Fulvio Pegoraro : Citation Profile


Are you Fulvio Pegoraro?

Banque de France
Centre de Recherche en Économie et Statistique (CREST)

6

H index

6

i10 index

134

Citations

RESEARCH PRODUCTION:

4

Articles

17

Papers

RESEARCH ACTIVITY:

   8 years (2006 - 2014). See details.
   Cites by year: 16
   Journals where Fulvio Pegoraro has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 9 (6.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe354
   Updated: 2019-09-14    RAS profile: 2014-09-10    
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Relations with other researchers


Works with:

Monfort, Alain (3)

Renne, Jean-Paul (2)

gourieroux, christian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Fulvio Pegoraro.

Is cited by:

Monfort, Alain (25)

Renne, Jean-Paul (22)

Stentoft, Lars (12)

Ielpo, Florian (9)

Rombouts, Jeroen (8)

gourieroux, christian (5)

Mencia, Javier (5)

Meldrum, Andrew (4)

Sentana, Enrique (4)

Roussellet, Guillaume (4)

Giannone, Domenico (3)

Cites to:

Monfort, Alain (37)

gourieroux, christian (27)

Ang, Andrew (15)

Garcia, René (14)

Renault, Eric (12)

Wu, Liuren (12)

Singleton, Kenneth (12)

Piazzesi, Monika (10)

Bansal, Ravi (8)

Jasiak, Joann (8)

POLIMENIS, VASSILIS (8)

Main data


Where Fulvio Pegoraro has published?


Journals with more than one article published# docs
Journal of Financial Econometrics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics7

Recent works citing Fulvio Pegoraro (2018 and 2017)


YearTitle of citing document
2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Diez de los Rios, Antonio ; Shamloo, Maral . In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2018Bank capital constraints, lending supply and economic activity. (2018). Signoretti, Federico ; Nobili, Andrea ; Conti, Antonio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1199_18.

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2018The information in the joint term structures of bond yields. (2018). Meldrum, Andrew ; Spencer, Peter ; Raczko, Marek. In: Bank of England working papers. RePEc:boe:boeewp:0772.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2017International Illiquidity. (2017). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek. In: International Finance Discussion Papers. RePEc:fip:fedgif:1201.

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2018Interest rate conundrums in the twenty-first century. (2018). Wright, Jonathan ; Lucca, David ; Hanson, Samuel. In: Staff Reports. RePEc:fip:fednsr:810.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022.

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Works by Fulvio Pegoraro:


YearTitleTypeCited
2007Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers.
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paper27
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 27
paper
2007Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers.
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paper2
2006Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
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paper10
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2008Econometric Asset Pricing Modelling. In: Working papers.
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paper24
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
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paper32
2011No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2013No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2009New Information Response Functions. In: Working papers.
[Full Text][Citation analysis]
paper6
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
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paper10
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2012Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2014International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment In: Working papers.
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paper2
2014Specification Analysis of International Treasury Yield Curve Factors In: Working papers.
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paper2
2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
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article15

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