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24, chemin de Borde Rouge -Auzeville - CS52627 31326 Castanet Tolosan cedex - France

Last update: May 2021

Menu Logo Principal L'Institut Agro Rennes-Angers

Home page

Guillaume Bagnarosa

Rennes School of Business, Research associate at SMART

Associate Professor

Phone: +33(2) 99 54 63 63

Personal webpage on Rennes School of Business

Research Topics

  • Commodity market price modelling and risk management
  • Econometrics
  • Financial mathematics

Selected recent publications

  • Bagnarosa Guillaume, Matthew Ames, Tomoko Matsui, Gareth W. Peters and Pavel V. Shevchenko, (2020).
    "Which risk factors drive oil futures price curves?"
     Energy Economics 87: 104676.
  • Bagnarosa Guillaume, Marowka Maciej, Gareth W. Peters and Nikolas Kantas, (2020).
    "Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread."
     Journal of the Royal Statistical Society: Series C (Applied Statistics) 69: 483-500.
  • Bagnarosa Guillaume and Alexandre Gohin, (2019).
    "La diversité des instruments innovants à la disposition des agriculteurs."
    Innovations Agronomiques 77: 61-74.
  • Bagnarosa Guillaume, Matthew Ames, Gareth Peters and Pavel Shevchenko, (2018).
    "Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades."
     Journal of Forecasting 37: 805-831.
  • Bagnarosa Guillaume, Matthew Ames and Gareth Peters, (2017).
    "Violations of uncovered interest rate parity and international exchange rate dependences."
     Journal of International Money and Finance 73: 162-187.
  • Bagnarosa Guillaume, Christos Alexakis and Michael Dowling, (2017).
    "Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean."
    Finance Research Letters 23: 96-102. 

Work in progress

  • Climate risk modelling and climate insurance pricing.
  • Agricultural commodities term structure modelling.

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