| Climate-related scenarios for financial stability assessment: an application to France T Allen, S Dees, CM Caicedo Graciano, V Chouard, L Clerc, A de Gaye, ... Banque de France Working Paper, 2020 | 124 | 2020 |
| No-arbitrage Near-Cointegrated VAR (p) term structure models, term premia and GDP growth C Jardet, A Monfort, F Pegoraro Journal of Banking & Finance 37 (2), 389-402, 2013 | 94 | 2013 |
| Staying at zero with affine processes: An application to term structure modelling A Monfort, F Pegoraro, JP Renne, G Roussellet Journal of Econometrics 201 (2), 348-366, 2017 | 74 | 2017 |
| Econometric asset pricing modelling H Bertholon, A Monfort, F Pegoraro Journal of Financial Econometrics 6 (4), 407-458, 2008 | 74 | 2008 |
| Switching VARMA term structure models A Monfort, F Pegoraro Journal of Financial Econometrics 5 (1), 105-153, 2007 | 67 | 2007 |
| Pricing and inference with mixtures of conditionally normal processes H Bertholon, A Monfort, F Pegoraro Banque de France Working Paper, 2007 | 46 | 2007 |
| Asset pricing with second-order Esscher transforms A Monfort, F Pegoraro Journal of Banking & Finance 36 (6), 1678-1687, 2012 | 45 | 2012 |
| Regime switching and bond pricing C Gourieroux, A Monfort, F Pegoraro, JP Renne Journal of Financial Econometrics 12 (2), 237-277, 2013 | 29 | 2013 |
| Affine modeling of credit risk, pricing of credit events, and contagion A Monfort, F Pegoraro, JP Renne, G Roussellet Management Science 67 (6), 3674-3693, 2021 | 19 | 2021 |
| Staying at zero with affine processes: A new dynamic term structure model A Monfort, F Pegoraro, JP Renne, G Roussellet Available at SSRN 2408495, 2014 | 19 | 2014 |
| Multi-lag term structure models with stochastic risk premia A Monfort, F Pegoraro Banque de France Working Paper, 2007 | 13 | 2007 |
| Switching VARMA term structure models-extended version A Monfort, F Pegoraro Banque de France Working Paper, 2007 | 12 | 2007 |
| Persistence, bias, prediction and averaging estimators C Jardet, A Monfort, F Pegoraro Banque de France Working Paper, 2009 | 7 | 2009 |
| Discrete Time Factor Models for Asset Pricing F Pegoraro Ph. D. Thesis, Université Paris-Dauphine (France), 2006 | 7 | 2006 |
| New information response functions and applications to monetary policy C Jardet, A Monfort, F Pegoraro Working paper, available at http://www. crest. fr/pageperso/pegoraro …, 2012 | 6 | 2012 |
| Recursive discrete-time affine processes and asset pricing A Monfort, F Pegoraro, JP Renne, G Roussellet Technical report, mimeo, 2014 | 5 | 2014 |
| International yield curves and principal components selection techniques: An empirical assessment F Pegoraro, AF Siegel, L Pezzoli Banque de France Working Paper, 2014 | 4 | 2014 |
| ’(2013):“International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment,” F Pegoraro, AF Siegel, L Tiozzo‘Pezzoli Working Paper, Banque de France, 0 | 4 | |
| Online Appendix for’No-arbitrage Near-Cointegrated VAR (p) Term Structure Models, Term Premia and GDP Growth’ C Jardet, A Monfort, F Pegoraro | 2 | 2012 |
| Specification Analysis of International Treasury Yield Curve Factors F Pegoraro, AF Siegel, L Pezzoli Banque de France Working Paper, 2014 | 1 | 2014 |
