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Details about Fulvio Pegoraro

E-mail:
Homepage:http://www.crest.fr/ses.php?user=3028
Workplace:Banque de France (Bank of France), (more information at EDIRC)
Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Fulvio Pegoraro.

Last updated 2020-02-26. Update your information in the RePEc Author Service.

Short-id: ppe354


Jump to Journal Articles

Working Papers

2020

  1. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)

2015

  1. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
    Working papers, Banque de France Downloads View citations (3)
  2. Specification Analysis of International Treasury Yield Curve Factors
    Working papers, Banque de France Downloads View citations (2)

2013

  1. Regime Switching and Bond Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    Also in Working papers, Banque de France (2013) Downloads View citations (2)

    See also Journal Article in Journal of Financial Econometrics (2014)

2012

  1. Asset Pricing with Second-Order Esscher Transforms
    Working papers, Banque de France Downloads View citations (6)
    Also in Working Papers, Center for Research in Economics and Statistics (2010) Downloads View citations (7)

    See also Journal Article in Journal of Banking & Finance (2012)

2011

  1. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    Also in Working papers, Banque de France (2009) Downloads View citations (19)

    See also Journal Article in Journal of Banking & Finance (2013)

2009

  1. New Information Response Functions
    Working papers, Banque de France Downloads View citations (6)

2008

  1. Econometric Asset Pricing Modelling
    Working papers, Banque de France Downloads View citations (19)
    Also in Working Papers, Center for Research in Economics and Statistics (2007) Downloads View citations (2)

    See also Journal Article in Journal of Financial Econometrics (2008)
  2. Taking into account extreme events in European option pricing
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2008)

2007

  1. Multi-Lag Term Structure Models with Stochastic Risk Premia
    Working papers, Banque de France Downloads View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) Downloads View citations (2)
  2. Pricing and Inference with Mixtures of Conditionally Normal Processes
    Working papers, Banque de France Downloads View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) Downloads View citations (31)
  3. Switching VARMA Term Structure Models - Extended Version
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (15)
    Also in Working papers, Banque de France (2007) Downloads View citations (16)

Journal Articles

2017

  1. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 Downloads View citations (16)
    Also in Rue de la Banque, 2017, (52) (2017) Downloads View citations (10)

    See also Working Paper (2015)

2014

  1. Decoupling euro area and US yield curves
    Rue de la Banque, 2014, (01) Downloads
  2. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 Downloads View citations (2)
    See also Working Paper (2013)

2013

  1. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
    Journal of Banking & Finance, 2013, 37, (2), 389-402 Downloads View citations (17)
    See also Working Paper (2011)

2012

  1. Asset pricing with Second-Order Esscher Transforms
    Journal of Banking & Finance, 2012, 36, (6), 1678-1687 Downloads View citations (6)
    See also Working Paper (2012)

2008

  1. Econometric Asset Pricing Modelling
    Journal of Financial Econometrics, 2008, 6, (4), 407-458 Downloads View citations (24)
    See also Working Paper (2008)

2007

  1. Switching VARMA Term Structure Models
    Journal of Financial Econometrics, 2007, 5, (1), 105-153 Downloads View citations (23)
 
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