Guillaume Roussellet

Guillaume Roussellet

McGill University - Montreal / Canada
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 4884527
person_outline Guillaume Roussellet's MOST POPULAR ARTICLES
1-) Staying at zero with affine processes: An application to term structure modellingA Monfort, F Pegoraro, JP Renne, G RousselletJournal of Econometrics 201 (2), 348-366, 201777*2017
2-) Credit and liquidity in interbank rates: A quadratic approachS Dubecq, A Monfort, JP Renne, G RousselletJournal of Banking & Finance 68, 29-46, 2016422016
3-) A quadratic Kalman filterA Monfort, JP Renne, G RousselletJournal of Econometrics 187 (1), 43-56, 2015262015
4-) Affine modeling of credit risk, pricing of credit events, and contagionA Monfort, F Pegoraro, JP Renne, G RousselletManagement Science 67 (6), 3674-3693, 2021222021
5-) Fiscal sustainability in the presence of systemic banks: the case of EU countriesA Bénassy-Quéré, G RousselletInternational Tax and Public Finance 21, 436-467, 2014222014