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

216

Citations

RESEARCH PRODUCTION:

8

Articles

20

Papers

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 15
   Journals where Fulvio Pegoraro has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 12 (5.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe354
   Updated: 2024-07-05    RAS profile: 2021-06-16    
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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:

Monfort, Alain (27)

Renne, Jean-Paul (24)

Stentoft, Lars (12)

Ielpo, Florian (9)

Feunou, Bruno (9)

Rombouts, Jeroen (8)

Meldrum, Andrew (7)

gourieroux, christian (6)

Mouabbi, Sarah (6)

Fontaine, Jean-Sebastien (6)

Mencia, Javier (5)

Cites to:

Monfort, Alain (40)

gourieroux, christian (32)

Garcia, René (22)

Renault, Eric (22)

Ang, Andrew (15)

Jasiak, Joann (15)

Singleton, Kenneth (15)

Wu, Liuren (12)

Rudebusch, Glenn (11)

Reichlin, Lucrezia (11)

Piazzesi, Monika (10)

Main data


Where Fulvio Pegoraro has published?


Journals with more than one article published# docs
Journal of Financial Econometrics3
Rue de la Banque2
Journal of Banking & Finance2

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

Recent works citing Fulvio Pegoraro (2024 and 2023)


YearTitle of citing document
2023Noncausal 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.

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2023A 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.

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2023Subsidize 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.

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2023Asymptotically 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.

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2023Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919.

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2023Efficient 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.

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2023Term 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.

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2023Decomposing 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.

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2023Why 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.

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2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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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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paper34
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 34
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 nother version. Agregated cites: 2
paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
[Full Text][Citation analysis]
paper19
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2008Econometric Asset Pricing Modelling. In: Working papers.
[Full Text][Citation analysis]
paper27
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27
paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27
article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
[Full Text][Citation analysis]
paper40
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 nother version. Agregated cites: 40
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 nother version. Agregated cites: 40
article
2009New Information Response Functions. In: Working papers.
[Full Text][Citation analysis]
paper6
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
[Full Text][Citation analysis]
paper16
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16
paper
2012Asset 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
2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]
paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
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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paper39
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 nother version. Agregated cites: 39
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 nother version. Agregated cites: 39
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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paper5
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper1
2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article20

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