Guillaume Roussellet : Citation Profile


Are you Guillaume Roussellet?

McGill University

5

H index

2

i10 index

72

Citations

RESEARCH PRODUCTION:

7

Articles

15

Papers

1

Books

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 9
   Journals where Guillaume Roussellet has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 5 (6.49 %)

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   Permalink: http://citec.repec.org/pro836
   Updated: 2023-01-08    RAS profile: 2021-09-08    
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Relations with other researchers


Works with:

Renne, Jean-Paul (4)

Pegoraro, Fulvio (3)

Monfort, Alain (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Guillaume Roussellet.

Is cited by:

Mouabbi, Sarah (6)

Chernov, Mikhail (5)

Fernandez-Villaverde, Jesus (5)

Shin, Minchul (5)

Song, Dongho (4)

Renne, Jean-Paul (4)

Meldrum, Andrew (3)

Augustin, Patrick (3)

Pliszka, Kamil (2)

Wijnandts, Jean-Charles (2)

Feunou, Bruno (2)

Cites to:

Demirguc-Kunt, Asli (5)

Detragiache, Enrica (5)

Argente, David (4)

Acharya, Viral (4)

Singleton, Kenneth (3)

Lippi, Francesco (3)

Rothert, Jacek (3)

Laeven, Luc (3)

Renne, Jean-Paul (3)

Monfort, Alain (3)

Williams, John (2)

Main data


Where Guillaume Roussellet has published?


Journals with more than one article published# docs
Journal of Econometrics3
Rue de la Banque2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL2

Recent works citing Guillaume Roussellet (2022 and 2021)


YearTitle of citing document
2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022Estimating 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.

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2021A 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.

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2021Bayesian 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.

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2021Forecasting Dynamic Term Structure Models with Autoencoders. (2021). Ramirez, J ; Castro-Iragorri, C. In: Documentos de Trabajo. RePEc:col:000092:019431.

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2021Bayesian 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.

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2021Euro 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.

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2021Interbank 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.

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2022The 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.

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2022Dissecting 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.

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2021Benchmark 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.

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2021Bayesian 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.

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2021Bayesian 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.

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2021Optimal federal transfers during uncoordinated response to a pandemic. (2021). Rothert, Jacek. In: GRAPE Working Papers. RePEc:fme:wpaper:58.

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2022A 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.

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2021Bayesian 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.

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2021Direct 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.

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2021How 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.

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2022Estimating 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.

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2021The 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.

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Works by Guillaume Roussellet:


YearTitleTypeCited
2020Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers.
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paper7
2013Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries. In: Working papers.
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paper8
2012Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries.(2012) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 8
paper
2012Fiscal sustainability in the presence of systemic banks: the case of EU countries.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Fiscal 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
2012Fiscal 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
2012Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: PSE - G-MOND WORKING PAPERS.
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This paper has another version. Agregated cites: 8
paper
2014Fiscal 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
2012Fiscal 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
2012Fiscal 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
2014Fiscal sustainability in the presence of systemic banks: the case of EU countries.(2014) In: International Tax and Public Finance.
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This paper has another version. Agregated cites: 8
article
2012Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has another version. Agregated cites: 8
paper
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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paper18
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 18
article
2014A Quadratic Kalman Filter In: Working papers.
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paper5
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper30
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
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This paper has another version. Agregated cites: 30
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 30
article
2015Disentangling Credit and Liquidity Risks from Interbank Spreads In: Rue de la Banque.
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article0
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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paper2
2015Non-Negativity, Zero Lower Bound and Affine Interest Rate Models In: Economics Thesis from University Paris Dauphine.
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book0
2017Scenario generation for long run interest rate risk assessment In: Journal of Econometrics.
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article2

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