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Fulvio Pegoraro

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

Publications Working Paper Series no. 774:

Climate-Related Scenarios for Financial Stability Assessment: An Application to France

By Allen Thomas, Dees Stéphane, Boissinot Jean, Caicedo Graciano Carlos Mateo, Chouard Valérie, Clerc Laurent, De Gaye Annabelle, Devulder Antoine, Diot Sébastien, Lisack Noëmie, Pegoraro Fulvio, Rabaté Marie, Svartzman Romain, Vernet Lucas
  • Published on 07/16/2020
  • 68 pages
  • EN
  • PDF (5.2 MB)
Publications Rue de la Banque no. 52:

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

By Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul, Roussellet Guillaume
  • Published on 11/30/2017
  • 5 pages
  • EN
  • PDF (676.01 KB)
Publications Working Paper Series no. 558:

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

By Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul, Roussellet Guillaume
  • EN
  • PDF (1.1 MB)
Publications Rue de la Banque no. 1:

Decoupling euro area and US yield curves

By Mojon Benoït, Pegoraro Fulvio
  • EN
  • PDF (620.96 KB)
Publications Working Paper Series no. 490:

Specification Analysis of International Treasury Yield Curve Factors

By Pegoraro Fulvio, Siegel Andrew F., Tiozzo ‘Pezzoli’ Luca
  • EN
  • PDF (1.13 MB)
Publications Working Paper Series no. 489:

International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment

By Pegoraro Fulvio, Siegel Andrew F., Tiozzo ‘Pezzoli’ Luca
  • EN
  • PDF (1.02 MB)
Publications Working Paper Series no. 456:

Regime Switching and Bond Pricing

By Gouriéroux Christian, Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul
  • EN
  • PDF (955.8 KB)
Publications Working Paper Series no. 397:

Asset Pricing with Second-Order Esscher Transforms

By Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (547.98 KB)
Publications Working Paper Series no. 234:

No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.

By Jardet Caroline, Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (508.02 KB)
Publications Working Paper Series no. 235:

New Information Response Functions.

By Jardet Caroline, Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (656.28 KB)
Publications Working Paper Series no. 223:

Econometric Asset Pricing Modelling

By Bertholon Henri, Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (518.53 KB)
Publications Working Paper Series no. 191:

Switching VARMA Term Structure Models - Extended Version

By Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (516.23 KB)
Publications Working Paper Series no. 188:

Pricing and Inference with Mixtures of Conditionally Normal Processes

By Bertholon Henri, Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (632.71 KB)
Publications Working Paper Series no. 189:

Multi-Lag Term Structure Models with Stochastic Risk Premia

By Monfort Alain, Pegoraro Fulvio
  • EN
  • PDF (792.21 KB)
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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