Jean-Paul Renne

Available identifiers

Publication	Date of Publication	Type
A model of the euro-area yield curve with discrete policy rates	2023-03-30	Paper
Required capital for long-run risks	2022-12-12	Paper
Identification and Estimation in Non-Fundamental Structural VARMA Models	2022-11-11	Paper
Disastrous Defaults	2022-01-19	Paper
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*	2018-11-09	Paper
Staying at zero with affine processes: an application to term structure modelling	2017-11-07	Paper
Statistical inference for independent component analysis: application to structural VAR models	2016-11-17	Paper
A tractable interest rate model with explicit monetary policy rates	2016-10-07	Paper
A quadratic Kalman filter	2015-09-01	Paper
Erratum to ``Pricing default events: surprise, exogeneity and contagion	2014-11-24	Paper
Pricing default events: surprise, exogeneity and contagion	2014-08-06	Paper

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