Jean-Paul Renne : Citation Profile

Université de Lausanne

13

H index

17

i10 index

763

Citations

RESEARCH PRODUCTION:

32

Articles

36

Papers

1

Books

RESEARCH ACTIVITY:

   22 years (2003 - 2025). See details.
   Cites by year: 34
   Journals where Jean-Paul Renne has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 17 (2.18 %)

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   Permalink: http://citec.repec.org/pre174
   Updated: 2025-12-13    RAS profile: 2025-03-14    
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Relations with other researchers

Works with:

Monfort, Alain (9)

Mouabbi, Sarah (6)

Sahuc, Jean-Guillaume (3)

Roussellet, Guillaume (3)

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

Is cited by:

Moneta, Alessio (23)

Klose, Jens (17)

Sentana, Enrique (14)

Fiorentini, Gabriele (14)

Mojon, Benoit (13)

Roventini, Andrea (8)

Marx, Magali (8)

Napoletano, Mauro (8)

Kose, Ayhan (8)

Guerini, Mattia (8)

Perez Quiros, Gabriel (7)

Cites to:

Rudebusch, Glenn (33)

Monfort, Alain (33)

Williams, John (26)

Pegoraro, Fulvio (23)

Orphanides, Athanasios (20)

Piazzesi, Monika (17)

Svensson, Lars (15)

Ang, Andrew (14)

Singleton, Kenneth (14)

Smets, Frank (12)

Swanson, Eric (11)

Main data

Where Jean-Paul Renne has published?

Journals with more than one article published# docs
Journal of Econometrics4
Economie & Prvision3
Journal of Banking & Finance3
conomie et Prvision3
International Journal of Finance & Economics2
Journal of Financial Econometrics2
Review of Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8
Post-Print / HAL2

Recent works citing Jean-Paul Renne (2025 and 2024)

YearTitle of citing document
2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Stylized facts in money markets: an empirical analysis of the eurozone data. (2024). Challet, Damien ; Benzaquen, Michael ; Allaire, Nolwenn ; le Coz, Victor. In: Papers. RePEc:arx:papers:2410.16021.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions. (2025). Jiang, Ziyu. In: Papers. RePEc:arx:papers:2501.06777.

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2025Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416.

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2025Identification of Impulse Response Functions for Nonlinear Dynamic Models. (2025). Lee, Quinlan ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2506.13531.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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2025Issuing European safe assets: how to get the most out of Eurobonds?. (2025). Tommasino, Pietro ; Pericoli, Marcello ; Pallara, Kevin. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_937_25.

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2024Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24.

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2024Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965.

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2024Globalization and Its Growing Impact on the Natural Rates of Interest in Developed Economies. (2024). Iwasaki, Yuto ; Okimoto, Tatsuyoshi ; Nakagami, Kyoko ; Hatayama, Yudai. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp24e13.

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2024Sovereign Risk Dynamics in the EU: The Time Varying Relevance of Fiscal and External (Im)balances. (2024). monteiro, sofia ; Alves, José ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10979.

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2025Gasoline Price Expectations as a Transmission Channel for Gasoline Price Shocks. (2025). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11924.

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2025Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring. (2025). Wolters, Maik ; Hecker, Dominik. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12280.

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2025Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions. (2025). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Strohsal, Till. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2110.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian ; Melosi, Leonardo. In: Working Papers. RePEc:dnb:dnbwpp:829.

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2025Gatekeepers of the Market? IMF Surveillance and Sovereign Access to Global Finance. (2025). Perez, Pablo Aguilar. In: EconomiX Working Papers. RePEc:drm:wpaper:2025-32.

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2024Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models. (2024). Hallin, Marc ; Meintanis, Simos ; Nordhausen, Klaus. In: Working Papers ECARES. RePEc:eca:wpaper:2013/368952.

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2024A look back at 25 years of the ECB SPF. (2024). Meyler, Aidan ; Fonseca, Luís ; Bates, Colm ; Arioli, Rodolfo ; Fagandini, Bruno ; Zahrt, Octavia ; Allayioti, Anastasia ; Healy, Peter ; Botelho, Vasco ; Minasian, Ryan. In: Occasional Paper Series. RePEc:ecb:ecbops:2024364.

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2024Measuring market-based core inflation expectations. (2024). Jorgensen, Kasper ; Schupp, Fabian ; Gronlund, Asger Munch. In: Working Paper Series. RePEc:ecb:ecbwps:20242908.

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2024Inflation (de-)anchoring in the euro area. (2024). De Backer, Bruno ; Burban, Valentin ; Vladu, Andreea Liliana. In: Working Paper Series. RePEc:ecb:ecbwps:20242964.

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2025Stylized facts in money markets: an empirical analysis of the eurozone data. (2025). Allaire, Nolwenn ; le Coz, Victor ; Benzaquen, Michael ; Challe, Damien. In: Working Paper Series. RePEc:ecb:ecbwps:20253113.

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2024Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002773.

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2025Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets. (2025). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gmez-Puig, Marta ; Fernandez-Perez, Adrin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000476.

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2024Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). LINTON, OLIVER ; Hong, Yongmiao ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2024Testing for strong exogeneity in Proxy-VARs. (2024). Keweloh, Sascha A ; Bruns, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002215.

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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2025Natural disasters as macroeconomic tail risks. (2025). Moench, Emanuel ; Chavleishvili, Sulkhan. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002653.

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2025Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902.

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2025The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2024Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies. (2024). Pagliari, Maria Sole. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024Renewable energy investment under stochastic interest rate with regime-switching volatility. (2024). Detemple, Jerome ; Kitapbayev, Yerkin ; Reppen, Max A. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420.

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2024Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699.

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2024Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros ; Lotfi, Somayyeh ; Milidonis, Andreas. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158.

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2024Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico. (2024). Zhu, Simon ; Beauregard, Remy ; Fischer, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000886.

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2024Quantifying subjective uncertainty in survey expectations. (2024). Pavlova, Lora ; Kruger, Fabian. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:796-810.

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2024The impact of demographic change on the natural rate of interest in Japan. (2024). Han, Fei. In: Japan and the World Economy. RePEc:eee:japwor:v:69:y:2024:i:c:s0922142523000634.

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2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024Calibration and validation of macroeconomic simulation models by statistical causal search. (2024). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:228:y:2024:i:c:s0167268124004001.

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2025Bond supply expectations and the term structure of interest rates. (2025). Dufour, Alfonso ; Billio, Monica ; Busetto, F ; Varotto, S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002043.

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2024Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393223001630.

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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2024Inflation at risk. (2024). Loria, Francesca ; Lopez-Salido, David. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:s:s0304393224000230.

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2024A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Chiappini, Raphaël ; Bruno, Olivier ; Groslambert, Bertrand. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:167-179.

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2024Liquidity pressure and the sovereign-bank diabolic loop. (2024). Hassan, M. Kabir ; Janbaz, M ; Floreani, J ; Dreassi, A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1039-1057.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2025Higher-order Moment Inequality Restrictions for SVARs. (2025). Melosi, Leonardo ; ferroni, filippo ; Andrade, Philippe. In: Working Papers. RePEc:fip:fedbwp:99752.

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2025Accounting for Uncertainty and Risks in Monetary Policy. (2025). Zhong, Molin ; Berge, Travis ; Bauer, Michael ; Loria, Francesca ; Fiori, Giuseppe. In: Working Paper Series. RePEc:fip:fedfwp:101776.

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2025How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets. (2025). Grishchenko, Olesya ; Moraux, Franck ; Pakulyak, Olga. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-41.

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2025Accounting for Uncertainty and Risks in Monetary Policy. (2025). Zhong, Molin ; Berge, Travis ; Bauer, Michael ; Loria, Francesca ; Fiori, Giuseppe. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-73.

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2025Long-Run Inflation Expectations. (2025). Melosi, Leonardo ; Fisher, Jonas ; Rast, Sebastian. In: Working Paper Series. RePEc:fip:fedhwp:99677.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2024A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Chiappini, Raphaël ; Bruno, Olivier ; Groslambert, Bertrand. In: Post-Print. RePEc:hal:journl:hal-04452785.

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2024Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Post-Print. RePEc:hal:journl:hal-04828849.

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2025Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets. (2025). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gmez-Puig, Marta ; Fernandez-Perez, Adrin. In: IREA Working Papers. RePEc:ira:wpaper:202504.

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2024Sovereign risk dynamics in the EU: the time varying relevance of fiscal and external (im)balances. (2024). monteiro, sofia ; Alves, José ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp03112024.

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2025What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y.

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2024Fiscal Consequences of Missing an Inflation Target. (2024). Rey, Helene ; Andreolli, Michele. In: IMF Economic Review. RePEc:pal:imfecr:v:72:y:2024:i:2:d:10.1057_s41308-024-00239-w.

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2024Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring. (2024). Czudaj, Robert ; Beckmann, Joscha. In: MPRA Paper. RePEc:pra:mprapa:119971.

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2025A Causal Linkage: Corporate Debt and Sovereign Spreads. (2025). Kwak, Jun Hee. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:4:d:10.1007_s00181-024-02683-z.

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2024Functional shocks to inflation expectations and real interest rates and their macroeconomic effects. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:160:y:2024:i:4:d:10.1007_s10290-024-00538-4.

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2024Identification of one independent shock in structural VARs. (2024). Moneta, Alessio ; Fiorentini, Gabriele ; Papagni, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2024/28.

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2024Statistically identified structural VAR model with potentially skewed and fat‐tailed errors. (2024). Lanne, Markku ; Anttonen, Jetro ; Luoto, Jani. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:422-437.

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2024Statistical identification in panel structural vector autoregressive models based on independence criteria. (2024). Wang, Shu ; Herwartz, Helmut. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:4:p:620-639.

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2024Locally robust inference for non‐Gaussian SVAR models. (2024). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:2:p:523-570.

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2024Higher-Order Moment Inequality Restrictions for SVARs. (2024). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1537.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian Sebastian ; Melosi, Leonardo ; Jonas, Jonas D. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1551.

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2025Geopolitical surprises and macroeconomic shocks: A tale of two events. (2025). Lehmus, Markku ; Anttonen, Jetro. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:317790.

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2024Monetary policy and the resilience of the German banking system: From Deutsche Bundesbank to ECB. (2024). Hartl, Tom ; Israel, Karl-Friedrich ; Treitz, Benjamin ; Sepp, Tim Florian. In: Working Papers. RePEc:zbw:leiwps:283608.

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2024Interest Rates, Convenience Yields and Inflation Expectations: Drivers of US Dollar Exchange Rates. (2024). Bernoth, Kerstin ; Trienens, Lasse ; Herwartz, Helmut. In: VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges. RePEc:zbw:vfsc24:302351.

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Works by Jean-Paul Renne:

YearTitleTypeCited
2020Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers.
[Full Text][Citation analysis]		paper9
2004A Time-Varying Natural Rate for the Euro Area In: Working papers.
[Full Text][Citation analysis]		paper11
2004règle de Taylor et politique mon taire dans la zone euro In: Working papers.
[Full Text][Citation analysis]		paper8
2007Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers.
[Full Text][Citation analysis]		paper2
2009Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers.
[Full Text][Citation analysis]		paper3
2009Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers.
[Full Text][Citation analysis]		paper29
2011Default, liquidity and crises: an econometric framework In: Working papers.
[Full Text][Citation analysis]		paper6
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers.
[Full Text][Citation analysis]		paper67
2011Credit and liquidity risks in euro area sovereign yield curves 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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2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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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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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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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.(2008) In: Économie et Prévision.
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2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: The Review of Economic Studies.
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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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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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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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