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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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

  [Bibtex]

  @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},
  }