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Fulvio Pegoraro

Personal Details

First Name:Fulvio
Middle Name:
Last Name:Pegoraro
Suffix:
RePEc Short-ID:ppe354
http://www.crest.fr/ses.php?user=3028
Terminal Degree:2004 Dipartimento di Economia; Università Ca' Foscari Venezia (from RePEc Genealogy)

Affiliation

(in no particular order)

Banque de France (Bank of France)

Paris, France
http://www.banque-france.fr/



B.P. 140-01 75049 Paris Cedex 01
RePEc:edi:bdfgvfr (more details at EDIRC)

Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics)

France
http://crest.science/

01 41 17 60 81

Bâtiment ENSAE, 5 rue Henry LE Chatelier, 91120 Palaiseau
RePEc:edi:crestfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  2. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment," Working papers 489, Banque de France.
  3. 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.
  4. Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
  5. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  6. 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.
  7. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
  8. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
  9. 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.
  10. 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.

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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

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

    Cited by:

    1. Mojon, B. & Pegoraro, F., 2014. "Decoupling euro area and US yield curves," Rue de la Banque, Banque de France, issue 01, december..

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

    Cited by:

    1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Philippe Mueller & Gyuri Venter & Andrea Vedolin & Aytek Malkhozov, 2014. "International Liquidity CAPM," 2014 Meeting Papers 1165, Society for Economic Dynamics.

  3. 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. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    2. 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.
    3. 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.

  4. 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. Jean Barthélemy & Magali Marx, 2012. "Generalizing the Taylor Principle: New Comment," Sciences Po publications 403, Sciences Po.
    2. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
    3. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
    4. 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.
    5. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

  5. Jardet, C. & Monfort, A. & Pegoraro, F., 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. Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
    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.

  6. 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.

    Cited by:

    1. 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.
    2. 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.
    3. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 331-352.
    4. : Carlo A. Favero & : Arie E. Gozluklu & : Haoxi Yang, 2013. "Demographics and The Behavior of Interest Rates," Working Papers wpn13-10, Warwick Business School, Finance Group.
    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. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 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. 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.
    13. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
    14. 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.
    15. 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.
    16. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    17. 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.
    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. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    20. Lamé, Gildas, 2013. "Was there a "Greenspan conundrum" in the Euro area ?," MPRA Paper 45870, University Library of Munich, Germany.
    21. 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.
    22. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    23. 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.
    24. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    25. 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.

  7. Bertholon, H. & Monfort, A. & Pegoraro, F., 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 1-37, 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. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    6. 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.
    7. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 457-493, June.
    8. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," CORE Discussion Papers 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
    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. 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.
    13. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Papers 0911.0928, arXiv.org.
    14. 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.
    15. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
    16. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    17. 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.
    18. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.

  8. 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. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 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. 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.
    6. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
    7. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    8. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    9. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
    10. 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.
    11. 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.
    12. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.

  9. 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. 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.
    3. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.

  10. 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. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    3. Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España;Working Papers Homepage.
    4. 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.
    5. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
    6. 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.
    7. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    8. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," CORE Discussion Papers 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. 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.
    10. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    11. Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.

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.
    See citations under working paper version above.
  2. 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.
  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.
    See citations under working paper version above.
  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.

    Cited by:

    1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 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 & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    7. 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.
    8. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
    9. Monfort, A. & Pegoraro, F., 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers 189, Banque de France.
    10. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
    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. Hanson, Samuel & Lucca, David O. & Wright, Jonathan H., 2017. "Interest rate conundrums in the twenty-first century," Staff Reports 810, Federal Reserve Bank of New York.
    13. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    14. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44 Edward Elgar Publishing.
    15. 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.
    16. 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.
    17. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    18. 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.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (2) 2009-07-17 2009-07-17
  2. NEP-MAC: Macroeconomics (2) 2009-07-17 2013-10-25
  3. NEP-ORE: Operations Research (2) 2012-09-22 2013-10-25
  4. NEP-ECM: Econometrics (1) 2009-07-17
  5. NEP-ETS: Econometric Time Series (1) 2009-07-17
  6. NEP-FDG: Financial Development & Growth (1) 2011-03-19
  7. NEP-FMK: Financial Markets (1) 2013-10-25

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