Follow
Guillaume Roussellet, Ph.D.
Guillaume Roussellet, Ph.D.
McGill University, Desautels - Assistant professor in Finance
Verified email at mcgill.ca - 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
74*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
412016
A quadratic Kalman filter
A Monfort, JP Renne, G Roussellet
Journal of Econometrics 187 (1), 43-56, 2015
222015
Fiscal sustainability in the presence of systemic banks: the case of EU countries
A Bénassy-Quéré, G Roussellet
International Tax and Public Finance 21 (3), 436-467, 2014
212014
Identifying beliefs from asset prices
A Ghosh, G Roussellet
Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC, 2020
152020
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
122021
The term structure of macroeconomic risks at the zero lower bound
G Roussellet
Available at SSRN 2863271, 2020
12*2020
Scenario generation for long run interest rate risk assessment
R Engle, G Roussellet, E Siriwardane
Journal of Econometrics 201 (2), 333-347, 2017
122017
Preventing COVID-19 Fatalities: State versus Federal Policies
JP Renne, G Roussellet, G Schwenkler
Available at SSRN 3720947, 2020
72020
Default risk and the pricing of US sovereign bonds
RF Dittmar, A Hsu, G Roussellet, P Simasek
Georgia Tech Scheller College of Business Research Paper, 2019
52019
Recursive discrete-time affine processes and asset pricing
A Monfort, F Pegoraro, JP Renne, G Roussellet
Technical report, mimeo, 2014
52014
Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
G Roussellet
Université Paris Dauphine-Paris IX, 2015
42015
Non-Negativity, Zero Lower Bound and A ne Interest Rate Models
G Roussellet
Ph. D. thesis, Dauphine University, 2015
12015
Properties of Subjective Beliefs Estimators
A Ghosh, T Otsu, G Roussellet
Available at SSRN 3784757, 2021
2021
Discussion of Slowly Unfolding Disasters
G Roussellet
2020
Long Run Impact of Macro News on Treasury Bond Yields
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
The Term Structure of Macroeconomic Risks at the Effective Lower Bound
G Roussellet
The system can't perform the operation now. Try again later.
Articles 1–19