7
H index
7
i10 index
214
Citations
Fulvio Pegoraro : Citation Profile
Banque de France (80% share) | RESEARCH PRODUCTION: 8 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2006 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Fulvio Pegoraro. | Is cited by:
| Cites to:
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Main data
Where Fulvio Pegoraro has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Econometrics | 3 |
| Rue de la Banque | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Center for Research in Economics and Statistics | 8 |
Recent works citing Fulvio Pegoraro (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
| 2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
| 2023 | Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System. (2023). Dong, YU ; Zha, Yong ; Li, Quan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:644-658. Full description at Econpapers || Download paper |
| 2023 | Asymptotically tight conic approximations for chance-constrained AC optimal power flow. (2023). Pan, Kai ; Cheng, Jianqiang ; Fathabad, Abolhassan Mohammadi ; Yang, Boshi. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:738-753. Full description at Econpapers || Download paper |
| 2023 | Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259. Full description at Econpapers || Download paper |
| 2023 | Term premium in a fractionally cointegrated yield curve. (2023). Abbritti, Mirko ; Moreno, Antonio ; Gil-Alana, Luis ; Carcel, Hector. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000171. Full description at Econpapers || Download paper |
| 2023 | Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39. Full description at Econpapers || Download paper |
| 2023 | Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2023). Wei, Min ; Schneider, Andres ; Minoiu, Camelia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96648. Full description at Econpapers || Download paper |
| 2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. Full description at Econpapers || Download paper |
Works by Fulvio Pegoraro:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers. [Full Text][Citation analysis] | paper | 34 |
| 2006 | Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2007 | Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2007 | Switching VARMA Term Structure Models - Extended Version. In: Working papers. [Full Text][Citation analysis] | paper | 19 |
| 2007 | Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2008 | Econometric Asset Pricing Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 27 |
| 2007 | Econometric Asset Pricing Modelling.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2008 | Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2009 | No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers. [Full Text][Citation analysis] | paper | 40 |
| 2011 | No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2013 | No-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 nother version. Agregated cites: 40 | article | |
| 2009 | New Information Response Functions. In: Working papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Asset Pricing with Second-Order Esscher Transforms. In: Working papers. [Full Text][Citation analysis] | paper | 16 |
| 2010 | Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2012 | Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment In: Working papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Specification Analysis of International Treasury Yield Curve Factors In: Working papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 38 |
| 2017 | Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
| 2017 | Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
| 2014 | Decoupling euro area and US yield curves. In: Rue de la Banque. [Full Text][Citation analysis] | article | 0 |
| 2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Taking into account extreme events in European option pricing In: Post-Print. [Citation analysis] | paper | 1 |
| 2007 | Switching VARMA Term Structure Models In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 20 |
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