Fulvio Pegoraro : Citation Profile


Are you Fulvio Pegoraro?

Banque de France (80% share)
Centre de Recherche en Économie et Statistique (CREST) (20% share)

7

H index

7

i10 index

152

Citations

RESEARCH PRODUCTION:

8

Articles

21

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 13
   Journals where Fulvio Pegoraro has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 12 (7.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe354
   Updated: 2020-05-16    RAS profile: 2020-02-26    
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Relations with other researchers


Works with:

Monfort, Alain (8)

Renne, Jean-Paul (7)

Roussellet, Guillaume (4)

gourieroux, christian (3)

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 (23)

Renne, Jean-Paul (21)

Stentoft, Lars (12)

Ielpo, Florian (9)

Rombouts, Jeroen (8)

Meldrum, Andrew (7)

Mencia, Javier (5)

gourieroux, christian (5)

Mouabbi, Sarah (4)

Sentana, Enrique (4)

Fengler, Matthias (3)

Cites to:

Monfort, Alain (37)

gourieroux, christian (27)

Ang, Andrew (15)

Garcia, René (14)

Renault, Eric (12)

Singleton, Kenneth (12)

Piazzesi, Monika (10)

Wu, Liuren (10)

Rudebusch, Glenn (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 Econometrics3
Journal of Banking & Finance2
Rue de la Banque2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8
Post-Print / HAL2

Recent works citing Fulvio Pegoraro (2020 and 2019)


YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2019Inference for Impulse Responses under Model Uncertainty. (2019). 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). Shamloo, Maral ; Diez de los Rios, Antonio. 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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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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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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2018Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h.

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2018The information in the joint term structures of bond yields. (2018). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. 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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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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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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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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2019Expectation and duration at the effective lower bound. (2019). King, Thomas B. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:736-760.

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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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2019A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110.

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2017Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison. (2017). Renne, Jean-Paul ; Mouabbi, Sarah ; Grishchenko, Olesya. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-102.

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2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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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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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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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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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 ; Chorro, Christophe ; Sevi, Benoit. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506.

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2018Effects of asset purchases and financial stability measures on term premia in the euro area. (2018). Moessner, Richhild. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:489.

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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.
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This paper has another version. Agregated cites: 24
paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
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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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paper31
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: 31
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: 31
article
2009New Information Response Functions. In: Working papers.
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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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paper3
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
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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paper1
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper20
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2014Decoupling euro area and US yield curves. In: Rue de la Banque.
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article0
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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paper0
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article15

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