Details about Fulvio Pegoraro

Access statistics for papers by Fulvio Pegoraro.

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

Short-id: ppe354

Working Papers

2020

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

2015

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

2014

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

2013

5. Regime Switching and Bond Pricing
   Working Papers, Center for Research in Economics and Statistics View citations (1)
   Also in Working papers, Banque de France (2013) View citations (2)
   See also Journal Article in Journal of Financial Econometrics (2014)

2012

6. Asset Pricing with Second-Order Esscher Transforms
   Working papers, Banque de France View citations (6)
   Also in Working Papers, Center for Research in Economics and Statistics (2010) View citations (7)
   See also Journal Article in Journal of Banking & Finance (2012)

2011

7. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
   Working Papers, Center for Research in Economics and Statistics View citations (1)
   Also in Working papers, Banque de France (2009) View citations (19)
   See also Journal Article in Journal of Banking & Finance (2013)

2009

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

2008

9. Econometric Asset Pricing Modelling
   Working papers, Banque de France View citations (19)
   Also in Working Papers, Center for Research in Economics and Statistics (2007) View citations (2)
   See also Journal Article in Journal of Financial Econometrics (2008)
10. Taking into account extreme events in European option pricing
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2008)

2007

11. Multi-Lag Term Structure Models with Stochastic Risk Premia
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) View citations (2)
12. Pricing and Inference with Mixtures of Conditionally Normal Processes
    Working papers, Banque de France View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) View citations (31)
13. Switching VARMA Term Structure Models - Extended Version
    Working Papers, Center for Research in Economics and Statistics View citations (15)
    Also in Working papers, Banque de France (2007) 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 View citations (16)
   Also in Rue de la Banque, 2017, (52) (2017) View citations (10)
   See also Working Paper (2015)

2014

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

2013

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

2012

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

2008

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

2007

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