Guillaume Roussellet
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​Research
Published and working papers
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Published papers 

  • Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion, (forthcoming) Management Science (joint with A. Monfort, F. Pegoraro and J.P. Renne)
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  • Scenario Generation for Long-Run Interest Rate Risk Assessment,  published in the Journal of Econometrics, Vol. 201, No. 2, December 2017 (joint with R. Engle and E. Siriwardane)​
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  • Staying at Zero with Affine Processes,  published in the Journal of Econometrics, Vol. 201, No. 2, December 2017 (joint with A. Monfort, F. Pegoraro and J.P. Renne)​
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  • A Quadratic Kalman Filter,  published in the Journal of Econometrics, Vol. 187, No. 1, July 2015 (joint with A. Monfort and J.P. Renne)
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  • Credit and Liquidity in Interbank Rates: A Quadratic Approach, published in the Journal of Banking and Finance, Vol. 68, July 2016 (joint with A. Monfort and J.P. Renne)
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Working Papers

  • Preventing COVID-19 Fatalities: State versus Federal Policies, 2020, (joint with J-P. Renne and G. Schwenkler)
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  • ​​The Term Structure of Macroeconomic Risks at the Zero Lower Bound, 2020 (submitted) 

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  • Default Risk and the Pricing of U.S. Sovereign Bonds, 2020, ​R&R Journal of Finance (joint with R. Dittmar, A. Hsu and P. Simasek)
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  • Identifying Beliefs From Asset Prices, 2020 (joint with A. Ghosh)
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  • The Long-Run Impact of Macroeconomic News on Treasury Bond Yields, 2021, (joint with J.S. Fontaine and B. Feunou)
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  • A Hidden Volatility Factor in the VIX, mimeo (joint with R. Engle)
  • Managing Hedge Fund Liquidity Risks, mimeo (joint with S. Darolles)

Academic Discussions

  • Slowly Unfolding Disasters, M. Ghaderi, M. Kilic, and S.B. Seo
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  • Arbitrage Portfolios, S. Kim, R. Korajczyk and A. Neuhierl, ESSEC-EUROFIDAI conference 2019
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  • Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, J. Cotter, S. Gabriel and R. Roll, 9th Tau Finance Conference 2018
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  • Nonparametric Assessment of Hedge Fund Performance, C. Almeida, K. Ardison and R. Garcia, CIREQ annual conference 2018
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  • Risky Bank Guarantees, T. Makinen, L. Sarno and G. Zinna, BCB Sao Paulo conference 2017
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  • Time-varying Lower Bound of Interest Rates in Europe, C. Wu and D. Xia, NFA conference 2017
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  • Time-Varying Volatility and the Power Law Distribution of Stock Returns, M. Warusawitharana, FMA annual conference 2017
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  • Assessment of Uncertainty in High Frequency Data: the Observed Asymptotic Variance, P. Mykland and L. Zhang, EFA annual conference 2016
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  • Term Structure Modeling when Monetary Policy is Unconventional: A New Approach, B. Feunou, J.S. Fontaine and A. Le, 2015 Banque de France workshop on Modeling the term structure at the zero lower bound.
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