Guillaume Roussellet, Ph.D.
Guillaume Roussellet, Ph.D.
McGill University, Desautels - Assistant professor in Finance
Adresse e-mail validée de mcgill.ca - Page d'accueil
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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
62*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
352016
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
A quadratic kalman filter
A Monfort, JP Renne, G Roussellet
Journal of Econometrics 187 (1), 43-56, 2015
202015
The Term Structure of Macroeconomic Risks at the Effective Lower Bound
G Roussellet
10*
Identifying Beliefs from Asset Prices
A Ghosh, G Roussellet
Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC, 2019
72019
Recursive discrete-time affine processes and asset pricing
A Monfort, F Pegoraro, JP Renne, G Roussellet
Technical report, mimeo, 2014
52014
Scenario generation for long run interest rate risk assessment
R Engle, G Roussellet, E Siriwardane
Journal of Econometrics 201 (2), 333-347, 2017
42017
Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
G Roussellet
42015
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
A Monfort, F Pegoraro, JP Renne, G Roussellet
Management Science, 2020
32020
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
22019
Preventing COVID-19 Fatalities: State versus Federal Policies
JP Renne, G Roussellet, G Schwenkler
arXiv preprint arXiv:2010.15263, 2020
12020
Non-Negativity, Zero Lower Bound and A ne Interest Rate Models
G Roussellet
Ph. D. thesis, Dauphine University, 2015
12015
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
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