5
H index
2
i10 index
90
Citations
Guillaume Roussellet : Citation Profile
McGill University | RESEARCH PRODUCTION: 8 Articles 15 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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9 years (2012 - 2021). 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 |
|---|---|
| Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL | 2 |
| Post-Print / HAL | 2 |
Recent works citing Guillaume Roussellet (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Noncausal 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Subsidize 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. Full description at Econpapers || Download paper |
| 2023 | Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919. Full description at Econpapers || Download paper |
| 2023 | Efficient 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. Full description at Econpapers || Download paper |
| 2023 | Mask 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. Full description at Econpapers || Download paper |
| 2023 | Bayesian 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. 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 |
| 2023 | Managing 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. Full description at Econpapers || Download paper |
| 2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. 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 | 21 |
| 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: 21 | 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 | 37 |
| 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: 37 | 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: 37 | 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 | 5 |
| 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: 5 | 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 |
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