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Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Asset Pricing with Second-Order Esscher Transforms

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[S.l.]: SSRN, [2010]
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Multi-Lag Term Structure Models with Stochastic Risk Premia

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 189
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Multi-Lag Term Structure Models with Stochastic Risk Premia

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 189
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Switching Varma Term Structure Models - Extended Version

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 191
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Multi-Lag Term Structure Models with Stochastic Risk Premia

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[S.l.]: SSRN, [2007]
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]

Switching Varma Term Structure Models - Extended Version

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[S.l.]: SSRN, [2007]
Pegoraro, Fulvio [Author] ; Siegel, Andrew F. [Other]; Pezzoli, Luca [Other]

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

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[S.l.]: SSRN, [2014]

Published in: Banque de France Working Paper ; No. 489
Pegoraro, Fulvio [Author] ; Siegel, Andrew F. [Other]; Pezzoli, Luca [Other]

Specification Analysis of International Treasury Yield Curve Factors

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[S.l.]: SSRN, [2014]

Published in: Banque de France Working Paper ; No. 490
Bertholon, Henri [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

Econometric Asset Pricing Modelling

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[S.l.]: SSRN, [2011]
Jardet, Caroline [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

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

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[S.l.]: SSRN, [2011]

Published in: EFA 2009 Bergen Meetings Paper
Jardet, Caroline [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

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[S.l.]: SSRN, [2011]
Bertholon, Henri [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

Econometric Asset Pricing Modelling

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 223
Jardet, Caroline [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

New Information Response Functions

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 235
Jardet, Caroline [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

New Information Response Functions

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[S.l.]: SSRN, [2009]
Bertholon, Henri [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

Pricing and Inference with Mixtures of Conditionally Normal Processes

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[S.l.]: SSRN, [2009]
Bertholon, Henri [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]

Pricing and Inference with Mixtures of Conditionally Normal Processes

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[S.l.]: SSRN, [2010]

Published in: Banque de France Working Paper ; No. 188
Monfort, Alain [Author]; Pegoraro, Fulvio [Author]

Asset Pricing with Second-Order Esscher Transforms

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[S.l.]: SSRN, 2012

Published in: Banque de France Working Paper ; No. 397
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]; Renne, Jean-Paul [Other]; Roussellet, Guillaume [Other]

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

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[S.l.]: SSRN, [2016]

Published in: Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Monfort, Alain [Author] ; Pegoraro, Fulvio [Other]; Renne, Jean-Paul [Other]; Roussellet, Guillaume [Other]

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

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[S.l.]: SSRN, [2015]

Published in: Banque de France Working Paper ; No. 558
Gourieroux, Christian [Author] ; Monfort, Alain [Other]; Pegoraro, Fulvio [Other]; Renne, Jean-Paul [Other]

Regime Switching and Bond Pricing

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[S.l.]: SSRN, [2013]

Published in: Banque de France Working Paper ; No. 456

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