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Fulvio Pegoraro

Citations

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Working papers

  1. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.

    Cited by:

    1. Kevin Pallara & Jean-Paul Renne, 2024. "Fiscal Limits and the Pricing of Eurobonds," Management Science, INFORMS, vol. 70(2), pages 1216-1237, February.
    2. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    3. Li, Quan & Zha, Yong & Dong, Yu, 2023. "Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System," European Journal of Operational Research, Elsevier, vol. 305(2), pages 644-658.
    4. Roussellet, Guillaume, 2025. "The term structure of macroeconomic risks at the effective lower bound," Journal of Econometrics, Elsevier, vol. 248(C).
    5. Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
    6. D’Amico, Stefania & Klausmann, Johannes & Pancost, N. Aaron, 2026. "The benchmark greenium," Journal of Financial Economics, Elsevier, vol. 176(C).
    7. Fu, Michael C. & Li, Bingqing & Li, Fei & Wu, Rongwen, 2025. "Contagion network, portfolio credit risk, and financial crisis," European Journal of Operational Research, Elsevier, vol. 321(3), pages 942-957.
    8. Liu, Haibo & Tang, Qihe, 2025. "Modeling and pricing credit risk with a focus on recovery risk," Journal of Banking & Finance, Elsevier, vol. 170(C).
    9. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
    10. Masaru Tsuruta, 2024. "Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options," JRFM, MDPI, vol. 17(2), pages 1-33, February.
    11. Qin, Zhaohui & Wang, Xiaowan & Chen, Yijie & Fan, Yali & Andrianarimanana, Mihasina Harinaivo & Gai, Dhornor Tarir Duok, 2024. "Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture," Finance Research Letters, Elsevier, vol. 67(PA).
    12. Nan Guo & Steven Kou & Bin Wang & Ruodu Wang, 2025. "A Theory of Credit Rating Criteria," Management Science, INFORMS, vol. 71(4), pages 3583-3599, April.
    13. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  2. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Christian Gouri roux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    3. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    4. Thomas B. King, 2016. "Expectation and Duration at the Effective Lower Bound," Working Paper Series WP-2016-21, Federal Reserve Bank of Chicago.
    5. Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
    6. Martin M Andreasen & Andrew Meldrum, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England Staff Working Paper series 550, Bank of England.
    7. Jean-Paul Renne & Sarah Mouabbi & Adrien Tschopp, 2026. "Inflation and Growth Risk: Balancing the Scales with Surveys," Working papers 1036, Banque de France.
    8. Sarah Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    9. Pauline Chikhani & Jean‐Paul Renne, 2025. "An analytical framework to price long‐dated climate‐exposed assets," Quantitative Economics, Econometric Society, vol. 16(4), pages 1093-1146, November.
    10. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    11. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    12. Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024. "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, vol. 244(1).
    13. Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
    14. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    15. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    16. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    17. Hansen, Anne Lundgaard, 2024. "Time-varying variance decomposition of macro-finance term structure models," Journal of Empirical Finance, Elsevier, vol. 79(C).
    18. Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
    19. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
    20. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    21. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
    22. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    23. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
    24. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    25. Andreasen, Martin M. & Jørgensen, Kasper & Meldrum, Andrew, 2025. "Bond risk premiums at the zero lower bound," Journal of Econometrics, Elsevier, vol. 247(C).
    26. Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
    27. Marco Realdon, 2025. "Affine term structure models with Garch volatility," Risk Management, Palgrave Macmillan, vol. 27(4), pages 1-33, December.
    28. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
    29. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    30. Januj Juneja, 2025. "What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2505-2543, May.
    31. Roussellet, Guillaume, 2025. "The term structure of macroeconomic risks at the effective lower bound," Journal of Econometrics, Elsevier, vol. 248(C).
    32. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
    33. Chavleishvili, Sulkhan & Moench, Emanuel, 2025. "Natural disasters as macroeconomic tail risks," Journal of Econometrics, Elsevier, vol. 247(C).
    34. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
    35. Adam Golinski & Sophie Guilloux-Nefussi & Jean-Paul Renne, 2025. "The Shadow Rate Model: Let’s Make it Real!," Working papers 1014, Banque de France.
    36. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    37. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, Centre for Economic Policy Research.
    38. Bletzinger, Tilman & Lemke, Wolfgang & Renne, Jean-Paul, 2025. "Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model," Working Paper Series 3012, European Central Bank.
    39. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
    40. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    41. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    42. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    43. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    44. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  3. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.

    Cited by:

    1. Andrew Meldrum & Marek Raczko & Peter Spencer, 2018. "The information in the joint term structures of bond yields," Bank of England Staff Working Paper series 772, Bank of England.
    2. Mojon, B. & Pegoraro, F., 2014. "Decoupling euro area and US yield curves," Rue de la Banque, Banque de France, issue 01, december..

  4. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment," Working papers 489, Banque de France.

    Cited by:

    1. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
    3. Philippe Mueller & Gyuri Venter & Andrea Vedolin & Aytek Malkhozov, 2014. "International Liquidity CAPM," 2014 Meeting Papers 1165, Society for Economic Dynamics.

  5. Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013. "Regime Switching and Bond Pricing," Working Papers 2013-48, Center for Research in Economics and Statistics.

    Cited by:

    1. Pauline Chikhani & Jean‐Paul Renne, 2025. "An analytical framework to price long‐dated climate‐exposed assets," Quantitative Economics, Econometric Society, vol. 16(4), pages 1093-1146, November.
    2. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    3. Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024. "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, vol. 136(C).
    4. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    5. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    6. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
    7. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
    8. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  6. Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.

    Cited by:

    1. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
    2. Haruyoshi Ito & Jing Ai & Akihiko Ozawa, 2016. "Managing Weather Risks: The Case of J. League Soccer Teams in Japan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 877-912, December.
    3. Hansen, Anne Lundgaard, 2024. "Time-varying variance decomposition of macro-finance term structure models," Journal of Empirical Finance, Elsevier, vol. 79(C).
    4. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    5. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    6. Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024. "The second-order Esscher martingale densities for continuous-time market models," Papers 2407.03960, arXiv.org.
    7. Marco Realdon, 2025. "Affine term structure models with Garch volatility," Risk Management, Palgrave Macmillan, vol. 27(4), pages 1-33, December.
    8. Tong, Chen, 2024. "Pricing CBOE VIX in non-affine GARCH models with variance risk premium," Finance Research Letters, Elsevier, vol. 62(PA).
    9. Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024. "Second-Order Esscher Pricing for L\'evy Models with Applications: Risk Management and Fear Quantification," Papers 2410.21649, arXiv.org, revised Jun 2026.
    10. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    11. Jean Barthélemy & Magali Marx, 2012. "Generalizing the Taylor Principle: New Comment," Working Papers hal-03461113, HAL.
    12. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
    13. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    14. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
    15. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
    16. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    17. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  7. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "New Information Response Functions," Working papers 235, Banque de France.

    Cited by:

    1. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    2. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
    3. Jean-Paul Renne, 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
    4. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.

  8. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.

    Cited by:

    1. Camelia Minoiu & Andrés Schneider & Min Wei, 2025. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2025-5, Federal Reserve Bank of Atlanta.
    2. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    3. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    4. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    5. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    6. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
    7. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
    8. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
    9. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    10. Rodrigo Guimarães, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England Staff Working Paper series 489, Bank of England.
    11. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    12. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
    13. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Term Premium and Bank Lending," Finance and Economics Discussion Series 2023-049r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 Jul 2026.
    14. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    15. Hansen, Anne Lundgaard, 2024. "Time-varying variance decomposition of macro-finance term structure models," Journal of Empirical Finance, Elsevier, vol. 79(C).
    16. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    17. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    18. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "New Information Response Functions," Working papers 235, Banque de France.
    19. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
    20. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
    21. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    22. Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.
    23. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    24. Juneja, Januj, 2017. "How Germany benefits the most from its Eurozone membership," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1074-1088.
    25. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    26. Jean-Paul Renne, 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    27. Lamé, Gildas, 2013. "Was there a "Greenspan conundrum" in the Euro area ?," MPRA Paper 45870, University Library of Munich, Germany.
    28. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    29. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
    30. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
    31. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    32. Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
    33. Kristina Bluwstein & Julieta Yung, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England Staff Working Paper series 806, Bank of England.
    34. 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.
    35. Alain Monfort & Jean-Paul Renne, 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    36. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    37. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.

  9. Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.

    Cited by:

    1. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    2. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 253-289, May.
    4. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    5. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    6. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    7. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
    8. Xin Fan, 2025. "Publicly Traded Debt Restructuring Methods, Corporate Investment, and Debt Contracting," Management Science, INFORMS, vol. 71(2), pages 1846-1863, February.
    9. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    11. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
    12. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    13. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    14. Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 171-188, January.
    15. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Papers 0911.0928, arXiv.org.
    16. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    17. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    18. Rombouts, Jeroen V.K. & Stentoft, Lars, 2015. "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
    19. Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
    20. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    21. Jean-Paul Renne, 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    22. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
    23. Alain Monfort & Jean-Paul Renne, 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    24. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  10. Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008. "Taking into account extreme events in European option pricing," Post-Print halshs-00638450, HAL.

    Cited by:

    1. Sanvi Avouyi-Dovi & Julien Idier., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.

  11. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.

    Cited by:

    1. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    5. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
    6. Alain Monfort & Fulvio Pegoraro, 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers 189, Banque de France.
    7. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
    8. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    9. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    10. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    11. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    12. Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
    13. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    14. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    15. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    16. Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
    17. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    18. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    19. Alain Monfort & Jean-Paul Renne, 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    20. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    21. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    22. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  12. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.

    Cited by:

    1. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    2. Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
    3. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.

  13. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.

    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    3. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results," Post-Print hal-00308687, HAL.
    4. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    5. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    6. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    7. Mohammadi Fathabad, Abolhassan & Cheng, Jianqiang & Pan, Kai & Yang, Boshi, 2023. "Asymptotically tight conic approximations for chance-constrained AC optimal power flow," European Journal of Operational Research, Elsevier, vol. 305(2), pages 738-753.
    8. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    9. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Post-Print halshs-00281585, HAL.
    10. Mathieu Gatumel & Florian Ielpo, 2014. "The Number Of Regimes Across Asset Returns: Identification And Economic Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-25.
    11. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    12. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    13. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    14. Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
    15. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
    16. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
    17. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
    18. Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
    19. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
    20. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
    21. Steven Caudill & James Long, 2010. "Do former athletes make better managers? Evidence from a partially adaptive grouped-data regression model," Empirical Economics, Springer, vol. 39(1), pages 275-290, August.
    22. Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.
    23. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
    24. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
    25. Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
    26. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
    27. Viktor Bezborodov & Luca Persio & Yuliya Mishura, 2019. "Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 331-366, March.

Articles

  1. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    See citations under working paper version above.
  2. Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014. "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 12(2), pages 237-277.
    See citations under working paper version above.
  3. 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.
    See citations under working paper version above.
  4. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    See citations under working paper version above.
  5. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
    See citations under working paper version above.
  6. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 105-153.

    Cited by:

    1. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    5. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
    6. Alain Monfort & Fulvio Pegoraro, 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers 189, Banque de France.
    7. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
    8. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
    9. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    10. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    11. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    12. Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2017. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," Staff Reports 810, Federal Reserve Bank of New York.
    13. Bertholon, H. & Alain Monfort & Fulvio Pegoraro, 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
    14. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    15. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    16. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    17. Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
    18. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    19. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    20. Alain Monfort & Jean-Paul Renne, 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    21. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    22. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    23. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

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