5
H index
2
i10 index
72
Citations
Guillaume Roussellet : Citation Profile
McGill University | RESEARCH PRODUCTION: 7 Articles 15 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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8 years (2012 - 2020). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Guillaume Roussellet. | Is cited by:
| Cites to:
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Main data
Where Guillaume Roussellet has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Rue de la Banque | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 2 |
| Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL | 2 |
Recent works citing Guillaume Roussellet (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 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 | 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 |
| 2021 | A Segmented and Observable Yield Curve for Colombia. (2021). Castro-Iragorri, Carlos ; Rodriguez, Cristhian ; Pea, Juan Felipe. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:2:p:179-200. 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 | Forecasting Dynamic Term Structure Models with Autoencoders. (2021). Ramirez, J ; Castro-Iragorri, C. In: Documentos de Trabajo. RePEc:col:000092:019431. 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 | 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 |
| 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 | 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 | 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 | 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 | 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 | 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 |
| 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 | 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 | 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 |
| 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 |
Works by Guillaume Roussellet:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries. In: Working papers. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries.(2012) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Fiscal sustainability in the presence of systemic banks: the case of EU countries.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2014 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: PSE - G-MOND WORKING PAPERS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2014 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2014 | Fiscal sustainability in the presence of systemic banks: the case of EU countries.(2014) In: International Tax and Public Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 18 |
| 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: 18 | 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 | 30 |
| 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: 30 | 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: 30 | article | |
| 2015 | Disentangling Credit and Liquidity Risks from Interbank Spreads In: Rue de la Banque. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Non-Negativity, Zero Lower Bound and Affine Interest Rate Models In: Economics Thesis from University Paris Dauphine. [Full Text][Citation analysis] | book | 0 |
| 2017 | Scenario generation for long run interest rate risk assessment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
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