Jean-Paul Renne

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
An analytical framework to price long-dated climate-exposed assets Quantitative Economics	2026-03-03	Paper
A model of the euro-area yield curve with discrete policy rates Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Required capital for long-run risks Journal of Economic Dynamics and Control	2022-12-12	Paper
Identification and Estimation in Non-Fundamental Structural VARMA Models Review of Economic Studies	2022-11-11	Paper
Disastrous Defaults Review of Finance	2022-01-19	Paper
Decomposing euro-area sovereign spreads: credit and liquidity risks Review of Finance	2018-11-09	Paper
Staying at zero with affine processes: an application to term structure modelling Journal of Econometrics	2017-11-07	Paper
Statistical inference for independent component analysis: application to structural VAR models Journal of Econometrics	2016-11-17	Paper
A tractable interest rate model with explicit monetary policy rates European Journal of Operational Research	2016-10-07	Paper
A quadratic Kalman filter Journal of Econometrics	2015-09-01	Paper
Erratum to ``Pricing default events: surprise, exogeneity and contagion'' Journal of Econometrics	2014-11-24	Paper
Pricing default events: surprise, exogeneity and contagion Journal of Econometrics	2014-08-06	Paper

Research outcomes over time

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