6
H index
2
i10 index
235
Citations
Jean-Sebastien Fontaine : Citation Profile
Bank of Canada | RESEARCH PRODUCTION: 10 Articles 35 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2009 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Sebastien Fontaine. | Is cited by:
| Cites to:
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Main data
Where Jean-Sebastien Fontaine has published?
| Journals with more than one article published | # docs |
|---|---|
| Bank of Canada Review | 3 |
| Review of Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Analytical Notes / Bank of Canada | 16 |
| Staff Working Papers / Bank of Canada | 14 |
| Discussion Papers / Bank of Canada | 3 |
Recent works citing Jean-Sebastien Fontaine (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245. Full description at Econpapers || Download paper |
| 2023 | The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045. Full description at Econpapers || Download paper |
| 2023 | Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586. Full description at Econpapers || Download paper |
| 2023 | Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340. Full description at Econpapers || Download paper |
| 2023 | Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725. Full description at Econpapers || Download paper |
| 2023 | Safe Asset Carry Trade. (2023). Ranaldo, Angelo ; Ballensiefen, Benedikt. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:2:p:223-265.. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857. Full description at Econpapers || Download paper |
Works by Jean-Sebastien Fontaine:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | Access, Competition and Risk in Centrally Cleared Markets In: Bank of Canada Review. [Full Text][Citation analysis] | article | 7 |
| 2012 | Access, Competition and Risk in Centrally Cleared Markets.(2012) In: Bank of Canada Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | Unconventional Monetary Policy: The Perspective of a Small Open Economy? In: Bank of Canada Review. [Full Text][Citation analysis] | article | 5 |
| 2017 | Repo Market Functioning when the Interest Rate Is Low or Negative In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | COVID-19 Crisis: Lessons Learned for Future Policy Research In: Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Real Exchange Rate Decompositions In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Bond Liquidity Premia In: Staff Working Papers. [Full Text][Citation analysis] | paper | 136 |
| 2012 | Bond Liquidity Premia.(2012) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | article | |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 27 |
| 2011 | Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2014 | Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2012 | When Lower Risk Increases Profit: Competition and Control of a Central Counterparty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2015 | Tractable Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2016 | What Fed Funds Futures Tell Us About Monetary Policy Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Measuring Limits of Arbitrage in Fixed-Income Markets In: Staff Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2019 | MEASURING LIMITS OF ARBITRAGE IN FIXED?INCOME MARKETS.(2019) In: Journal of Financial Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2017 | What Drives Episodes of Settlement Fails in the Government of Canada Bond Market? In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Contagion in Dealer Networks In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Debt-Secular Economic Changes and Bond Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Foreign Flows and Their Effects on Government of Canada Yields In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2016 | The Share of Systematic Variations in the Canadian Dollar—Part I In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 2 |
| 2018 | The Share of Systematic Variations in the Canadian Dollar—Part III.(2018) In: Staff Analytical Notes. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2017 | The Share of Systemic Variations in the Canadian Dollar—Part II In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 3 |
| 2018 | The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Price Caps in Canadian Bond Borrowing Markets In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Relative Value of Government of Canada Bonds In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Prix plafonds sur les marchés canadiens des emprunts d’obligations In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2020 | COVID-19 and bond market liquidity: alert, isolation and recovery In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Will exchange-traded funds shape the future of bond dealing? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Canadian stock market since COVID?19: Why a V-shaped price recovery? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | What cured the TSX Equity index after COVID-19? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2023 | It takes a panel to predict the future: What the stock market says about future economic growth in Canada In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | What model for the target rate In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bond Risk Premia and Gaussian Term Structure Models In: Management Science. [Full Text][Citation analysis] | article | 5 |
| 2017 | Implied volatility and skewness surface In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2014 | Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team