Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > RECHERCHE
 
 

Jean-Paul Renne

  UNISCIENCES ARCHIVED ENTRY  

Contact





warning : some unisciences data are missing

Publications

8 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Gouriéroux C., Monfort A. ; Renne J.-P. (2019). Identification and Estimation in Non-Fundamental Structural VARMA Models. The Review of Economic Studies.


GRISHCHENKO O., MOUABBI S. ; RENNE J.-P. (2019). Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison. Journal of Money, Credit and Banking.


Fries S., Mésonnier J.-S., Mouabbi S. ; Renne J.-P. (2018). National natural rates of interest and the single monetary policy in the euro area : National natural rates of interest and the single monetary policy in the euro area. Journal of Applied Econometrics, 33, 763-779.


Gouriéroux C., Monfort A. ; Renne J.-P. (2017). Statistical inference for independent component analysis: Application to structural VAR models. Journal of Econometrics, 196, 111-126. Peer Reviewed


Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul ; Roussellet Guillaume (2017). Staying at zero with affine processes: An application to term structure modelling. Journal of Econometrics, 201, 348-366.


Renne J.-P. (2017). A model of the euro-area yield curve with discrete policy rates. Studies in Nonlinear Dynamics & Econometrics, 21, 99-116. Peer Reviewed


Dubecq S., Monfort A., Renne J.-P. ; Roussellet G. (2016). Credit and liquidity in interbank rates: A quadratic approach. Journal of Banking and Finance, 68, 29-46. Peer Reviewed


Renne J.-P. (2016). A tractable interest rate model with explicit monetary policy rates. European Journal of Operational Research, 251, 873-887. Peer Reviewed


Curriculum

Competences



Macro-Financial Econometrics

Education

PhD in Applied Mathematics - Université Paris-Dauphine

Master of Public Action - Ecole National des Ponts et Chaussées

MSc Finance and Economics - Ecole Nationale des Ponts et Chaussées

MSc Economics and Applied Mathematics - Ecole Polytechnique

Work experience

Scientific Consultancy for the Banque de France

Consultancy for the OECD

Senior Economist - Banque de France

Head of Operational Research (Agence France Trésor, French Debt Management Office)

Deputy Head of the Growth Policy Division - Ministry of Finance

Consultancy for the European Central Bank

Keywords

  • time series analysis, macro-finance modelling, interest rates, credit risk.

 
 
Search


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University