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Guillaume Roussellet, Ph.D.
Guillaume Roussellet, Ph.D.
Federal Reserve Bank of New York - McGill University (on leave)
Verified email at ny.frb.org - Homepage
Title
Cited by
Cited by
Year
Staying at zero with affine processes: An application to term structure modelling
A Monfort, F Pegoraro, JP Renne, G Roussellet
Journal of Econometrics 201 (2), 348-366, 2017
96*2017
Credit and liquidity in interbank rates: A quadratic approach
S Dubecq, A Monfort, JP Renne, G Roussellet
Journal of Banking & Finance 68, 29-46, 2016
482016
A quadratic Kalman filter
A Monfort, JP Renne, G Roussellet
Journal of Econometrics 187 (1), 43-56, 2015
292015
Identifying beliefs from asset prices
A Ghosh, G Roussellet
Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC, 2023
232023
Affine modeling of credit risk, pricing of credit events, and contagion
A Monfort, F Pegoraro, JP Renne, G Roussellet
Management Science 67 (6), 3674-3693, 2021
232021
Fiscal sustainability in the presence of systemic banks: the case of EU countries
A Bénassy-Quéré, G Roussellet
International Tax and Public Finance 21, 436-467, 2014
222014
Scenario generation for long run interest rate risk assessment
R Engle, G Roussellet, E Siriwardane
Journal of Econometrics 201 (2), 333-347, 2017
172017
The term structure of macroeconomic risks at the zero lower bound
G Roussellet
Available at SSRN 2863271, 2021
12*2021
Preventing COVID-19 fatalities: State versus federal policies
JP Renne, G Roussellet, G Schwenkler
arXiv preprint arXiv:2010.15263, 2020
102020
Default risk and the pricing of US sovereign bonds
RF Dittmar, A Hsu, G Roussellet, P Simasek
SSRN, 2019
82019
Recursive discrete-time affine processes and asset pricing
A Monfort, F Pegoraro, JP Renne, G Roussellet
Technical report, mimeo, 2014
52014
Managing hedge fund liquidity risks
S Darolles, G Roussellet
HAL Post-Print, 2017
32017
Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
G Roussellet
Université Paris Dauphine-Paris IX, 2015
22015
The term structure of macroeconomic risks at the effective lower bound
G Roussellet
Journal of Econometrics, 105383, 2023
12023
Properties of Subjective Beliefs Estimators
A Ghosh, T Otsu
Available at SSRN 3784757, 2021
12021
Non-Negativity, Zero Lower Bound and A ne Interest Rate Models
G Roussellet
Ph. D. thesis, Dauphine University, 2015
12015
What do Bond Investors Learn from Macroeconomic News?
B Feunou, JS Fontaine, G Roussellet
Available at SSRN 3478738, 2019
2019
Long Run Impact of Macro News on Treasury Bond Yields
BFJS Fontaine, G Roussellet
2019
DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES
A Monfort, F Pegoraro, JP Renne, G Roussellet
2012
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Articles 1–19