Details about Manuela Pedio

Access statistics for papers by Manuela Pedio.

Last updated 2022-01-12. Update your information in the RePEc Author Service.

Short-id: ppe941

Working Papers

2021

1. Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
   Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2019)

2020

2. Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (6)
3. Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
4. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   See also Journal Article Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, Finance Research Letters, Elsevier (2021) View citations (6) (2021)

2019

5. A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (3)
6. Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (6)
7. Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (5)
8. How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
9. The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
10. Time-Varying Price Discovery in Sovereign Credit Markets
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
    See also Journal Article Time-varying price discovery in sovereign credit markets, Finance Research Letters, Elsevier (2021) View citations (3) (2021)

2018

11. Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
12. Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)

2017

13. Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
    See also Journal Article Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing, European Journal of Operational Research, Elsevier (2018) View citations (10) (2018)

2016

14. Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

2015

15. Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
16. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
    See also Journal Article The impact of monetary policy on corporate bonds under regime shifts, Journal of Banking & Finance, Elsevier (2017) View citations (8) (2017)

2014

17. Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (4)

Journal Articles

2021

1. Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
   Annals of Operations Research, 2021, 299, (1), 1317-1356 View citations (11)
2. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
   Finance Research Letters, 2021, 42, (C) View citations (6)
   See also Working Paper Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, BAFFI CAREFIN Working Papers (2020) (2020)
3. Time-varying price discovery in sovereign credit markets
   Finance Research Letters, 2021, 38, (C) View citations (3)
   See also Working Paper Time-Varying Price Discovery in Sovereign Credit Markets, BAFFI CAREFIN Working Papers (2019) View citations (1) (2019)

2020

4. Monetary policy after the crisis: A threat to hedge funds' alphas?
   Journal of Asset Management, 2020, 21, (3), 219-238 View citations (1)

2019

5. Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
   Journal of Financial Markets, 2019, 45, (C), 83-114 View citations (22)
6. Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models
   Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (7)

2018

7. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
   European Journal of Operational Research, 2018, 265, (2), 685-702 View citations (10)
   See also Working Paper Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing, Working Papers (2017) View citations (2) (2017)
8. How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
   Quantitative Finance, 2018, 18, (1), 139-169 View citations (4)

2017

9. Identifying and measuring the contagion channels at work in the European financial crises
   Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 117-134 View citations (14)
10. The impact of monetary policy on corporate bonds under regime shifts
    Journal of Banking & Finance, 2017, 80, (C), 176-202 View citations (8)
    See also Working Paper The Impact of Monetary Policy on Corporate Bonds under Regime Shifts, Working Papers (2015) View citations (2) (2015)

2014

11. Unconventional monetary policies and the corporate bond market
    Finance Research Letters, 2014, 11, (3), 203-212 View citations (6)

Books

2016

1. Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
   Palgrave Macmillan Books, Palgrave Macmillan