Fulvio Pegoraro
Fulvio Pegoraro
Research Economist at Banque de France; Researcher at the CREST (Laboratoire de Finance-Assurance)
Adresse e-mail validée de banque-france.fr
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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
762013
Econometric asset pricing modelling
H Bertholon, A Monfort, F Pegoraro
Journal of Financial Econometrics 6 (4), 407-458, 2008
632008
Switching varma term structure models
A Monfort, F Pegoraro
Journal of Financial Econometrics 5 (1), 105-153, 2007
602007
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
442017
Pricing and inference with mixtures of conditionally normal processes
H Bertholon, A Monfort, F Pegoraro
Banque de France Working Paper, 2007
432007
Asset pricing with second-order Esscher transforms
A Monfort, F Pegoraro
Journal of Banking & Finance 36 (6), 1678-1687, 2012
372012
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
182014
Regime switching and bond pricing
C Gourieroux, A Monfort, F Pegoraro, JP Renne
Journal of Financial Econometrics 12 (2), 237-277, 2013
162013
Climate-related scenarios for financial stability assessment: an application to France
T Allen, S Dees, V Chouard, L Clerc, A de Gaye, A Devulder, S Diot, ...
132020
Switching VARMA term structure models-extended version
A Monfort, F Pegoraro
Banque de France Working Paper, 2007
122007
Multi-lag term structure models with stochastic risk premia
A Monfort, F Pegoraro
Banque de France Working Paper, 2007
122007
Discrete Time Factor Models for Asset Pricing
F Pegoraro
Ph. D. Thesis, Université Paris-Dauphine (France), 2006
72006
Recursive discrete-time affine processes and asset pricing
A Monfort, F Pegoraro, JP Renne, G Roussellet
Technical report, mimeo, 2014
52014
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
52012
Persistence, bias, prediction and averaging estimators
C Jardet, A Monfort, F Pegoraro
Banque de France Working Paper, 2009
52009
’(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
International yield curves and principal components selection techniques: An empirical assessment
F Pegoraro, AF Siegel, L Pezzoli
Banque de France Working Paper, 2014
32014
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
A Monfort, F Pegoraro, JP Renne, G Roussellet
Management Science, 2020
22020
Online Appendix for’No-arbitrage Near-Cointegrated VAR (p) Term Structure Models, Term Premia and GDP Growth’
C Jardet, A Monfort, F Pegoraro
22012
Specification Analysis of International Treasury Yield Curve Factors
F Pegoraro, AF Siegel, LT Pezzoli
Banque de France, 2014
12014
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