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2021
Affine modeling of credit risk, pricing of credit events, and contagion
Management science, vol. 67, iss. 6, pp. 3674-3693, 2021.
By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet@article{Monfort20213674, author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.}, title={Affine modeling of credit risk, pricing of credit events, and contagion}, journal={Management Science}, year={2021}, volume={67}, number={6}, pages={3674-3693}, doi={10.1287/mnsc.2020.3658}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85109495049&doi=10.1287%2fmnsc.2020.3658&partnerID=40&md5=bcc429503bdfca364f590b7f66caf1a2}, publisher={INFORMS Inst.for Operations Res.and the Management Sciences}, }
2017
Staying at zero with affine processes: an application to term structure modelling
Journal of econometrics, vol. 201, iss. 2, pp. 348-366, 2017.
By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet@article{Monfort2017348, author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.}, title={Staying at zero with affine processes: An application to term structure modelling}, journal={Journal of Econometrics}, year={2017}, volume={201}, number={2}, pages={348-366}, doi={10.1016/j.jeconom.2017.08.013}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029574651&doi=10.1016%2fj.jeconom.2017.08.013&partnerID=40&md5=43c832f1a9aaa31262be596b3bdef7b5}, publisher={Elsevier Ltd}, }
2014
Regime switching and bond pricing
Journal of financial econometrics, vol. 12, iss. 2, pp. 237-277, 2014.
By C. Gourieroux, A. Monfort, F. Pegoraro, and J. -P. Renne@article{Gourieroux2014237, author={Gourieroux, C. and Monfort, A. and Pegoraro, F. and Renne, J.-P.}, title={Regime switching and bond pricing}, journal={Journal of Financial Econometrics}, year={2014}, volume={12}, number={2}, pages={237-277}, doi={10.1093/jjfinec/nbt019}, art_number={nbt019}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940248130&doi=10.1093%2fjjfinec%2fnbt019&partnerID=40&md5=239f464b75f1d998f307edf5c944264b}, }
2013
No-arbitrage near-cointegrated var(p) term structure models, term premia and gdp growth
Journal of banking and finance, vol. 37, iss. 2, pp. 389-402, 2013.
By C. Jardet, A. Monfort, and F. Pegoraro@article{Jardet2013389, author={Jardet, C. and Monfort, A. and Pegoraro, F.}, title={No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth}, journal={Journal of Banking and Finance}, year={2013}, volume={37}, number={2}, pages={389-402}, doi={10.1016/j.jbankfin.2012.09.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84869871533&doi=10.1016%2fj.jbankfin.2012.09.003&partnerID=40&md5=24b51c8dc2cab95af0b842884e067521}, }
2012
Asset pricing with second-order esscher transforms
Journal of banking and finance, vol. 36, iss. 6, pp. 1678-1687, 2012.
By A. Monfort and F. Pegoraro@article{Monfort20121678, author={Monfort, A. and Pegoraro, F.}, title={Asset pricing with Second-Order Esscher Transforms}, journal={Journal of Banking and Finance}, year={2012}, volume={36}, number={6}, pages={1678-1687}, doi={10.1016/j.jbankfin.2012.01.014}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859636881&doi=10.1016%2fj.jbankfin.2012.01.014&partnerID=40&md5=cb2e55c1f285c01cacd4790ee6d50811}, }
2008
Econometric asset pricing modelling
Journal of financial econometrics, vol. 6, iss. 4, pp. 407-458, 2008.
By H. Bertholon, A. Monfort, and F. Pegoraro@article{Bertholon2008407, author={Bertholon, H. and Monfort, A. and Pegoraro, F.}, title={Econometric asset pricing modelling}, journal={Journal of Financial Econometrics}, year={2008}, volume={6}, number={4}, pages={407-458}, doi={10.1093/jjfinec/nbn011}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-53849147903&doi=10.1093%2fjjfinec%2fnbn011&partnerID=40&md5=b1f916ddb71abeac3603d7a77d161d30}, }
2007
Switching varma term structure models
Journal of financial econometrics, vol. 5, iss. 1, pp. 105-153, 2007.
By A. Monfort and F. Pegoraro@article{Monfort2007105, author={Monfort, A. and Pegoraro, F.}, title={Switching VARMA term structure models}, journal={Journal of Financial Econometrics}, year={2007}, volume={5}, number={1}, pages={105-153}, doi={10.1093/jjfinec/nbl009}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846688166&doi=10.1093%2fjjfinec%2fnbl009&partnerID=40&md5=aa1f6668db1a0b9448ad7ad71107b07b}, }