Jean-Paul Renne : Citation Profile

Are you Jean-Paul Renne?

Université de Lausanne

13

H index

16

i10 index

652

Citations

RESEARCH PRODUCTION:

29

Articles

35

Papers

1

Books

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 34
   Journals where Jean-Paul Renne has often published
   Relations with other researchers
   Recent citing documents: 77.    Total self citations: 15 (2.25 %)

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   Permalink: http://citec.repec.org/pre174
   Updated: 2023-11-04    RAS profile: 2023-01-01    
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Relations with other researchers

Works with:

Mouabbi, Sarah (7)

Monfort, Alain (5)

Roussellet, Guillaume (2)

Sahuc, Jean-Guillaume (2)

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 (19)

Klose, Jens (16)

Mojon, Benoit (13)

Sentana, Enrique (11)

Fiorentini, Gabriele (10)

Guerini, Mattia (8)

Kose, Ayhan (8)

Napoletano, Mauro (8)

Roventini, Andrea (8)

Perez Quiros, Gabriel (7)

Moessner, Richhild (7)

Cites to:

Rudebusch, Glenn (29)

Monfort, Alain (28)

Williams, John (24)

Pegoraro, Fulvio (21)

Orphanides, Athanasios (16)

Piazzesi, Monika (16)

Svensson, Lars (15)

Smets, Frank (12)

Ang, Andrew (11)

Singleton, Kenneth (10)

Swanson, Eric (9)

Main data

Where Jean-Paul Renne has published?

Journals with more than one article published# docs
Journal of Econometrics4
conomie et Prvision3
Economie & Prvision3
International Journal of Finance & Economics2
The Journal of Financial Econometrics2
Journal of Banking & Finance2
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 (2023 and 2022)

YearTitle of citing document
2022Informational Content of Factor Structures in Simultaneous Binary Response Models. (2019). Maurel, Arnaud ; Zhang, Yichong ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:1910.01318.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2022Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663.

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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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2022Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473.

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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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2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2023Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2022Understanding 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.

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2022Data?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.

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2022Optimal federal transfers during uncoordinated response to a pandemic. (2022). Rothert, Jacek. In: Journal of Public Economic Theory. RePEc:bla:jpbect:v:24:y:2022:i:5:p:1124-1153.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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2022Time?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.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2023How to Deal With Missing Observations in Surveys of Professional Forecasters. (2023). Burgi, Constantin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10203.

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2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

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2022Reactions 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.

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2022Monetary policy & anchored expectations: an endogenous gain learning model. (2022). Gáti, Laura. In: Working Paper Series. RePEc:ecb:ecbwps:20222685.

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2022Inflation 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.

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2022Do 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.

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2022Directed 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.

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2022Proxy 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.

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2022Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2022). Pallante, Gianluca ; Moneta, Alessio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002342.

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2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2022Identification 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.

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2022Asymptotically 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.

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2022Affine 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.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2022An 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.

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2023Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314.

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2023Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System. (2023). Dong, YU ; Zha, Yong ; Li, Quan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:644-658.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2022Do 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.

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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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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Asset purchase bailouts and endogenous implicit guarantees. (2023). Mengus, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:142:y:2023:i:c:s0022199623000235.

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2022On 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.

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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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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Mask mandates save lives. (2023). Mano, Rui C ; Hansen, Niels-Jakob H. In: Journal of Health Economics. RePEc:eee:jhecon:v:88:y:2023:i:c:s0167629622001357.

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2022Renewable 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.

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2022.

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2023Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666.

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2022Bayesian 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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2023Managing Information Sensitivity: The Relationship between the Interbank Offered Rate and the Characteristics of Bank-Issued Wealth Management Products in China. (2023). Chen, Chunhui ; Bai, Gang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1392-:d:1032318.

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2022A Counterfactual Analysis of the Effects of Climate Change on the Natural Interest Rate. (2022). Ojeda-Joya, Jair. In: IHEID Working Papers. RePEc:gii:giihei:heidwp10-2022.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277.

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2022The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach. (2022). Rohloff, Hannes ; Maxand, Simone ; Herwartz, Helmut. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2022:q:5:a:3.

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2022Tractable Term Structure Models. (2022). Feunou, Bruno ; Lundblad, Christian ; Le, Anh ; Fontaine, Jean-Sebastien. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8411-8429.

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2022Dynamic 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.

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2022Dependence 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.

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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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2023Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?. (2023). Sousa, Ricardo ; Castro, Vitor ; Agnello, Luca. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:2:d:10.1007_s00181-022-02265-x.

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2022Fiscal dominance in India: an empirical estimation. (2022). Kamila, Anshuman. In: Indian Economic Review. RePEc:spr:inecre:v:57:y:2022:i:1:d:10.1007_s41775-022-00133-0.

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2022Moment 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.

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2023A monetary policy reaction function through Taylor rule vision: evidence from Tunisia. (2023). Kilani, Hadda ; Mna, Ali. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:8:d:10.1007_s43546-023-00532-2.

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2022Modelling 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.

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2022Calibration and Validation of Macroeconomic Simulation Models: A General Protocol by Causal Search. (2022). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: LEM Papers Series. RePEc:ssa:lemwps:2022/33.

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2023A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03.

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2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

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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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2022Robust 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.

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2022Robust inference for non-Gaussian SVAR models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Economics Working Papers. RePEc:upf:upfgen:1847.

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2022Effects 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.

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2023Forecasting sovereign risk in the Euro area via machine learning. (2023). Istrefi, Klodiana ; CAICEDO GRACIANO, Carlos Mateo ; Boeckelmann, Lukas ; di Iorio, Alberto ; Belly, Guillaume ; Stallabourdillon, Arthur ; Siakoulis, Vasileios. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:657-684.

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2022Sovereign 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.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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2022Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds. (2018). Simon, Zorka ; Nijman, Theodore E ; Driessen, Joost. In: SAFE Working Paper Series. RePEc:zbw:safewp:238.

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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 monétaire 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.
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This paper has another version. Agregated cites: 6		paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: The Journal of Financial Econometrics.
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2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers.
[Full Text][Citation analysis]		paper64
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
[Full Text][Citation analysis]		paper13
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 13		paper
2012A model of the euro-area yield curve with discrete policy rates. In: Working papers.
[Full Text][Citation analysis]		paper10
2017A model of the euro-area yield curve with discrete policy rates.(2017) In: Studies in Nonlinear Dynamics & Econometrics.
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2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]		paper21
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.
[Full Text][Citation analysis]		paper10
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.
[Full Text][Citation analysis]		paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
2014Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics.
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2014A Quadratic Kalman Filter In: Working papers.
[Full Text][Citation analysis]		paper5
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
[Full Text][Citation analysis]		paper35
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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This paper has another version. Agregated cites: 35		article
2016National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers.
[Full Text][Citation analysis]		paper39
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.
[Full Text][Citation analysis]		paper5
2020Disastrous Defaults In: Working papers.
[Full Text][Citation analysis]		paper2
2021Disastrous Defaults*.(2021) In: Review of Finance.
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2021Disastrous Defaults.(2021) In: TSE Working Papers.
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2021Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective In: Working papers.
[Full Text][Citation analysis]		paper0
2012La 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.
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2012The 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.
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2006Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision.
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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 In: Economie & Prévision.
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2008Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision.
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2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
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2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
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2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
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2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: Review of Economic Studies.
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2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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2013Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine.
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2020Taming Debt: Can GDP-Linked Bonds Do the Trick? In: EconomiX Working Papers.
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2022Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control.
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2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
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2007A time-varying natural rate of interest for the euro area In: European Economic Review.
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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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2016A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research.
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2014Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance.
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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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2020Identification and Estimation in Nonfundamental Structural Models In: Post-Print.
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2013The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers.
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2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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2022Understanding Swiss real interest rates in a financially globalized world In: Swiss Journal of Economics and Statistics.
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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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