Guillaume Roussellet

McGill University - Desautels Faculty of Management

Assistant Professor

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

  • McGill University - Desautels Faculty of Management

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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Top 11,938

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16

CROSSREF CITATIONS

77

Scholarly Papers (10)

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1.

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Downloads 471 ( 67,297)
Citation 21

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 438 (72,832)
Citation 9

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off Probabilities

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

Banque de France Working Paper No. 558
Number of pages: 45 Posted: 13 Jun 2015
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 33 (514,098)
Citation 14

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off probabilities

2.

A Quadratic Kalman Filter

Downloads 356 ( 93,555)
Citation 16

A Quadratic Kalman Filter

Number of pages: 39 Posted: 21 Dec 2013 Last Revised: 25 Nov 2014
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 300 (112,488)

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Non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, Pseudo-maximum likelihood

A Quadratic Kalman Filter

Banque de France Working Paper No. 486
Number of pages: 52 Posted: 13 Jun 2014
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 56 (414,776)
Citation 16

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non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, pseudo-maximum likelihood

3.

Scenario Generation for Long-Run Interest Rate Risk Assessment

Number of pages: 42 Posted: 14 Sep 2016 Last Revised: 04 Nov 2016
Robert F. Engle, Guillaume Roussellet and Emil Siriwardane
New York University (NYU) - Department of Finance, McGill University - Desautels Faculty of Management and Harvard Business School - Finance Unit
Downloads 214 (158,912)
Citation 1

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Interest Rate Forecast, Regime Switching, Factor Model

4.

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Number of pages: 57 Posted: 28 Sep 2013 Last Revised: 19 Mar 2016
Simon Dubecq, Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 155 (211,819)
Citation 15

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Quadratic term-structure model, liquidity risk, credit risk, interbank market, unconventional monetary policy

5.

Default Risk and the Pricing of U.S. Sovereign Bonds

Georgia Tech Scheller College of Business Research Paper No. 18-20
Number of pages: 68 Posted: 13 Jun 2018 Last Revised: 08 Jun 2019
Robert F. Dittmar, Alex Hsu, Guillaume Roussellet and Peter Simasek
University of Michigan, Stephen M. Ross School of Business, Georgia Institute of Technology - Scheller College of Business, McGill University - Desautels Faculty of Management and Georgia Institute of Technology - Scheller College of Business
Downloads 143 (226,188)

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Treasury, TIPS, Breakeven Inflation, Default risk, Recovery rates

6.

Identifying Beliefs from Asset Prices

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 89 Posted: 17 Jun 2019 Last Revised: 16 Jun 2020
Anisha Ghosh and Guillaume Roussellet
McGill University and McGill University - Desautels Faculty of Management
Downloads 118 (262,323)
Citation 2

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Rational Expectations, Behavioral Biases, Pricing Kernel, Conditioning Set, Relative Entropy Minimization

7.

The Term Structure of Macroeconomic Risks at the Zero Lower Bound

Number of pages: 97 Posted: 04 Nov 2016 Last Revised: 16 Jun 2020
Guillaume Roussellet
McGill University - Desautels Faculty of Management
Downloads 82 (333,403)
Citation 1

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Affine Term Structure Model, Zero Lower Bound, QTSM, TIPS, Liftoff Probabilities, Inflation Risk Premia

8.

Long Run Impact of Macro News on Treasury Bond Yields

Number of pages: 39 Posted: 11 Nov 2019
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 45 (448,835)

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Term Structure, Macro-Finance, Variance Decomposition

9.

Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries

CESifo Working Paper Series No. 3975
Number of pages: 35 Posted: 01 Nov 2012
Agnès Bénassy-Quéré and Guillaume Roussellet
affiliation not provided to SSRN and McGill University - Desautels Faculty of Management
Downloads 37 (483,061)

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fiscal sustainability, tax gap, systemic banking risk, off-balance sheet liabilities

10.

Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries

Banque de France Working Paper No. 428
Number of pages: 41 Posted: 30 Mar 2013
Agnès Bénassy-Quéré and Guillaume Roussellet
Paris School of Economics (University Paris 1) and McGill University - Desautels Faculty of Management
Downloads 17 (597,045)

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Fiscal sustainability, tax gap, systemic banking risk, off-balance sheet liabilities