Jean-Sébastien Fontaine
Jean-Sébastien Fontaine
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Bond liquidity premia
JS Fontaine, R Garcia
Review of Financial Studies 25 (4), 1207-1205, 2009
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
B Feunou, JS Fontaine, A Taamouti, R Tédongap
Review of Finance, 2011
Funding risk, market liquidity, market volatility and the cross-section of asset returns
JS Fontaine, R Garcia, S Gungor
Available at SSRN 2557211, 2016
Improving the Resilience of Core Funding Markets
JS Fontaine, J Selody, C Wilkins
Financial System Review, 41-46, 2009
Non-Markov Gaussian term structure models: The case of inflation
B Feunou, JS Fontaine
Review of Finance 18 (5), 1953-2001, 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
Tractable Term Structure Models
B Feunou, JS Fontaine, A Le, CT Lundblad
Available at SSRN 2693568, 2018
What do Fed Funds Futures tell us about Monetary Policy Uncertainty
JS Fontaine
Available at SSRN 1343913, 2016
Bond risk premia and Gaussian term structure models
B Feunou, JS Fontaine
Management Science 64 (3), 1413-1439, 2018
Implied volatility and skewness surface
B Feunou, JS Fontaine, R Tédongap
Review of Derivatives Research 20 (2), 167-202, 2017
Securities financing and bond market liquidity
JS Fontaine, C Garriott, K Gray
Bank of Canada Financial System Review, 39-45, 2016
Competition and Risk in Centrally Cleared Markets
JS Fontaine, HP Saiz, J Slive
Bank of Canada Review, 2012
Measuring Limits of Arbitrage in Fixed‐Income Markets
JS Fontaine, G Nolin
Journal of Financial Research 42 (3), 525-552, 2019
Repo market functioning when the interest rate is low or negative
JS Fontaine, J Hately, A Walton
Bank of Canada Staff Discussion Paper, 2017
How should central counterparty clearing reduce risk? Collateral requirements and entry restrictions
JS Fontaine, S Perez-Saiz, J Slive
Manuscript, Bank of Canada, 2014
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
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
Discrete choice term structure models: Theory and Applications
B Feunou, JS Fontaine
Working paper, Duke University and Bank of Canada, 2010
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
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
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