Fulvio Pegoraro

Finance · 2006–2010

A researcher in the Science corpus: 3 papers; trusts 17 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 69 citations into it
• Economics and Econometrics — 45 citations into it

Whom Fulvio Pegoraro trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Qiang Dai
2. Franc J. G. M. Klaassen
3. Kenneth J. Singleton
4. Ravi Bansal
5. P. Cheng
6. Christian Gouriéroux
7. Jun Pan
8. Andrew Ang
9. Geoffrey J. McLachlan
10. Amir Yaron

Papers from Fulvio Pegoraro's perspective

Ordered by how strongly the researchers Fulvio Pegoraro trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
3. Expectation puzzles, time-varying risk premia, and affine models of the term structure
4. Empirical Dynamic Asset Pricing
5. Financial Modelling with Jump Processes
6. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
7. Finite Mixture Models (Wiley Series in Probability and Statistics)
8. LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
9. Derivative Pricing With Wishart Multivariate Stochastic Volatility
10. Improving GARCH volatility forecasts with regime-switching GARCH

Their papers

• Asset Pricing with Second-Order Esscher Transforms (2010) — 47 citations
• Pricing and Inference with Mixtures of Conditionally Normal Processes (2009) — 55 citations
• Switching VARMA Term Structure Models - Extended Version (2006) — 60 citations