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Details about Manuela Pedio

E-mail:
Workplace:School of Accounting and Finance, University of Bristol, (more information at EDIRC)
BAFFI CAREFIN Centre for Applied Research on International Markets, Money Banking and Regulation, Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Manuela Pedio.

Last updated 2021-01-27. Update your information in the RePEc Author Service.

Short-id: ppe941


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Working Papers

2020

  1. 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 Downloads View citations (1)
  2. 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 Downloads
  3. 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 Downloads

2019

  1. 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 Downloads
  2. Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy Downloads
  3. 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 Downloads View citations (2)
  4. 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 Downloads
  5. 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 Downloads
  6. 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 Downloads
  7. 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 Downloads View citations (1)

2018

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (1)

2017

  1. Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    See also Journal Article in European Journal of Operational Research (2018)

2016

  1. 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 Downloads
  2. Identifying and Measuring the Contagion Channels at Work in the European Financial Crises
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)

2015

  1. 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 Downloads
  2. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2017)

2014

  1. 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 Downloads View citations (1)

Journal Articles

2020

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

2019

  1. Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
    Journal of Financial Markets, 2019, 45, (C), 83-114 Downloads View citations (4)
  2. 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), - Downloads View citations (2)

2018

  1. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
    European Journal of Operational Research, 2018, 265, (2), 685-702 Downloads View citations (6)
    See also Working Paper (2017)
  2. 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 Downloads View citations (2)

2017

  1. 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 Downloads View citations (6)
    See also Working Paper (2016)
  2. The impact of monetary policy on corporate bonds under regime shifts
    Journal of Banking & Finance, 2017, 80, (C), 176-202 Downloads View citations (2)
    See also Working Paper (2015)

2014

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

Books

2016

  1. Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
    Palgrave Macmillan Books, Palgrave Macmillan
 
Page updated 2021-03-03