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

12

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28

CROSSREF CITATIONS

84

Scholarly Papers (12)

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1.

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

Downloads 481 ( 73,096)
Citation 24

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 447 (79,109)
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 34 (555,330)
Citation 14

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

2.

A Quadratic Kalman Filter

Downloads 358 (103,276)
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 302 (123,655)
Citation 1

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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 (453,167)
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 227 (165,740)
Citation 3

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Interest Rate Forecast, Regime Switching, Factor Model

4.

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 181 (204,053)
Citation 1

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

5.

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 160 (226,685)
Citation 9

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

6.

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 158 (229,169)
Citation 17

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

7.

Preventing COVID-19 Fatalities: State versus Federal Policies

Number of pages: 53 Posted: 29 Oct 2020 Last Revised: 15 Dec 2020
Jean-Paul Renne, Guillaume Roussellet and Gustavo Schwenkler
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), McGill University - Desautels Faculty of Management and Santa Clara University - Department of Finance
Downloads 110 (302,122)

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8.

Long Run Impact of Macro News on Treasury Bond Yields

Number of pages: 56 Posted: 11 Nov 2019 Last Revised: 27 Jan 2021
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 102 (318,137)

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Term Structure, Macro-Finance, Variance Decomposition

9.

The Term Structure of Macroeconomic Risks at the Zero Lower Bound

Number of pages: 91 Posted: 04 Nov 2016 Last Revised: 08 Jul 2021
Guillaume Roussellet
McGill University - Desautels Faculty of Management
Downloads 90 (344,604)

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

10.

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 38 (522,022)

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

11.

Properties of Subjective Beliefs Estimators

Number of pages: 27 Posted: 17 Mar 2021
Anisha Ghosh, Taisuke Otsu and Guillaume Roussellet
McGill University, London School of Economics & Political Science (LSE) - Department of Economics and McGill University - Desautels Faculty of Management
Downloads 20 (628,447)

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

12.

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 18 (642,498)

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