5
H index
0
i10 index
50
Citations
University of Bristol (70% share) | 5 H index 0 i10 index 50 Citations RESEARCH PRODUCTION: 11 Articles 19 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Manuela Pedio. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Finance Research Letters | 3 |
Working Papers Series with more than one paper published | # docs |
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BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy | 14 |
Year | Title of citing document |
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2021 | Economic Recession Prediction Using Deep Neural Network. (2021). Liu, Hongfu ; Xia, Steve Q ; Wang, Zihao. In: Papers. RePEc:arx:papers:2107.10980. Full description at Econpapers || Download paper |
2020 | Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?. (2020). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20146. Full description at Econpapers || Download paper |
2020 | On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672. Full description at Econpapers || Download paper |
2021 | Two-stage stochastic program optimizing the cost of electric vehicles in commercial fleets. (2021). Jochem, Patrick ; Schucking, Maximilian. In: Applied Energy. RePEc:eee:appene:v:293:y:2021:i:c:s0306261921001823. Full description at Econpapers || Download paper |
2020 | The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x. Full description at Econpapers || Download paper |
2021 | Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414. Full description at Econpapers || Download paper |
2021 | Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis. (2021). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000188. Full description at Econpapers || Download paper |
2020 | Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323. Full description at Econpapers || Download paper |
2020 | Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724. Full description at Econpapers || Download paper |
2021 | Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393. Full description at Econpapers || Download paper |
2022 | Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740. Full description at Econpapers || Download paper |
2021 | The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China. (2021). Fang, YI ; Xu, Xuchuan ; Li, Xiao-Lin ; Si, Deng-Kui. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003832. Full description at Econpapers || Download paper |
2020 | Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349. Full description at Econpapers || Download paper |
2021 | Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536. Full description at Econpapers || Download paper |
2022 | Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992. Full description at Econpapers || Download paper |
2020 | Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683. Full description at Econpapers || Download paper |
2021 | Corporate bond market reactions to quantitative easing during the COVID-19 pandemic. (2021). Qiu, Yancheng ; Nozawa, Yoshio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001114. Full description at Econpapers || Download paper |
2021 | The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852. Full description at Econpapers || Download paper |
2020 | Regime shift, speculation, and stock price. (2020). ZHANG, SHUOXUN ; Qin, Zhenjiang ; Fu, Yishu ; Du, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191931027x. Full description at Econpapers || Download paper |
2021 | Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:137. Full description at Econpapers || Download paper |
2021 | Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany. (2021). Kraciuk, Jakub ; Kacperska, Elbieta. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:23:p:7886-:d:687188. Full description at Econpapers || Download paper |
2022 | Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns. (2022). Guidolin, Massimo ; Pedio, Manuela. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601. Full description at Econpapers || Download paper |
2021 | Explore Associations between Subjective Well-Being and Eco-Logical Footprints with Fixed Effects Panel Regressions. (2021). Zhang, Jinting ; Wu, Xiu. In: Land. RePEc:gam:jlands:v:10:y:2021:i:9:p:931-:d:628880. Full description at Econpapers || Download paper |
2021 | On the Performance of Cryptocurrency Funds. (2021). Babiak, Mykola ; Bianchi, Daniele. In: Working Paper Series. RePEc:hhs:rbnkwp:0408. Full description at Econpapers || Download paper |
2022 | Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships. (2022). Dobrynskaya, Victoria ; Dubrovskiy, Mikhail. In: HSE Working papers. RePEc:hig:wpaper:86/fe/2022. Full description at Econpapers || Download paper |
2020 | Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180. Full description at Econpapers || Download paper |
2020 | Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2020). Guidolin, Massimo ; de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Working Papers. RePEc:igi:igierp:667. Full description at Econpapers || Download paper |
2021 | Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods. (2021). Alsarayrh, Abeer ; Al-Majali, Ahmad ; Alqaralleh, Huthaifa. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:193-204. Full description at Econpapers || Download paper |
2022 | Analysing the spillover effects of the South African Reserve Banks bond purchase programme. (2022). Choudhary, Rhea. In: Working Papers. RePEc:rbz:wpaper:11025. Full description at Econpapers || Download paper |
2021 | Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2021 | Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. (2021). Neslihanoglu, Serdar. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00247-z. Full description at Econpapers || Download paper |
2021 | Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925. Full description at Econpapers || Download paper |
2020 | Two-stage stochastic program optimizing the total cost of ownership of electric vehicles in commercial fleets. (2020). Jochem, Patrick ; Schucking, Maximilian. In: Working Paper Series in Production and Energy. RePEc:zbw:kitiip:50. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2015 | Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2019 | A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit.(2021) In: Finance Research Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2019 | Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2018 | Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 6 |
2017 | Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2014 | Unconventional monetary policies and the corporate bond market In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2019 | Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 6 |
2017 | Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 7 |
2017 | The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2015 | The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2016 | Identifying and Measuring the Contagion Channels at Work in the European Financial Crises In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
2016 | Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books. [Citation analysis] | book | 0 |
2021 | Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? In: Annals of Operations Research. [Full Text][Citation analysis] | article | 3 |
2018 | How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team