darrell (4)

Main data


Where Jean-Sebastien Fontaine has published?


Journals with more than one article published# docs
Bank of Canada Review3
Review of Finance2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada12
Staff Analytical Notes / Bank of Canada9

Recent works citing Jean-Sebastien Fontaine (2019 and 2018)


YearTitle of citing document
2018Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance. (2018). Michel, Lok Man ; Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_300.

Full description at Econpapers || Download paper

2017What Explains Month-End Funding Pressure in Canada?. (2017). Sutherland, Christopher S. In: Discussion Papers. RePEc:bca:bocadp:17-9.

Full description at Econpapers || Download paper

2018Government of Canada Securities in the Cash, Repo and Securities Lending Markets. (2018). Bulusu, Narayan ; Gungor, Sermin . In: Discussion Papers. RePEc:bca:bocadp:18-4.

Full description at Econpapers || Download paper

2018The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market. (2018). Gao, Jeffrey ; Thompson, Jacob ; Jin, Jianjian . In: Staff Working Papers. RePEc:bca:bocawp:18-35.

Full description at Econpapers || Download paper

2018Monetary Policy Uncertainty: A Tale of Two Tails. (2018). Sekhposyan, Tatevik ; Dahlhaus, Tatjana. In: Staff Working Papers. RePEc:bca:bocawp:18-50.

Full description at Econpapers || Download paper

2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

Full description at Econpapers || Download paper

2017Central bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Bank of England working papers. RePEc:boe:boeewp:0672.

Full description at Econpapers || Download paper

2017Monetary Momentum. (2017). Weber, Michael ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6648.

Full description at Econpapers || Download paper

2018The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada. (2018). Kilian, Lutz ; Zhou, Xiaoqing. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7005.

Full description at Econpapers || Download paper

2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

Full description at Econpapers || Download paper

2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

Full description at Econpapers || Download paper

2017Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

Full description at Econpapers || Download paper

2018Funding constraints and liquidity in two-tiered OTC markets. (2018). Benos, Evangelos ; Ike, Filip. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:24-43.

Full description at Econpapers || Download paper

2017Bond repurchase objectives and the repurchase method choice. (2017). Levy, Hagit ; Shalev, Ron . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:63:y:2017:i:2:p:385-403.

Full description at Econpapers || Download paper

2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

Full description at Econpapers || Download paper

2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

Full description at Econpapers || Download paper

2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

Full description at Econpapers || Download paper

2018Momentum and funding conditions. (2018). Garcia-Feijoo, Luis ; Jensen, Tyler K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:312-329.

Full description at Econpapers || Download paper

2018What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?. (2018). Liu, Zhuoshi ; Vangelista, Elisabetta ; Relleen, Jon ; Kaminska, Iryna . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:76-96.

Full description at Econpapers || Download paper

2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

Full description at Econpapers || Download paper

2017Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

Full description at Econpapers || Download paper

2018Leverage constraints and asset prices: Insights from mutual fund risk taking. (2018). Boguth, Oliver ; Simutin, Mikhail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:325-341.

Full description at Econpapers || Download paper

2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

Full description at Econpapers || Download paper

2018The dynamics of financially constrained arbitrage. (2018). Vayanos, Dimitri ; Gromb, Denis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84081.

Full description at Econpapers || Download paper

2017Central Bank Information and the effects of Monetary shocks. (2017). Hubert, Paul. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1719.

Full description at Econpapers || Download paper

2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Andreasen, Martin M ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

Full description at Econpapers || Download paper

2017International Illiquidity. (2017). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek. In: International Finance Discussion Papers. RePEc:fip:fedgif:1201.

Full description at Econpapers || Download paper

2017Reversals in Global Market Integration and Funding Liquidity. (2017). Akbari, Amir ; Malkhozov, Aytek ; Carrieri, Francesca. In: International Finance Discussion Papers. RePEc:fip:fedgif:1202.

Full description at Econpapers || Download paper

2018Bank-intermediated arbitrage. (2018). Van Tassel, Peter ; Shachar, Or ; Eisenbach, Thomas ; Boyarchenko, Nina ; Gupta, Pooja. In: Staff Reports. RePEc:fip:fednsr:858.

Full description at Econpapers || Download paper

2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

Full description at Econpapers || Download paper

2018Aspects of implementing unconventional monetary policy in New Zealand. (2018). Richardson, Adam ; Perry, Roger ; Drought, Sarah . In: Reserve Bank of New Zealand Bulletin. RePEc:nzb:nzbbul:may2018:4.

Full description at Econpapers || Download paper

2018Forecasting Bond Yields with Segmented Term Structure Models. (2018). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Kubudi, Daniela ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:1-33..

Full description at Econpapers || Download paper

2017Resolving the Spanning Puzzle in Macro-Finance Term Structure Models. (2017). Rudebusch, Glenn ; Bauer, Michael. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:2:p:511-553..

Full description at Econpapers || Download paper

2018Notes on Bonds: Illiquidity Feedback During the Financial Crisis. (2018). Musto, David ; Schwarz, Krista ; Nini, Greg. In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:8:p:2983-3018..

Full description at Econpapers || Download paper

2019The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains. (2019). Cekin, Semih Emre ; Gupta, Rangan ; Tiwari, Aviral Kumar ; Hkiri, Besma. In: Working Papers. RePEc:pre:wpaper:201904.

Full description at Econpapers || Download paper

2017Monetary Policy and the Stock Market: Time Series Evidence. (2017). Weber, Michael ; Neuhierl, Andreas. In: 2017 Meeting Papers. RePEc:red:sed017:304.

Full description at Econpapers || Download paper

2017Central Bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1mtnt18l7t904biebogfm7hcao.

Full description at Econpapers || Download paper

2017Central Bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn.

Full description at Econpapers || Download paper

2017Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2017). Moinas, Sophie ; Valentex, Giorgio ; Nguyen, Minh. In: TSE Working Papers. RePEc:tse:wpaper:31753.

Full description at Econpapers || Download paper

2018Zero-coupon interest rates: Evaluating three alternative datasets. (2018). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201867.

Full description at Econpapers || Download paper

2017The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets. (2017). Driessen, Joost ; Simon, Zorka ; Nijman, Theo E. In: SAFE Working Paper Series. RePEc:zbw:safewp:183.

Full description at Econpapers || Download paper

2018Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds. (2018). Driessen, Joost ; Simon, Zorka ; Nijman, Theodore E. In: SAFE Working Paper Series. RePEc:zbw:safewp:238.

Full description at Econpapers || Download paper

Works by Jean-Sebastien Fontaine:


YearTitleTypeCited
2012Access, Competition and Risk in Centrally Cleared Markets In: Bank of Canada Review.
[Full Text][Citation analysis]
article3
2012Access, Competition and Risk in Centrally Cleared Markets.(2012) In: Bank of Canada Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2017Unconventional Monetary Policy: The Perspective of a Small Open Economy? In: Bank of Canada Review.
[Full Text][Citation analysis]
article2
2017Repo Market Functioning when the Interest Rate Is Low or Negative In: Discussion Papers.
[Full Text][Citation analysis]
paper2
2009Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers.
[Full Text][Citation analysis]
paper0
2009Bond Liquidity Premia In: Staff Working Papers.
[Full Text][Citation analysis]
paper86
2012Bond Liquidity Premia.(2012) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86
article
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
[Full Text][Citation analysis]
paper11
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2012When Lower Risk Increases Profit: Competition and Control of a Central Counterparty In: Staff Working Papers.
[Full Text][Citation analysis]
paper1
2012Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers.
[Full Text][Citation analysis]
paper2
2012Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy In: Staff Working Papers.
[Full Text][Citation analysis]
paper1
2014Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers.
[Full Text][Citation analysis]
paper1
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
[Full Text][Citation analysis]
paper4
2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2015Tractable Term-Structure Models and the Zero Lower Bound In: Staff Working Papers.
[Full Text][Citation analysis]
paper3
2016What Fed Funds Futures Tell Us About Monetary Policy Uncertainty In: Staff Working Papers.
[Full Text][Citation analysis]
paper3
2017Measuring Limits of Arbitrage in Fixed-Income Markets In: Staff Working Papers.
[Full Text][Citation analysis]
paper2
2017What Drives Episodes of Settlement Fails in the Government of Canada Bond Market? In: Staff Working Papers.
[Full Text][Citation analysis]
paper0
2015Foreign Flows and Their Effects on Government of Canada Yields In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2016The Share of Systematic Variations in the Canadian Dollar—Part I In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper1
2018The Share of Systematic Variations in the Canadian Dollar—Part III.(2018) In: Staff Analytical Notes.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2017The Share of Systemic Variations in the Canadian Dollar—Part II In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2017Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets? In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2018The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2019The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2019Price Caps in Canadian Bond Borrowing Markets In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2019Prix plafonds sur les marchés canadiens des emprunts d’obligations In: Staff Analytical Notes.
[Full Text][Citation analysis]
paper0
2017Implied volatility and skewness surface In: Review of Derivatives Research.
[Full Text][Citation analysis]
article1
2014Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team