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Fulvio Pegoraro
 Banque de France, 41-1391 DGEI-DIR-RECFIN, 75049 Paris Cedex 01, France
 fulvio.pegoraro@banque-france.fr
 + 33 (0)1 42 92 91 67
 +33 (0)1 42 92 62 92
Personal webpage: http://www.crest.fr/pageperso/pegoraro/pegoraro.htm
Diploma: PhD in Applied Mathematics (Paris-Dauphine) ; PhD in Economics (Ca' Foscari of Venice) ; Master in Mathematics Applied to Economics and Finance
(Paris-Dauphine).
Current Position: Economist at the Banque de France, Economics and Finance Research Center (DGEI).
Researcher at the Insurance and Finance Department of CREST (Paris).
Previous Positions: 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.
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Research Interests: Financial Econometrics, Asset Pricing, Dynamic Term Structure Models.
Working Papers:
"New Information Response Functions" (2009), with Caroline Jardet and Alain Monfort , Banque de France, Working Paper n° 235.
"No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth" (2009), with Caroline Jardet and Alain Monfort , Banque de France, Working Paper n° 234.
"Econometric Asset Pricing Modelling " (2008), with Henri Bertholon and Alain Monfort, Banque de France, Working Paper n°223
"Switching VARMA Term Structure Models - Extended Version" (2007), with A. Monfort (CREST DP.), Banque de France, Working Paper n°191.
"Multi-Lag Term Structures Models with Stochastic Risk Premia" (2006), with A. Monfort (CREST DP.), Banque de France, Working Paper n° 189.
"Pricing and Inference with Mixtures of Conditionally Normal Processes" (2007), with H. Bertholon, A. Monfort (CREST DP.) Banque de France, Working Paper n°188.
Articles:
"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 A. Monfort, Journal of Financial Econometrics, 2007, Vol. 5, No. 1, 105-153.
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