13
H index
16
i10 index
725
Citations
Université de Lausanne | 13 H index 16 i10 index 725 Citations RESEARCH PRODUCTION: 32 Articles 36 Papers 1 Books RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Paul Renne. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Economie & Pr�vision | 3 |
�conomie et Pr�vision | 3 |
Journal of Banking & Finance | 3 |
Journal of Financial Econometrics | 2 |
International Journal of Finance & Economics | 2 |
Review of Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Center for Research in Economics and Statistics | 8 |
Post-Print / HAL | 2 |
Year ![]() | Title of citing document ![]() |
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2024 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper |
2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
2024 | A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598. Full description at Econpapers || Download paper |
2025 | Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions. (2025). Jiang, Ziyu. In: Papers. RePEc:arx:papers:2501.06777. Full description at Econpapers || Download paper |
2025 | Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2025 | . Full description at Econpapers || Download paper |
2024 | Oil price shocks in real time. (2024). Veronese, Giovanni ; Venditti, Fabrizio ; Gazzani, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24. Full description at Econpapers || Download paper |
2024 | Sovereign Risk Dynamics in the EU: The Time Varying Relevance of Fiscal and External (Im)balances. (2024). monteiro, sofia ; Alves, José ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10979. Full description at Econpapers || Download paper |
2025 | Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions. (2025). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Strohsal, Till. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2110. Full description at Econpapers || Download paper |
2024 | A look back at 25 years of the ECB SPF. (2024). Allayioti, Anastasia ; Healy, Peter ; Botelho, Vasco ; Meyler, Aidan ; Minasian, Ryan ; Bates, Colm ; Arioli, Rodolfo ; Fonseca, Lus ; Fagandini, Bruno ; Zahrt, Octavia. In: Occasional Paper Series. RePEc:ecb:ecbops:2024364. Full description at Econpapers || Download paper |
2024 | Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447. Full description at Econpapers || Download paper |
2024 | Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002773. Full description at Econpapers || Download paper |
2024 | Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196. Full description at Econpapers || Download paper |
2024 | Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639. Full description at Econpapers || Download paper |
2024 | Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094. Full description at Econpapers || Download paper |
2024 | Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies. (2024). Pagliari, Maria Sole. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466. Full description at Econpapers || Download paper |
2024 | Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968. Full description at Econpapers || Download paper |
2024 | Renewable energy investment under stochastic interest rate with regime-switching volatility. (2024). Detemple, Jerome ; Kitapbayev, Yerkin ; Reppen, Max A. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420. Full description at Econpapers || Download paper |
2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir ; Qin, Zhaohui ; Chen, Yijie. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper |
2024 | Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros A ; Milidonis, Andreas ; Lotfi, Somayyeh. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158. Full description at Econpapers || Download paper |
2024 | Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico. (2024). Zhu, Simon ; Beauregard, Remy ; Fischer, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000886. Full description at Econpapers || Download paper |
2024 | Quantifying subjective uncertainty in survey expectations. (2024). Pavlova, Lora ; Kruger, Fabian. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:796-810. Full description at Econpapers || Download paper |
2024 | The impact of demographic change on the natural rate of interest in Japan. (2024). Han, Fei. In: Japan and the World Economy. RePEc:eee:japwor:v:69:y:2024:i:c:s0922142523000634. Full description at Econpapers || Download paper |
2024 | Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393223001630. Full description at Econpapers || Download paper |
2024 | Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011. Full description at Econpapers || Download paper |
2024 | Inflation at risk. (2024). Loria, Francesca ; Lopez-Salido, David. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:s:s0304393224000230. Full description at Econpapers || Download paper |
2024 | A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Bruno, Olivier ; Groslambert, Bertrand ; Chiappini, Raphael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:167-179. Full description at Econpapers || Download paper |
2024 | Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514. Full description at Econpapers || Download paper |
2025 | Long-Run Inflation Expectations. (2025). Melosi, Leonardo ; Fisher, Jonas ; Rast, Sebastian. In: Working Paper Series. RePEc:fip:fedhwp:99677. Full description at Econpapers || Download paper |
2024 | Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039. Full description at Econpapers || Download paper |
2024 | A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Chiappini, Raphaël ; Bruno, Olivier ; Groslambert, Bertrand. In: Post-Print. RePEc:hal:journl:hal-04452785. Full description at Econpapers || Download paper |
2024 | Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Post-Print. RePEc:hal:journl:hal-04828849. Full description at Econpapers || Download paper |
2024 | Sovereign risk dynamics in the EU: the time varying relevance of fiscal and external (im)balances. (2024). monteiro, sofia ; Alves, José ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp03112024. Full description at Econpapers || Download paper |
2024 | Functional shocks to inflation expectations and real interest rates and their macroeconomic effects. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:160:y:2024:i:4:d:10.1007_s10290-024-00538-4. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | Higher-Order Moment Inequality Restrictions for SVARs. (2024). ferroni, filippo ; Melosi, Leonardo ; Andrade, Philippe. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1537. Full description at Econpapers || Download paper |
2025 | Long-Run Inflation Expectations. (2025). Rast, Sebastian Sebastian ; Melosi, Leonardo ; Jonas, Jonas D. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1551. Full description at Econpapers || Download paper |
2024 | Monetary policy and the resilience of the German banking system: From Deutsche Bundesbank to ECB. (2024). Hartl, Tom ; Treitz, Benjamin ; Israel, Karl-Friedrich ; Sepp, Tim Florian. In: Working Papers. RePEc:zbw:leiwps:283608. Full description at Econpapers || Download paper |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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2020 | Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers. [Full Text][Citation analysis] | paper | 9 |
2004 | A Time-Varying Natural Rate for the Euro Area In: Working papers. [Full Text][Citation analysis] | paper | 11 |
2004 | R gle de Taylor et politique mon taire dans la zone euro In: Working papers. [Full Text][Citation analysis] | paper | 8 |
2007 | Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers. [Full Text][Citation analysis] | paper | 29 |
2011 | Default, liquidity and crises: an econometric framework In: Working papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2013 | Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2011 | Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers. [Full Text][Citation analysis] | paper | 66 |
2011 | Credit and liquidity risks in euro area sovereign yield curves In: Working papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2012 | A model of the euro-area yield curve with discrete policy rates. In: Working papers. [Full Text][Citation analysis] | paper | 11 |
2017 | A model of the euro-area yield curve with discrete policy rates.(2017) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 22 |
2016 | Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2013 | Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
2013 | Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2014 | Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2014 | Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | 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 nother 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 | 36 |
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 nother version. Agregated cites: 36 | 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 nother version. Agregated cites: 36 | article | |
2016 | National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers. [Full Text][Citation analysis] | paper | 43 |
2018 | National natural rates of interest and the single monetary policy in the euro area.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | article | |
2017 | The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. In: Working papers. [Full Text][Citation analysis] | paper | 6 |
2020 | Disastrous Defaults In: Working papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Disastrous Defaults*.(2021) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2021 | Disastrous Defaults.(2021) In: TSE Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective In: Working papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective.(2024) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2012 | La 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. [Full Text][Citation analysis] | article | 0 |
2012 | The 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. [Full Text][Citation analysis] | article | 0 |
2006 | Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision. [Full Text][Citation analysis] | article | 1 |
2006 | Caractéristiques des marchés du travail dans les pays de lOCDE.(2006) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2007 | Quelles sont les parts cyclique et structurelle du chômage en France ? In: Economie & Prévision. [Full Text][Citation analysis] | article | 0 |
2007 | Quelles sont les parts cyclique et structurelle du chômage en France ?.(2007) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2008 | Réformes fiscales dans un modèle DSGE France en économie ouverte In: Economie & Prévision. [Full Text][Citation analysis] | article | 4 |
2008 | Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2003 | Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 70 |
2016 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 104 |
2017 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2017 | Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2017 | Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2020 | Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion.(2021) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2013 | Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine. [Full Text][Citation analysis] | book | 0 |
2020 | Taming Debt: Can GDP-Linked Bonds Do the Trick? In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 1 |
2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2022 | Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
2022 | Required Capital for Long-Run Risks.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | A time-varying natural rate of interest for the euro area In: European Economic Review. [Full Text][Citation analysis] | article | 100 |
2004 | A Time Varying Natural Rate of Interest for the Euro Area.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 100 | paper | |
2016 | A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 7 |
2014 | Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2017 | Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 44 |
2019 | Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison.(2019) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
2020 | Identification and Estimation in Nonfundamental Structural Models In: Post-Print. [Citation analysis] | paper | 2 |
2024 | Fiscal Limits and the Pricing of Eurobonds In: Management Science. [Full Text][Citation analysis] | article | 0 |
2013 | The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers. [Full Text][Citation analysis] | paper | 34 |
2014 | Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance. [Full Text][Citation analysis] | article | 38 |
2022 | Understanding Swiss real interest rates in a financially globalized world In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2014 | PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
2014 | USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
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