Jean-Sébastien Fontaine
Jean-Sébastien Fontaine
Verified email at bankofcanada.ca - Homepage
Title
Cited by
Cited by
Year
Bond liquidity premia
JS Fontaine, R Garcia
Review of Financial Studies 25 (4), 1207-1205, 2009
3082009
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
B Feunou, JS Fontaine, A Taamouti, R Tédongap
Review of Finance, 2011
422011
Funding risk, market liquidity, market volatility and the cross-section of asset returns
JS Fontaine, R Garcia, S Gungor
Available at SSRN 2557211, 2016
29*2016
Improving the Resilience of Core Funding Markets
JS Fontaine, J Selody, C Wilkins
Financial System Review, 41-46, 2009
25*2009
Non-Markov Gaussian term structure models: The case of inflation
B Feunou, JS Fontaine
Review of Finance 18 (5), 1953-2001, 2014
20*2014
Dealers' Competition and Control of a Central Counterparty: When Lower Risk Increases Profit
H Perez Saiz, JS Fontaine, J Slive
Available at SSRN 2022439, 2013
13*2013
Tractable Term Structure Models
B Feunou, JS Fontaine, A Le, CT Lundblad
Available at SSRN 2693568, 2018
12*2018
What do Fed Funds Futures tell us about Monetary Policy Uncertainty
JS Fontaine
Available at SSRN 1343913, 2016
12*2016
Bond risk premia and Gaussian term structure models
B Feunou, JS Fontaine
Management Science 64 (3), 1413-1439, 2018
11*2018
Implied volatility and skewness surface
B Feunou, JS Fontaine, R Tédongap
Review of Derivatives Research 20 (2), 167-202, 2017
10*2017
Securities financing and bond market liquidity
JS Fontaine, C Garriott, K Gray
Bank of Canada Financial System Review, 39-45, 2016
10*2016
Competition and Risk in Centrally Cleared Markets
JS Fontaine, HP Saiz, J Slive
Bank of Canada Review, 2012
8*2012
Measuring Limits of Arbitrage in Fixed‐Income Markets
JS Fontaine, G Nolin
Journal of Financial Research 42 (3), 525-552, 2019
62019
Repo market functioning when the interest rate is low or negative
JS Fontaine, J Hately, A Walton
Bank of Canada Staff Discussion Paper, 2017
52017
How should central counterparty clearing reduce risk? Collateral requirements and entry restrictions
JS Fontaine, S Perez-Saiz, J Slive
Manuscript, Bank of Canada, 2014
52014
Cross-Border Bank Flows and Monetary Policy: Implications for Canada
R Correa, T Paligorova, H Sapriza, A Zlate
Bank of Canada Staff Working Paper, 2017
4*2017
Foreign flows and their effects on government of Canada yields
B Feunou, JS Fontaine, J Kyeong, J Sierra
Bank of Canada Staff Analytical Note 2015 (1), 2015
42015
Discrete choice term structure models: Theory and Applications
B Feunou, JS Fontaine
Working paper, Duke University and Bank of Canada, 2010
42010
Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
JS Fontaine, J Gao, J Sandhu, K Wu
Bank of Canada Staff Analytical Note 2017 (23), 2017
32017
What drives episodes of settlement fails in the government of Canada bond market?
JS Fontaine, J Pinnington, A Walton
Bank of Canada Staff Working Paper, 2017
32017
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