Guillaume Roussellet : Citation Profile


Are you Guillaume Roussellet?

McGill University

5

H index

2

i10 index

87

Citations

RESEARCH PRODUCTION:

8

Articles

15

Papers

1

Books

RESEARCH ACTIVITY:

   9 years (2012 - 2021). See details.
   Cites by year: 9
   Journals where Guillaume Roussellet has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 6 (6.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro836
   Updated: 2023-11-04    RAS profile: 2023-08-24    
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Relations with other researchers


Works with:

Renne, Jean-Paul (2)

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)

Shin, Minchul (5)

Fernandez-Villaverde, Jesus (5)

Chernov, Mikhail (5)

Feunou, Bruno (4)

Renne, Jean-Paul (4)

Song, Dongho (4)

Meldrum, Andrew (3)

Augustin, Patrick (3)

Rubio-Ramirez, Juan F (2)

Wijnandts, Jean-Charles (2)

Cites to:

Demirguc-Kunt, Asli (5)

Detragiache, Enrica (5)

Acharya, Viral (4)

Argente, David (4)

Lippi, Francesco (3)

Monfort, Alain (3)

Rothert, Jacek (3)

Singleton, Kenneth (3)

Laeven, Luc (3)

Renne, Jean-Paul (3)

Brunnermeier, Markus (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 (2023 and 2022)


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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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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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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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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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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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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2022.

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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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2022Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement. (2022). Mussche, Paul L ; Lopez, Jose A. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8286-8300.

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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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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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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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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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Works by Guillaume Roussellet:


YearTitleTypeCited
2020Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers.
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paper9
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.
[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: 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.
[Full Text][Citation analysis]
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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paper20
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: 20
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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paper36
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: 36
article
2017Staying 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: 36
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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paper4
2021Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion.(2021) In: Management Science.
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This paper has another version. Agregated cites: 4
article
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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article5

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