6
H index
3
i10 index
112
Citations
Guillaume Roussellet : Citation Profile
McGill University | RESEARCH PRODUCTION: 8 Articles 28 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2012 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Guillaume Roussellet. | Is cited by:
| Cites to:
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Main data
Where Guillaume Roussellet has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 3 |
| Rue de la Banque | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 14 |
| Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL | 2 |
Recent works citing Guillaume Roussellet (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | The Shadow Rate Model: Let’s Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014. Full description at Econpapers || Download paper |
| 2025 | Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:827. Full description at Econpapers || Download paper |
| 2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012. Full description at Econpapers || Download paper |
| 2025 | Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets. (2025). Sosvilla-Rivero, Simon ; GĂłmez-Puig, Marta ; Gmez-Puig, Marta ; Fernandez-Perez, Adrin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000476. 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 |
| 2025 | Natural disasters as macroeconomic tail risks. (2025). Moench, Emanuel ; Chavleishvili, Sulkhan. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002653. Full description at Econpapers || Download paper |
| 2025 | Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902. Full description at Econpapers || Download paper |
| 2025 | The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143. Full description at Econpapers || Download paper |
| 2025 | Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957. Full description at Econpapers || Download paper |
| 2024 | Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975. Full description at Econpapers || Download paper |
| 2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper |
| 2025 | Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310. Full description at Econpapers || Download paper |
| 2025 | A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607. Full description at Econpapers || Download paper |
| 2024 | Liquidity pressure and the sovereign-bank diabolic loop. (2024). Hassan, M. Kabir ; Janbaz, M ; Floreani, J ; Dreassi, A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1039-1057. 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 |
| 2025 | Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets. (2025). Sosvilla-Rivero, Simon ; GĂłmez-Puig, Marta ; Gmez-Puig, Marta ; Fernandez-Perez, Adrin. In: IREA Working Papers. RePEc:ira:wpaper:202504. Full description at Econpapers || Download paper |
| 2025 | What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y. Full description at Econpapers || Download paper |
| 2025 | A Causal Linkage: Corporate Debt and Sovereign Spreads. (2025). Kwak, Jun Hee. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:4:d:10.1007_s00181-024-02683-z. Full description at Econpapers || Download paper |
Works by Guillaume Roussellet:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries. In: Working papers. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries.(2012) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2012 | Fiscal sustainability in the presence of systemic banks: the case of EU countries.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Fiscal 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 nother version. Agregated cites: 8 | paper | |
| 2012 | Fiscal 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 nother version. Agregated cites: 8 | paper | |
| 2012 | Fiscal 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 nother version. Agregated cites: 8 | paper | |
| 2014 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | Fiscal 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 nother version. Agregated cites: 8 | article | |
| 2012 | Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 25 |
| 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: 25 | article | |
| 2014 | A Quadratic Kalman Filter In: Working papers. [Full Text][Citation analysis] | paper | 8 |
| 2015 | A Quadratic Kalman Filter.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2015 | Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 46 |
| 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: 46 | 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: 46 | article | |
| 2015 | Disentangling Credit and Liquidity Risks from Interbank Spreads In: Rue de la Banque. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | article | |
| 2015 | Non-Negativity, Zero Lower Bound and Affine Interest Rate Models In: Economics Thesis from University Paris Dauphine. [Full Text][Citation analysis] | book | 0 |
| 2017 | Scenario generation for long run interest rate risk assessment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2024 | Exploring the TIPS‑Treasury Valuation Puzzle In: Liberty Street Economics. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Managing hedge fund liquidity risks In: Post-Print. [Citation analysis] | paper | 1 |
| 2017 | Managing hedge fund liquidity risks.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Managing hedge fund liquidity risks.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Managing hedge fund liquidity risks.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Managing hedge fund liquidity risks.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Managing hedge fund liquidity risks.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Managing hedge fund liquidity risks.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Managing hedge fund liquidity risks.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Managing hedge fund liquidity risks.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Managing hedge fund liquidity risks.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Managing hedge fund liquidy risks.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Managing hedge fund liquidity risks.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper |
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