Advanced Search
MyIDEAS: Login

Fulvio Pegoraro

Contents:

This is information that was supplied by Fulvio Pegoraro in registering through RePEc. If you are Fulvio Pegoraro , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Fulvio
Middle Name:
Last Name: Pegoraro
Suffix:

RePEc Short-ID: ppe354

Email:
Homepage: http://www.crest.fr/ses.php?user=3028
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

as in new window

Working papers

  1. Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013. "Regime Switching and Bond Pricing," Working Papers 2013-48, Centre de Recherche en Economie et Statistique.
  2. Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Centre de Recherche en Economie et Statistique.
  3. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  4. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  5. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
  6. Idier, Julien & Jardet, Caroline & Le Fol, Gaëlle & Monfort, Alain & Pegoraro, Fulvio, 2008. "Taking into account extreme events in European option pricing," Economics Papers from University Paris Dauphine 123456789/5390, Paris Dauphine University.
  7. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Centre de Recherche en Economie et Statistique.
  8. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  9. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Centre de Recherche en Economie et Statistique.

Articles

  1. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  2. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
  3. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
  4. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 105-153.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2009-07-17 2009-07-17. Author is listed
  2. NEP-ECM: Econometrics (1) 2009-07-17
  3. NEP-ETS: Econometric Time Series (1) 2009-07-17
  4. NEP-FDG: Financial Development & Growth (1) 2011-03-19
  5. NEP-FMK: Financial Markets (1) 2013-10-25
  6. NEP-MAC: Macroeconomics (2) 2009-07-17 2013-10-25. Author is listed
  7. NEP-ORE: Operations Research (2) 2012-09-22 2013-10-25. Author is listed

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Fulvio Pegoraro should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.