12
H index
14
i10 index
598
Citations
Université de Lausanne | 12 H index 14 i10 index 598 Citations RESEARCH PRODUCTION: 29 Articles 35 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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 |
Journal of Banking & Finance | 2 |
The Journal of Financial Econometrics | 2 |
Review of Finance | 2 |
International Journal of Finance & Economics | 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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2022 | Informational Content of Factor Structures in Simultaneous Binary Response Models. (2019). Maurel, Arnaud ; Zhang, Yichong ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:1910.01318. Full description at Econpapers || Download paper |
2021 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper |
2022 | Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663. Full description at Econpapers || Download paper |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper |
2022 | Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473. Full description at Econpapers || Download paper |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper |
2022 | 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 |
2021 | . Full description at Econpapers || Download paper |
2021 | Does one (unconventional) size fit all? Effects of the ECBs unconventional monetary policies on the euro area economies. (2021). Pagliari, Maria Sole. In: Working papers. RePEc:bfr:banfra:829. Full description at Econpapers || Download paper |
2022 | Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367. Full description at Econpapers || Download paper |
2021 | The anchoring of long-term inflation expectations of consumers: insights from a new survey. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: BIS Working Papers. RePEc:bis:biswps:936. Full description at Econpapers || Download paper |
2021 | Fiscal and monetary policy interactions in a low interest rate world. (2021). Orphanides, Athanasios ; Mojon, Benoit ; Lombardi, Marco ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:954. Full description at Econpapers || Download paper |
2022 | Understanding Consumer Inflation Expectations during the COVID?19 Pandemic. (2022). Karagedikli, Ozer ; Ho, Suijade ; Detmers, Gundaalexandra. In: Australian Economic Review. RePEc:bla:ausecr:v:55:y:2022:i:1:p:141-154. Full description at Econpapers || Download paper |
2022 | Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper |
2022 | Time?Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2022). Reif, Magnus. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:80-102. Full description at Econpapers || Download paper |
2021 | The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957. Full description at Econpapers || Download paper |
2022 | Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171. Full description at Econpapers || Download paper |
2021 | Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Fernandez-Villaverde, Jesus ; Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8977. Full description at Econpapers || Download paper |
2021 | Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2021). Reif, Magnus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9271. Full description at Econpapers || Download paper |
2021 | Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102. Full description at Econpapers || Download paper |
2022 | Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212. Full description at Econpapers || Download paper |
2021 | Spillover Effects in International Business Cycles. (2021). Perez Quiros, Gabriel ; Pacce, MatÃas ; Perez-Quiros, Gabriel ; Camacho, Maximo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15787. Full description at Econpapers || Download paper |
2021 | Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Rubio-Ramirez, Juan Francisco ; Arias, Jonas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15951. Full description at Econpapers || Download paper |
2021 | Anchoring of consumers’ long-term euro area inflation expectations during the pandemic. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: Working Papers. RePEc:dnb:dnbwpp:715. Full description at Econpapers || Download paper |
2021 | Trust in the ECB in turbulent times. (2021). Samarina, Anna ; van der Cruijsen, Carin. In: Working Papers. RePEc:dnb:dnbwpp:722. Full description at Econpapers || Download paper |
2022 | Reactions of household inflation expectations to a symmetric inflation target and high inflation. (2022). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: Working Papers. RePEc:dnb:dnbwpp:743. Full description at Econpapers || Download paper |
2021 | Inflation expectations and their role in Eurosystem forecasting. (2021). Tagliabracci, Alex ; Pönkä, Harri ; Meyler, Aidan ; Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Krasnopjorovs, Olegs ; Kearney, Ide ; DARRACQ PARIES, Matthieu ; Colavecchio, Roberta ; BOBEICA, Elena ; Paredes, Joan ; Robert, Pierre-Antoine ; Iskrev, Nikolay ; Jonckheere, Jana ; Speck, Christian ; Jorgensen, Casper ; Stockhammar, Par ; Bessonovs, Andrejs ; Trezzi, Riccardo ; Hutchinson, John ; Vilmi, Lauri ; Stanisawska, Ewa ; Fritzer, Friedrich ; Schupp, Fabian ; Yziak, Tomasz ; Boninghausen, Benjamin ; Hartwig, Benny ; Galati, Gabriele ; Ponka, Harri ; Tengely, Veronika ; Maletic, Matjaz ; Brazdik, Frantiek ; Kasimati, Evangelia ; Charalampakis, Evangelos ; Paloviita, Maritta ; Tirpak, Marcel ; Riggi, Marianna ; Hartmann, Matthias ; Dam |
2021 | Euro area sovereign bond risk premia during the Covid-19 pandemic. (2021). Grimm, Niklas ; Corradin, Stefano ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20212561. Full description at Econpapers || Download paper |
2022 | Monetary policy & anchored expectations: an endogenous gain learning model. (2022). Gáti, Laura. In: Working Paper Series. RePEc:ecb:ecbwps:20222685. Full description at Econpapers || Download paper |
2021 | Sovereign illiquidity and recessions.. (2021). Gutkowski, Violeta A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301974. Full description at Econpapers || Download paper |
2021 | The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579. Full description at Econpapers || Download paper |
2022 | Inflation anchoring and growth: The role of credit constraints. (2022). Furceri, Davide ; Choi, Sangyup ; Shim, Myungkyu ; Loungani, Prakash. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002141. Full description at Econpapers || Download paper |
2022 | Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x. Full description at Econpapers || Download paper |
2022 | Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397. Full description at Econpapers || Download paper |
2022 | Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622. Full description at Econpapers || Download paper |
2021 | Get the lowdown: The international side of the fall in the U.S. natural rate of interest. (2021). Martinez-Garcia, Enrique. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000699. Full description at Econpapers || Download paper |
2021 | Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46. Full description at Econpapers || Download paper |
2022 | Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227. Full description at Econpapers || Download paper |
2022 | Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models. (2022). Petrova, Katerina. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:154-182. Full description at Econpapers || Download paper |
2022 | Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:201-220. Full description at Econpapers || Download paper |
2022 | An indirect proof for the asymptotic properties of VARMA model estimators. (2022). Melard, Guy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:96-111. Full description at Econpapers || Download paper |
2022 | Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States. (2022). Stern, David ; Moneta, Alessio ; Bruns, Stephan ; Berner, Anne. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s014098832200113x. Full description at Econpapers || Download paper |
2021 | Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions. (2021). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000633. Full description at Econpapers || Download paper |
2021 | Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958. Full description at Econpapers || Download paper |
2022 | The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141. Full description at Econpapers || Download paper |
2022 | On the international co-movement of natural interest rates. (2022). Agnello, Luca ; Castro, Vitor ; Sousa, Ricardo M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000889. Full description at Econpapers || Download paper |
2021 | No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000339. Full description at Econpapers || Download paper |
2022 | Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429. Full description at Econpapers || Download paper |
2021 | How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic. (2021). van der Klaauw, Wilbert ; topa, giorgio ; Kosar, Gizem ; Smith, Kyle ; Skandalis, Daphne ; Pomerantz, Rachel ; Koar, Gizem ; Armantier, Olivier. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:189:y:2021:i:c:p:443-469. Full description at Econpapers || Download paper |
2021 | Measuring macroeconomic disagreement – A mixed frequency approach. (2021). Wang, Ben Zhe ; Sheen, Jeffrey. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:189:y:2021:i:c:p:547-566. Full description at Econpapers || Download paper |
2021 | Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100. Full description at Econpapers || Download paper |
2021 | Digitalization, retail trade and monetary policy. (2021). Glocker, Christian ; Piribauer, Philipp. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s0261560620302965. Full description at Econpapers || Download paper |
2021 | Ties that bind: Estimating the natural rate of interest for small open economies. (2021). MartÃnez GarcÃa, Enrique ; Grossman, Valerie ; Wynne, Mark A ; Martinez-Garcia, Enrique ; Zhang, Ren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560620302710. Full description at Econpapers || Download paper |
2021 | Exchange rates, foreign currency exposure and sovereign risk. (2021). Bernoth, Kerstin ; Herwartz, Helmut. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001054. Full description at Econpapers || Download paper |
2021 | Why was the ECB’s reaction to Covid-19 crisis faster than after the 2008 financial crash?. (2021). Seghezza, Elena ; Morelli, Pierluigi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:1-14. Full description at Econpapers || Download paper |
2021 | Why have interest rates fallen far below the return on capital?. (2021). Velde, Francois ; Mojon, Benoit ; Marx, Magali. In: Journal of Monetary Economics. RePEc:eee:moneco:v:124:y:2021:i:s:p:s57-s76. Full description at Econpapers || Download paper |
2021 | Anchored or de-anchored? That is the question. (2021). Tagliabracci, Alex ; Neri, Stefano ; Corsello, Francesco. In: European Journal of Political Economy. RePEc:eee:poleco:v:69:y:2021:i:c:s017626802100032x. Full description at Econpapers || Download paper |
2022 | Renewable energy in prism of technological innovation and economic uncertainty. (2022). Chang, Tsangyao ; Umar, Muhammad ; Khan, Khalid ; Su, Chi-Wei. In: Renewable Energy. RePEc:eee:renene:v:189:y:2022:i:c:p:467-478. Full description at Econpapers || Download paper |
2021 | Safe haven flows, natural interest rates and secular stagnation—Empirical evidence for Euro area countries. (2021). Klose, Jens ; Belke, Ansgar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1164-1190. Full description at Econpapers || Download paper |
2021 | Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:137. Full description at Econpapers || Download paper |
2021 | Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Working Papers. RePEc:fda:fdaddt:2021-09. Full description at Econpapers || Download paper |
2021 | Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; MartÃÂnez GarcÃÂa, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359. Full description at Econpapers || Download paper |
2021 | Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest. (2020). MartÃnez GarcÃa, Enrique ; Martinez-Garcia, Enrique. In: Globalization Institute Working Papers. RePEc:fip:feddgw:88968. Full description at Econpapers || Download paper |
2021 | The Term Structure of Expectations. (2021). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard ; Preston, Bruce. In: Staff Reports. RePEc:fip:fednsr:93341. Full description at Econpapers || Download paper |
2021 | Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-O?s. (2021). Shin, Minchul ; Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Arias, Jonas E. In: Working Papers. RePEc:fip:fedpwp:91527. Full description at Econpapers || Download paper |
2021 | Refining Set-Identification in VARs through Independence. (2021). Drautzburg, Thorsten ; Wright, Jonathan H. In: Working Papers. RePEc:fip:fedpwp:93062. Full description at Econpapers || Download paper |
2021 | Optimal federal transfers during uncoordinated response to a pandemic. (2021). Rothert, Jacek. In: GRAPE Working Papers. RePEc:fme:wpaper:58. Full description at Econpapers || Download paper |
2021 | Sustainable Banking, Market Power, and Efficiency: Effects on Banks’ Profitability and Risk. (2021). Saiz, Maria Cantero ; Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1298-:d:487492. Full description at Econpapers || Download paper |
2022 | Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets.. (2022). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:202217. Full description at Econpapers || Download paper |
2021 | Refining Set-Identification in VARs through Independence. (2021). Wright, Jonathan ; Drautzburg, Thorsten. In: Economics Working Paper Archive. RePEc:jhu:papers:64575. Full description at Econpapers || Download paper |
2022 | Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6. Full description at Econpapers || Download paper |
2022 | A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10146-1. Full description at Econpapers || Download paper |
2021 | Asset bubbles, financial sector, and current challenges to regulatory framework. (2021). Tsomaia, Akaki. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:4:d:10.1007_s10368-021-00508-3. Full description at Econpapers || Download paper |
2021 | Natural real rates of interest across Euro area countries: Are R-stars getting closer together?. (2021). Kaminskas, Rokas ; Jurkas, Linas ; Reichenbachas, Tomas. In: Bank of Lithuania Discussion Paper Series. RePEc:lie:dpaper:24. Full description at Econpapers || Download paper |
2021 | Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Ramirez, Juan Rubio ; Arias, Jonas E. In: NBER Working Papers. RePEc:nbr:nberwo:28617. Full description at Econpapers || Download paper |
2021 | Direct and Spillover Effects from Staggered Adoption of Health Policies: Evidence from COVID-19 Stay-at-Home Orders. (2021). Simeonova, Emilia ; Rebucci, Alessandro ; Quintero, Luis ; Elenev, Vadim. In: NBER Working Papers. RePEc:nbr:nberwo:29088. Full description at Econpapers || Download paper |
2021 | How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?. (2021). Juneja, Januj Amar. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:1:d:10.1007_s10287-020-00380-7. Full description at Econpapers || Download paper |
2022 | Moment tests of independent components. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00247-3. Full description at Econpapers || Download paper |
2022 | Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach. (2022). Herwartz, Helmut. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:31:y:2022:i:1:d:10.1007_s10260-021-00564-8. Full description at Econpapers || Download paper |
2022 | Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220075. Full description at Econpapers || Download paper |
2022 | Robust Inference for Non-Gaussian SVAR models. (2022). Rott, Christina ; Huber, Stefanie ; Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220080. Full description at Econpapers || Download paper |
2021 | Robust non-Gaussian inference for linear simultaneous equations models. (2021). Mesters, Geert ; Lee, Adam. In: Economics Working Papers. RePEc:upf:upfgen:1792. Full description at Econpapers || Download paper |
2022 | Robust inference for non-Gaussian SVAR models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Economics Working Papers. RePEc:upf:upfgen:1847. Full description at Econpapers || Download paper |
2021 | The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745. Full description at Econpapers || Download paper |
2022 | Effects of the bank levy introduction on the interbank market. (2022). Puawska, Karolina. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:844-864. Full description at Econpapers || Download paper |
2021 | Is euro area lowflation here to stay? Insights from a time?varying parameter model with survey data. (2021). Wauters, Joris ; Stevens, Arnoud. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:566-586. Full description at Econpapers || Download paper |
2022 | Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis. (2022). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:285-312. Full description at Econpapers || Download paper |
2021 | Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146. 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 | 7 |
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 | 7 |
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 | 28 |
2011 | Default, liquidity and crises: an econometric framework In: Working papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2013 | Default, Liquidity, and Crises: an Econometric Framework.(2013) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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 | 12 |
2011 | Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2012 | A model of the euro-area yield curve with discrete policy rates. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
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 another version. Agregated cites: 9 | article | |
2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 19 |
2016 | Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2013 | Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
2013 | Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2014 | Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | 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 another 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 | 28 |
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 another version. Agregated cites: 28 | 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 another version. Agregated cites: 28 | article | |
2016 | National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers. [Full Text][Citation analysis] | paper | 37 |
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 another version. Agregated cites: 37 | 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 | 1 |
2021 | Disastrous Defaults*.(2021) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2021 | Disastrous Defaults.(2021) In: TSE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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 another 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 another 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 another 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 | 65 |
2016 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 65 |
2017 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | 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 another version. Agregated cites: 65 | article | |
2017 | Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
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 another 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 | 96 |
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 another version. Agregated cites: 96 | 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 | 28 |
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 another version. Agregated cites: 28 | article | |
2020 | Identification and Estimation in Nonfundamental Structural Models In: Post-Print. [Citation analysis] | paper | 1 |
2013 | The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers. [Full Text][Citation analysis] | paper | 31 |
2014 | Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance. [Full Text][Citation analysis] | article | 26 |
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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