Concepedia

Fulvio Pegoraro

FP

23

Publications

688

Citations

17

H-Index

2006

Active since

Affiliations

Centre de Recherche en Économie et Statistique(Current)

Banque de France

Centre for Research in Engineering Surface Technology

Maastricht University

National Bureau of Economic Research

Fulvio Pegoraro is an author at Centre de Recherche en Économie et Statistique specializing in asset pricing, economics, and business.

Top concepts

Asset PricingFinanceBusinessEconomicsMacroeconomicsEconometricsVolatility ModelingStatisticsEngineeringData Modeling

Publications per year

2006–2020

23

Publications

23

Staying at zero with affine processes: An application to term structure modelling

Alain Monfort, Fulvio Pegoraro, Jean‐Paul Renne et al. · Journal of Econometrics · 2017 · 63 citations

Engineering, Stochastic Processes, Systems Engineering +3

Pricing and Inference with Mixtures of Conditionally Normal Processes

Henri Bertholon, Alain Monfort, Fulvio Pegoraro · SSRN Electronic Journal · 2007 · 61 citations · Full text

No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth

Caroline Jardet, Alain Monfort, Fulvio Pegoraro · Journal of Banking & Finance · 2012 · 58 citations

Economics, Volatility Modeling, Term Structure Model +8

Switching VARMA Term Structure Models

Alain Monfort, Fulvio Pegoraro · Journal of Financial Econometrics · 2006 · 55 citations

Econometric Asset Pricing Modelling

Henri Bertholon, Alain Monfort, Fulvio Pegoraro · Journal of Financial Econometrics · 2008 · 54 citations

Rows per page

1–5 of 23