Fulvio Pegoraro - Central Bank Research Hub

Papers by year: All | 2015 | 2014 | 2009 | 2008 | 2007

Title Other author(s)

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

Bank of France Working Papers [View] (Paper: 558, 12.06.2015)

JEL: E43, G12

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

Bank of France Working Papers [View] (Paper: 489, 08.07.2014)

JEL: C52, E43, G12

Specification Analysis of International Treasury Yield Curve Factors

Bank of France Working Papers [View] (Paper: 490, 08.07.2014)

JEL: C52, E43, G12

New Information Response Functions.

Bank of France Working Papers [View] (Paper: Nr 235, 16.06.2009)

JEL: C10, C32

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

Bank of France Working Papers [View] (Paper: Nr 234, 15.06.2009)

Econometric Asset Pricing Modelling

Bank of France Working Papers [View] (Paper: Nr 223, 02.10.2008)

Switching VARMA Term Structure Models - Extended Version

Bank of France Working Papers [View] (Paper: Nr 191, 12.12.2007)

JEL: C1, C5, E43, G12

Multi-Lag Term Structure Models with Stochastic Risk Premia

Bank of France Working Papers [View] (Paper: Nr 189, 14.11.2007)

JEL: C1, C5, G1

Pricing and Inference with Mixtures of Conditionally Normal Processes

Bank of France Working Papers [View] (Paper: Nr 188, 14.11.2007)

JEL: C1, C5, G1

Papers by year: All | 2015 | 2014 | 2009 | 2008 | 2007