7
H index
7
i10 index
223
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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | The second-order Esscher martingale densities for continuous-time market models. (2024). Choulli, Tahir ; Vanmaele, Michele ; Elazkany, Ella. In: Papers. RePEc:arx:papers:2407.03960. Full description at Econpapers || Download paper |
| 2024 | Applications of the Second-Order Esscher Pricing in Risk Management. (2024). Vanmaele, Michele ; Elazkany, Ella ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2410.21649. Full description at Econpapers || Download paper |
| 2025 | Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012. Full description at Econpapers || Download paper |
| 2024 | Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094. Full description at Econpapers || Download paper |
| 2024 | Renewable energy investment under stochastic interest rate with regime-switching volatility. (2024). Detemple, Jerome ; Kitapbayev, Yerkin ; Reppen, Max A. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420. Full description at Econpapers || Download paper |
| 2024 | Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454. Full description at Econpapers || Download paper |
| 2024 | Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699. Full description at Econpapers || Download paper |
| 2024 | Interaction 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. 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 | 19 |
| 2010 | Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | 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: 19 | article | |
| 2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | 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 | 41 |
| 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: 41 | 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: 41 | 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 | 6 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team