13
H index
17
i10 index
664
Citations
Université de Lausanne | 13 H index 17 i10 index 664 Citations RESEARCH PRODUCTION: 29 Articles 35 Papers 1 Books RESEARCH ACTIVITY: 19 years (2003 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pre174 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Paul Renne. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Economie & Prvision | 3 |
conomie et Prvision | 3 |
International Journal of Finance & Economics | 2 |
Review of Finance | 2 |
The Journal of Financial Econometrics | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Center for Research in Economics and Statistics | 8 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper |
2023 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper |
2023 | Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173. Full description at Econpapers || Download paper |
2023 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
2023 | How to Deal With Missing Observations in Surveys of Professional Forecasters. (2023). Burgi, Constantin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10203. Full description at Econpapers || Download paper |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper |
2023 | Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169. Full description at Econpapers || Download paper |
2023 | Estimated monetary policy rules for the ECB with granular variations of forecast horizons for inflation and output. (2023). Klose, Jens. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s026499932300278x. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201. Full description at Econpapers || Download paper |
2023 | Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847. Full description at Econpapers || Download paper |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper |
2023 | Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604. Full description at Econpapers || Download paper |
2023 | Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314. Full description at Econpapers || Download paper |
2023 | Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System. (2023). Dong, YU ; Zha, Yong ; Li, Quan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:644-658. Full description at Econpapers || Download paper |
2023 | An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121. Full description at Econpapers || Download paper |
2023 | What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037. Full description at Econpapers || Download paper |
2023 | Asset purchase bailouts and endogenous implicit guarantees. (2023). Mengus, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:142:y:2023:i:c:s0022199623000235. Full description at Econpapers || Download paper |
2023 | Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259. Full description at Econpapers || Download paper |
2023 | Mask mandates save lives. (2023). Mano, Rui C ; Hansen, Niels-Jakob H. In: Journal of Health Economics. RePEc:eee:jhecon:v:88:y:2023:i:c:s0167629622001357. Full description at Econpapers || Download paper |
2023 | Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931. Full description at Econpapers || Download paper |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031. Full description at Econpapers || Download paper |
2023 | Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239. Full description at Econpapers || Download paper |
2023 | Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666. Full description at Econpapers || Download paper |
2023 | Managing Information Sensitivity: The Relationship between the Interbank Offered Rate and the Characteristics of Bank-Issued Wealth Management Products in China. (2023). Chen, Chunhui ; Bai, Gang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1392-:d:1032318. Full description at Econpapers || Download paper |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
2023 | The effect of quantitative easing and quantitative tightening on U.S. equity REIT returns. (2023). Song, Han-Suck ; Axelsson, Birger. In: Working Paper Series. RePEc:hhs:kthrec:2023_009. Full description at Econpapers || Download paper |
2023 | Anchoring of Inflation Expectations and the Role of Monetary Policy and Cost-Push Factors. (2023). Czudaj, Robert L. In: MPRA Paper. RePEc:pra:mprapa:119029. Full description at Econpapers || Download paper |
2023 | The costs of macroprudential deleveraging in a liquidity trap. (). Walentin, Karl ; Linde, Jesper ; Finocchiaro, Daria ; Chen, Jiaqian. In: Review of Economic Dynamics. RePEc:red:issued:22-100. Full description at Econpapers || Download paper |
2023 | Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?. (2023). Sousa, Ricardo ; Castro, Vitor ; Agnello, Luca. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:2:d:10.1007_s00181-022-02265-x. Full description at Econpapers || Download paper |
2023 | A monetary policy reaction function through Taylor rule vision: evidence from Tunisia. (2023). Kilani, Hadda ; Mna, Ali. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:8:d:10.1007_s43546-023-00532-2. Full description at Econpapers || Download paper |
2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
2023 | Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07. Full description at Econpapers || Download paper |
2023 | Imperfect Information and Hidden Dynamics. (2023). Levine, Paul ; Yang, BO ; Wright, Stephen ; Pearlman, Joseph. In: School of Economics Discussion Papers. RePEc:sur:surrec:1223. Full description at Econpapers || Download paper |
2023 | Forecasting sovereign risk in the Euro area via machine learning. (2023). Istrefi, Klodiana ; CAICEDO GRACIANO, Carlos Mateo ; Boeckelmann, Lukas ; di Iorio, Alberto ; Belly, Guillaume ; Stallabourdillon, Arthur ; Siakoulis, Vasileios. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:657-684. Full description at Econpapers || Download paper |
2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers. [Full Text][Citation analysis] | paper | 9 |
2004 | A Time-Varying Natural Rate for the Euro Area In: Working papers. [Full Text][Citation analysis] | paper | 11 |
2004 | Règle de Taylor et politique monétaire dans la zone euro In: Working papers. [Full Text][Citation analysis] | paper | 8 |
2007 | Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers. [Full Text][Citation analysis] | paper | 29 |
2011 | Default, liquidity and crises: an econometric framework In: Working papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2013 | Default, Liquidity, and Crises: an Econometric Framework.(2013) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2011 | Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers. [Full Text][Citation analysis] | paper | 64 |
2011 | Credit and liquidity risks in euro area sovereign yield curves In: Working papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2012 | A model of the euro-area yield curve with discrete policy rates. In: Working papers. [Full Text][Citation analysis] | paper | 10 |
2017 | A model of the euro-area yield curve with discrete policy rates.(2017) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 21 |
2016 | Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2013 | Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers. [Full Text][Citation analysis] | paper | 10 |
2013 | Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2014 | Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2014 | Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2014 | A Quadratic Kalman Filter In: Working papers. [Full Text][Citation analysis] | paper | 5 |
2015 | A Quadratic Kalman Filter.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2015 | Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 35 |
2017 | Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2017 | Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2016 | National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers. [Full Text][Citation analysis] | paper | 39 |
2018 | National natural rates of interest and the single monetary policy in the euro area.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
2017 | The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. In: Working papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Disastrous Defaults In: Working papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Disastrous Defaults*.(2021) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2021 | Disastrous Defaults.(2021) In: TSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective In: Working papers. [Full Text][Citation analysis] | paper | 0 |
2012 | La 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. [Full Text][Citation analysis] | article | 0 |
2012 | The 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. [Full Text][Citation analysis] | article | 0 |
2006 | Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision. [Full Text][Citation analysis] | article | 1 |
2006 | Caractéristiques des marchés du travail dans les pays de lOCDE.(2006) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2007 | Quelles sont les parts cyclique et structurelle du chômage en France ? In: Economie & Prévision. [Full Text][Citation analysis] | article | 0 |
2007 | Quelles sont les parts cyclique et structurelle du chômage en France ?.(2007) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2008 | Réformes fiscales dans un modèle DSGE France en économie ouverte In: Economie & Prévision. [Full Text][Citation analysis] | article | 4 |
2008 | Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2003 | Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
2016 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 83 |
2017 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2017 | Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
2017 | Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2020 | Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine. [Full Text][Citation analysis] | book | 0 |
2020 | Taming Debt: Can GDP-Linked Bonds Do the Trick? In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
2022 | Required Capital for Long-Run Risks.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | A time-varying natural rate of interest for the euro area In: European Economic Review. [Full Text][Citation analysis] | article | 100 |
2004 | A Time Varying Natural Rate of Interest for the Euro Area.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 100 | paper | |
2016 | A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 6 |
2014 | Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2017 | Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 31 |
2019 | Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison.(2019) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
2020 | Identification and Estimation in Nonfundamental Structural Models In: Post-Print. [Citation analysis] | paper | 2 |
2013 | The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers. [Full Text][Citation analysis] | paper | 33 |
2014 | Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance. [Full Text][Citation analysis] | article | 32 |
2022 | Understanding Swiss real interest rates in a financially globalized world In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2014 | PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2014 | USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
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