Fulvio Pegoraro
Share links
http://www.crest.fr/index.php?option=com_wrapper&view=wrapper&Itemid=447
fulvio.pegoraro@banque-france.fr
Current Position
Deputy Head of the Financial Economics Research Service at Banque de France (DGEI).
Previous Position
November 2006-August 2014: Research Economist at the Banque de France, Economics and Finance Research Center (DGEI)
September-November 2006: Research grant at the Insurance and Finance Department of CREST (Paris); September 2005-August 2006: Assistant Professor of Statistics, CEREMADE, Paris-Dauphine University (France); October 2003-September 2005: CREST scholarship.
Diploma
PhD in Applied Mathematics (Paris-Dauphine) ; PhD in Economics (Ca' Foscari of Venice) ; Master in Mathematics Applied to Economics and Finance (Paris-Dauphine).
Research Interest
Financial Econometrics, Asset Pricing, Dynamic Term Structure Models.
Contact
+33 (0)1 42 92 91 67
Banque de France, 41-1391 DGEI-DEMFI-RECFIN, 75049 Paris Cedex 01, France
Climate-Related Scenarios for Financial Stability Assessment: An Application to France
- Published on 07/16/2020
- 68 pages
- EN
- PDF (5.2 MB)
Staying at zero with affine processes : an application to term structure modelling
- Published on 11/30/2017
- 5 pages
- EN
- PDF (676.01 KB)
Staying at Zero with Affine Processes: An Application to Term Structure Modelling
- EN
- PDF (1.1 MB)
Decoupling euro area and US yield curves
- EN
- PDF (620.96 KB)
Specification Analysis of International Treasury Yield Curve Factors
- EN
- PDF (1.13 MB)
International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
- EN
- PDF (1.02 MB)
Regime Switching and Bond Pricing
- EN
- PDF (955.8 KB)
Asset Pricing with Second-Order Esscher Transforms
- EN
- PDF (547.98 KB)
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.
- EN
- PDF (508.02 KB)
New Information Response Functions.
- EN
- PDF (656.28 KB)
Econometric Asset Pricing Modelling
- EN
- PDF (518.53 KB)
Switching VARMA Term Structure Models - Extended Version
- EN
- PDF (516.23 KB)
Pricing and Inference with Mixtures of Conditionally Normal Processes
- EN
- PDF (632.71 KB)
Multi-Lag Term Structure Models with Stochastic Risk Premia
- EN
- PDF (792.21 KB)
Articles
- Gourieroux, C., Monfort, A., and Renne, J.-P., (2014): « Regime Switching and Bond Pricing », The Journal of Financial Econometrics (Invited Lecture, SoFiE, Oxford, June 20th, 2012),12 (2), pp. 237-277.
- « No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth » with Caroline Jardet and Alain Monfort, The Journal of Banking and Finance, 2013, Vol. 37, 389-402.
- « Asset Pricing with Second-Order Esscher Transforms » with Alain Monfort, The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687.
- « Econometric Asset Pricing Modelling » with Henri Bertholon and Alain Monfort, Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458)
- « Switching VARMA Term Structure Models » with Alain Monfort, Journal of Financial Econometrics, 2007, Vol. 5, No. 1, 105-153.
Updated on: 06/07/2018 15:03