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Fulvio Pegoraro

Observed name: F. Pegoraro
OpenAlex ID: A5071552945
Climate-Related Scenarios for Financial Stability Assessment: An Application to France
2020 · Thomas Allen, Stéphane Dées, et al. · SSRN Electronic Journal · 119
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The effects of climate change‐related risks on banks: A literature review
2024 · Olivier de Bandt, Laura‐Chloé Kuntz, et al. · Journal of Economic Surveys · 68
Staying at zero with affine processes: An application to term structure modelling
2017 · Alain Monfort, Fulvio Pegoraro, et al. · Journal of Econometrics · 58
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Pricing and Inference with Mixtures of Conditionally Normal Processes
2010 · Henri Bertholon, Alain Monfort, et al. · SSRN Electronic Journal · 58
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
2012 · Caroline Jardet, Alain Monfort, et al. · Journal of Banking & Finance · 54
Switching VARMA Term Structure Models
2006 · A. Monfort, F. Pegoraro · Journal of Financial Econometrics · 54
Econometric Asset Pricing Modelling
2008 · H. Bertholon, A. Monfort, et al. · Journal of Financial Econometrics · 51
No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
2011 · Caroline Jardet, Alain Monfort, et al. · SSRN Electronic Journal · 38
No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
2010 · Caroline Jardet, Alain Monfort, et al. · SSRN Electronic Journal · 37
Asset pricing with Second-Order Esscher Transforms
2012 · Alain Monfort, Fulvio Pegoraro · Journal of Banking & Finance · 35
Regime Switching and Bond Pricing
2013 · C. Gourieroux, A. Monfort, et al. · Journal of Financial Econometrics · 25
Switching Varma Term Structure Models - Extended Version
2010 · Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 25
New Information Response Functions
2010 · Caroline Jardet, Alain Monfort, et al. · SSRN Electronic Journal · 23
Multi-Lag Term Structure Models with Stochastic Risk Premia
2010 · Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 23
Specification Analysis of International Treasury Yield Curve Factors
2014 · Fulvio Pegoraro, Andrew F. Siegel, et al. · SSRN Electronic Journal · 22
Multi-Lag Term Structure Models with Stochastic Risk Premia
2007 · Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 22
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
2020 · Alain Monfort, Fulvio Pegoraro, et al. · Management Science · 19
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International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
2014 · Fulvio Pegoraro, Andrew F. Siegel, et al. · SSRN Electronic Journal · 17
Asset Pricing with Second-Order Esscher Transforms
2012 · Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 17
Switching Varma Term Structure Models - Extended Version
2006 · Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 17
Regime Switching and Bond Pricing
2013 · Christian Gourieroux, Alain Monfort, et al. · SSRN Electronic Journal · 16
Pricing and Inference with Mixtures of Conditionally Normal Processes
2007 · Henri Bertholon, Alain Monfort, et al. · SSRN Electronic Journal · 14
Staying at Zero with Affine Processes: An Application to Term Structure Modelling
2015 · Alain Monfort, Fulvio Pegoraro, et al. · SSRN Electronic Journal · 13
Econometric Asset Pricing Modelling
2008 · Henri Bertholon, Alain Monfort, et al. · SSRN Electronic Journal · 12
Staying at Zero with Affine Processes: An Application to Term-Structure Modelling
2014 · Alain Monfort, Fulvio Pegoraro, et al. · SSRN Electronic Journal · 10
Works count: 41
Citation count: 878
H-index: 17
I10-index: 25
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