Jean-Paul Renne : Citation Profile


Are you Jean-Paul Renne?

Université de Lausanne

12

H index

13

i10 index

423

Citations

RESEARCH PRODUCTION:

25

Articles

29

Papers

1

Books

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 24
   Journals where Jean-Paul Renne has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 12 (2.76 %)

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   Permalink: http://citec.repec.org/pre174
   Updated: 2020-10-17    RAS profile: 2020-06-12    
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Relations with other researchers


Works with:

Monfort, Alain (10)

Mouabbi, Sarah (6)

Roussellet, Guillaume (6)

gourieroux, christian (4)

Pegoraro, Fulvio (4)

Grishchenko, Olesya (2)

Fries, Sebastien (2)

Mésonnier, Jean-Stéphane (2)

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

Is cited by:

Klose, Jens (15)

Belke, Ansgar (13)

Mojon, Benoit (10)

Kose, Ayhan (8)

Moneta, Alessio (7)

Beetsma, Roel (7)

Canofari, Paolo (6)

Delatte, Anne-Laure (6)

Piersanti, Giovanni (6)

Chernov, Mikhail (6)

Moessner, Richhild (5)

Cites to:

Rudebusch, Glenn (26)

Monfort, Alain (24)

Williams, John (19)

Pegoraro, Fulvio (18)

Piazzesi, Monika (16)

Orphanides, Athanasios (16)

Svensson, Lars (15)

Ang, Andrew (11)

Singleton, Kenneth (9)

Hamilton, James (9)

gourieroux, christian (8)

Main data


Where Jean-Paul Renne has published?


Journals with more than one article published# docs
Journal of Econometrics4
conomie et Prvision3
Economie & Prvision3
International Journal of Finance & Economics2
Journal of Banking & Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8

Recent works citing Jean-Paul Renne (2020 and 2019)


YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2020A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954.

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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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2020Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2019Anchored or de-anchored? That is the question. (2019). Tagliabracci, Alex ; Neri, Stefano ; Corsello, Francesco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_516_19.

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2020Disastrous Defaults. (2020). Mouabbi, Sarah ; Jean-Paul, Renne ; Sarah, Mouabbi ; Alain, Monfort ; Christian, Gourieroux. In: Working papers. RePEc:bfr:banfra:778.

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2020The pass-through from short-horizon to long-horizon inflation expectations. (2020). Yetman, James. In: BIS Papers chapters. RePEc:bis:bisbpc:111-07.

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2019Why have interest rates fallen far below the return on capital. (2019). Mojon, Benoit ; Velde, Franois R ; Marx, Magali. In: BIS Working Papers. RePEc:bis:biswps:794.

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2019Inflation expectations anchoring: new insights from micro evidence of a survey at high-frequency and of distributions. (2019). Moessner, Richhild ; Galati, Gabriele ; Teppa, Federica ; Apokoritis, Nikos. In: BIS Working Papers. RePEc:bis:biswps:809.

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2019Euro area longer-term inflation expectations revisited. (2019). Zekaite, Zivile ; Byrne, David. In: Economic Letters. RePEc:cbi:ecolet:12/el/19.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13601.

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2019Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14105.

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2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

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2019Inflation expectations anchoring: new insights from micro evidence of a survey at high-frequency and of distributions. (2019). Moessner, Richhild ; Galati, Gabriele ; Teppa, Federica ; Apokoritis, Nikos. In: DNB Working Papers. RePEc:dnb:dnbwpp:652.

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2020The anchoring of long-term inflation expectations of consumers: insights from a new survey. (2020). Moessner, Richhild ; van Rooij, Maarten ; Galati, Gabriele. In: DNB Working Papers. RePEc:dnb:dnbwpp:688.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Fiscal multipliers with financial fragmentation risk and interactions with monetary policy. (2020). Papadopoulou, Niki ; DARRACQ PARIES, Matthieu ; Muller, Georg. In: Working Paper Series. RePEc:ecb:ecbwps:20202418.

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2020Equilibrium real interest rates and the financial cycle: Empirical evidence for Euro area member countries. (2020). Klose, Jens ; Belke, Ansgar. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:357-366.

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2020Impact of the Asset Purchase Programme on euro area government bond yields using market news. (2020). de Santis, Roberto A. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:192-209.

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2020Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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2020GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2019U.S. municipal yields and unfunded state pension liabilities. (2019). Ponds, Eduard ; Beetsma, Roel ; Leknit, Zina. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:15-32.

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2020The transmission of monetary policy in emerging economies during tranquil and turbulent periods. (2020). Salisu, Afees ; Isah, Kazeem ; Belonwu, Maximillian ; Omosola, Adebola ; Musa, Abdullahi ; Yakubu, Jibrin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319307147.

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2020Measuring the natural rate of interest in a commodity exporting economy: Evidence from Mongolia. (2020). Gantumur, Munkhbayar ; Doojav, Gan-Ochir. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:199-218.

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2019What are the real effects of financial market liquidity? Evidence on bank lending from the euro area. (2019). Pliszka, Kamil ; Foos, Daniel ; Dombret, Andreas R ; Schulz, Alexander. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:152-183.

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2019J-liquidity measure: The term structure of the liquidity premium in Japan. (2019). Hattori, Takahiro. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:61-72.

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2020Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector. (2020). Lepers, Etienne ; Grothe, Magdalena ; Bengtsson, Elias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302935.

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2019The natural rate of interest and the financial cycle. (2019). Krustev, Georgi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:193-210.

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2019Expectation and duration at the effective lower bound. (2019). King, Thomas B. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:736-760.

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2019Instability, imprecision and inconsistent use of equilibrium real interest rate estimates. (2019). Wieland, Volker ; Robert, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:1-14.

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2019Three dimensions of central bank credibility and inferential expectations: The Euro zone. (2019). Zizzo, Daniel ; Henckel, Timo ; Moffatt, Peter ; Menzies, Gordon D. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:294-308.

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2019Data-driven structural BVAR analysis of unconventional monetary policy. (2019). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:1.

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2019Natural rates across the Atlantic. (2019). Neri, Stefano ; Gerali, Andrea. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:62:y:2019:i:c:s0164070417304652.

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2020Asset price bubbles in a monetary union: Mind the convergence gap. (2020). Czerniak, Adam ; Borowski, Jakub ; Rosati, Dariusz ; Boratyski, Jakub. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:288-302.

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2020Nonperforming loans and competing rules of monetary policy: A statistical identification approach. (2020). Moneta, Alessio ; Lopreite, Milena ; Califano, Andrea ; Brancaccio, Emiliano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:127-136.

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2019A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110.

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2019Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2020The costs of macroprudential deleveraging in a liquidity trap. (2020). Walentin, Karl ; Lindé, Jesper ; Finocchiaro, Daria ; Chen, Jiaqian. In: Working Paper Series. RePEc:hhs:rbnkwp:0389.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1904.

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2020Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials. (2020). Klincevicius, Vitalijus ; Jurksas, Linas. In: Bank of Lithuania Discussion Paper Series. RePEc:lie:dpaper:20.

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2019Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases. (2019). Carcel, Hector ; Jurksas, Linas . In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:60.

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2019Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas. In: NBER Working Papers. RePEc:nbr:nberwo:26429.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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2019Proxy-SVAR as a Bridge for Identification with Higher Frequency Data. (2019). Vicondoa, Alejandro ; Gazzani, Andrea Giovanni. In: 2019 Meeting Papers. RePEc:red:sed019:855.

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2019Forecasting ECB Policy Rates with Different Monetary Policy Rules. (2019). Klose, Jens ; Belke, Ansgar. In: ROME Working Papers. RePEc:rmn:wpaper:201906.

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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2019Estimating the Economy-Wide Rebound Effect Using Empirically Identified Structural Vector Autoregressions. (2019). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: LEM Papers Series. RePEc:ssa:lemwps:2019/27.

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2019Exporting and productivity as part of the growth process: Causal evidence from a data-driven structural VAR. (2019). Moneta, Alessio ; Coad, Alex ; Ciarli, Tommaso. In: LEM Papers Series. RePEc:ssa:lemwps:2019/39.

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2020Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2020). Pallante, Gianluca ; Moneta, Alessio. In: LEM Papers Series. RePEc:ssa:lemwps:2020/24.

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2020R-star in Transition Economies: Evidence from Slovakia. (2020). Kupkovic, Patrik. In: Working and Discussion Papers. RePEc:svk:wpaper:1071.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle. (2019). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:375.

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2019Quantifying the transmission of European sovereign default risk. (2019). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Preprints. RePEc:zbw:esprep:193632.

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2019Forecasting ECB policy rates with different monetary policy rules. (2019). Klose, Jens ; Belke, Ansgar. In: Ruhr Economic Papers. RePEc:zbw:rwirep:815.

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2019Safe haven flows, natural interest rates and secular stagnation: Empirical evidence for euro area countries. (2019). Klose, Jens ; Belke, Ansgar. In: Ruhr Economic Papers. RePEc:zbw:rwirep:831.

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2019Do monetary unions dream of structural reforms?. (2019). Wörgötter, Andreas ; LOEWALD, Christopher ; Worgotter, Andreas. In: ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy. RePEc:zbw:tuweco:012019.

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Works by Jean-Paul Renne:


YearTitleTypeCited
2004A Time-Varying Natural Rate for the Euro Area In: Working papers.
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paper2
2004Règle de Taylor et politique monétaire dans la zone euro In: Working papers.
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paper7
2007Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers.
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paper2
2009Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers.
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paper2
2009Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers.
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paper23
2011Default, liquidity and crises: an econometric framework In: Working papers.
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paper4
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
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article
2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers.
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paper65
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
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2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
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2012A model of the euro-area yield curve with discrete policy rates. In: Working papers.
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2017A model of the euro-area yield curve with discrete policy rates.(2017) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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2013Regime Switching and Bond Pricing. In: Working papers.
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2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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2014A Quadratic Kalman Filter In: Working papers.
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2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
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2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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2016National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers.
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2018National natural rates of interest and the single monetary policy in the euro area.(2018) In: Journal of Applied Econometrics.
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2017The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. In: Working papers.
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2012La mesure du risque systémique. Synthèse de la conférence donnée à la Banque de France, par Robert F. Engle, prix Nobel d’économie, le 25 janvier 2012 In: Bulletin de la Banque de France.
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2012The measurement of systemic risk. Summary of a lecture given by Robert F. Engle, winner of the Nobel Prize in Economics, Banque de France, 25 January 2012 In: Quarterly selection of articles - Bulletin de la Banque de France.
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2006Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision.
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2006Caractéristiques des marchés du travail dans les pays de lOCDE.(2006) In: Économie et Prévision.
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2007Quelles sont les parts cyclique et structurelle du chômage en France ? In: Economie & Prévision.
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2007Quelles sont les parts cyclique et structurelle du chômage en France ?.(2007) In: Économie et Prévision.
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2008Réformes fiscales dans un modèle DSGE France en économie ouverte In: Economie & Prévision.
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2008Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision.
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2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
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paper51
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
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2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
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2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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2013Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine.
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2020Taming Debt: Can GDP-Linked Bonds Do the Trick? In: EconomiX Working Papers.
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2007A time-varying natural rate of interest for the euro area In: European Economic Review.
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2004A Time Varying Natural Rate of Interest for the Euro Area.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2016A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research.
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2014Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance.
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2017Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison In: Finance and Economics Discussion Series.
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2019Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison.(2019) In: Journal of Money, Credit and Banking.
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2013The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers.
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2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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2014PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT In: International Journal of Finance & Economics.
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2014USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT In: International Journal of Finance & Economics.
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