Fulvio Pegoraro

Banque de France - Economics and Finance Research Center

Economist

31 rue Croix des Petits Champs

75049 Paris Cedex 01 France

France

CREST - Laboratoire de Finance et Assurance

Researcher

15, Boulevard Gabriel Péri

Bureau 1112 - Timbre J320

92245 Malafokk Cedex France, 92245

France

http://www.crest.fr/pageperso/pegoraro/pegoraro.htm

  • Banque de France - Economics and Finance Research Center

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    • Tel: 00.33.(0)1.42.92.91.67
    • Fax: 00.33.(0)1.42.92.48.18

  • CREST - Laboratoire de Finance et Assurance

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    • Tel: 00.33.(0)1.41.17.77.97
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SCHOLARLY PAPERS

13

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37

CROSSREF CITATIONS

410

Scholarly Papers (13)

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1.

Climate-Related Scenarios for Financial Stability Assessment: An Application to France

Banque de France Working Paper No. 774
Number of pages: 68 Posted: 21 Jul 2020
Thomas Allen, Stéphane Dées, Carlos Mateo Caicedo Graciano, Valérie Chouard, Laurent Clerc, Annabelle de Gaye, Antoine Devulder, Sebastien Diot, Noëmie Lisack, Fulvio Pegoraro, Marie Rabate, Romain Svartzman and Lucas Vernet
Banque de France, Banque de France, Banque de France, Banque de France, Banque de France, Banque de France, Banque de France, Banque de France, European University Institute, Banque de France - Economics and Finance Research Center, Banque de France, Banque de France and Institut d'Etudes Politiques de Paris (Sciences Po), Department of Economics, Students
Downloads 511 (78,062)
Citation 4

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Climate Change, Scenario Analysis, Economic Modelling, Financial Stability

2.

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Downloads 487 ( 82,727)
Citation 24

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 453 (89,388)
Citation 9

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off Probabilities

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

Banque de France Working Paper No. 558
Number of pages: 45 Posted: 13 Jun 2015
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 34 (620,088)
Citation 14

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off probabilities

3.

Econometric Asset Pricing Modelling

Downloads 352 (120,345)
Citation 4

Econometric Asset Pricing Modelling

Number of pages: 50 Posted: 03 Mar 2008 Last Revised: 02 Jan 2011
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 298 (142,829)
Citation 2

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Direct Modelling, Risk-Neutral Constrained Direct Modelling, Back Modelling, Internal Consistency Conditions (ICCs), identification problem, Car and Extended Car processes, Laplace Transform.

Econometric Asset Pricing Modelling

Banque de France Working Paper No. 223
Number of pages: 57 Posted: 17 Sep 2010
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 54 (515,577)
Citation 3

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Direct Modelling, Risk-Neutral Constrained Direct Modelling, Back Modelling, Internal Consistency Conditions (ICCs), identification problem, Car and Extended Car processes, Laplace Transform

4.

Pricing and Inference with Mixtures of Conditionally Normal Processes

Downloads 247 (173,414)
Citation 36

Pricing and Inference with Mixtures of Conditionally Normal Processes

Number of pages: 49 Posted: 03 Jul 2007 Last Revised: 16 Jun 2009
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 181 (230,995)
Citation 10

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Derivative Pricing, Stochastic Discount Factor, Implied Volatility, Mixture of Normal Distributions, Mixture of Conditionally Normal Processes, Nonparametric Kernel Estimation, Mixed-Normal GARCH Processes, Switching Regime Models

Pricing and Inference with Mixtures of Conditionally Normal Processes

Banque de France Working Paper No. 188
Number of pages: 59 Posted: 09 Oct 2010
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 66 (467,083)
Citation 37

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Derivative Pricing, Stochastic Discount Factor, Implied Volatility, Mixture of Normal Distributions, Mixture of Conditionally Normal Processes, Nonparametric Kernel Estimation, Mixed-Normal GARCH Processes, Switching Regime Models

5.

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Downloads 233 (183,325)
Citation 39

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

EFA 2009 Bergen Meetings Paper
Number of pages: 35 Posted: 10 Feb 2009 Last Revised: 20 Jan 2011
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 186 (225,475)
Citation 10

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Averaging Estimators, Persistence Problem, Near-Cointegration Analysis, No-Arbitrage Affine Term Structure Model, Term Premia, GDP Growth, New Information Response Functions

No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

Number of pages: 38 Posted: 16 Sep 2010 Last Revised: 09 Jun 2011
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 47 (548,217)
Citation 36

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Averaging Estimators, Persistence Problem, Near-Cointegration Analysis, No-Arbitrage Affine Term Structure Model, Term Premia, GDP Growth, New Information Response Functions

6.

Multi-Lag Term Structure Models with Stochastic Risk Premia

Downloads 191 (220,395)
Citation 21

Multi-Lag Term Structure Models with Stochastic Risk Premia

Number of pages: 44 Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 155 (263,678)
Citation 3

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve.

Multi-Lag Term Structure Models with Stochastic Risk Premia

Banque de France Working Paper No. 189
Number of pages: 51 Posted: 09 Oct 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 21 (716,213)
Citation 20

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve

Multi-Lag Term Structure Models with Stochastic Risk Premia

Banque de France Working Paper No. 189
Number of pages: 51 Posted: 06 Oct 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 15 (769,662)
Citation 20

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve

7.

Switching Varma Term Structure Models - Extended Version

Downloads 144 (278,997)
Citation 26

Switching Varma Term Structure Models - Extended Version

Number of pages: 47 Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 112 (337,921)
Citation 2

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Affine Term Structure Models, Stochastic Discount Factor, Car processes, Switching Regimes, VARMA processes, Lags, Positivity, Derivative Pricing.

Switching Varma Term Structure Models - Extended Version

Banque de France Working Paper No. 191
Number of pages: 54 Posted: 24 Sep 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 32 (632,873)
Citation 26

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Affine Term Structure Models, Stochastic Discount Factor, Car processes, Switching Regimes, VARMA processes, Lags, Positivity, Derivative Pricing

8.

Asset Pricing with Second-Order Esscher Transforms

Downloads 132 (298,346)
Citation 18

Asset Pricing with Second-Order Esscher Transforms

Number of pages: 32 Posted: 25 Mar 2010 Last Revised: 12 Jul 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 86 (402,021)

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Second-Order Esscher Transform, Exponential-Quadratic Stochastic Discount Factor, No-Arbitrage Asset Pricing Models, Security Market Economies.

Asset Pricing with Second-Order Esscher Transforms

Banque de France Working Paper No. 397
Number of pages: 36 Posted: 12 Sep 2012
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 46 (553,229)
Citation 19

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second-order Esscher transform, exponential-quadratic stochastic discount factor, non-linear stochastic risk-correction coefficients, variance-covariance spread, second-order GARCH option pricing model

9.

International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment

Banque de France Working Paper No. 489
Number of pages: 62 Posted: 17 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 92 (382,049)
Citation 13

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international Treasury yield curves database, Nelson-Siegel term structure estimation techniques, principal component selection techniques, common and local factors, explained variance

10.

Specification Analysis of International Treasury Yield Curve Factors

Banque de France Working Paper No. 490
Number of pages: 57 Posted: 20 Jun 2014
Fulvio Pegoraro, Andrew F. Siegel and Luca Pezzoli
Banque de France - Economics and Finance Research Center, University of Washington - Department of Finance and Business Economics and Banque de France
Downloads 80 (415,392)
Citation 20

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international treasury yield curves, common and local factors, state-space models, EM algorithm, Kalman Filter and Kalman Smoother

11.

Regime Switching and Bond Pricing

Banque de France Working Paper No. 456
Number of pages: 49 Posted: 22 Oct 2013
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 67 (457,513)
Citation 13

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term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy

12.

New Information Response Functions

Downloads 58 (491,052)
Citation 18

New Information Response Functions

Banque de France Working Paper No. 235
Number of pages: 18 Posted: 16 Sep 2010
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 33 (626,542)
Citation 18

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impulse response functions, innovation, new information

New Information Response Functions

Number of pages: 13 Posted: 17 Jun 2009
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 25 (683,278)
Citation 18

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impulse response functions, innovation, new information

13.

Switching Varma Term Structure Models

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Switching Varma Term Structure Models

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 105-153, 2007
Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center

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Affine Term Structure Models, Stochastic Discount Factor, Car(p) processes, Switching Regimes, VARMA processes, Lags, Expectation Hypothesis Puzzle.

Switching Varma Term Structure Models

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 105-153, 2007
Posted: 16 Jun 2008
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center

Abstract:

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affine term structure models, Car(p) processes, expectation hypothesis puzzle, lags, stochastic discount factor, switching regimes, VARMA processes