Manuela Pedio : Citation Profile


Are you Manuela Pedio?

Università Commerciale Luigi Bocconi

3

H index

0

i10 index

19

Citations

RESEARCH PRODUCTION:

8

Articles

18

Papers

1

Books

RESEARCH ACTIVITY:

   6 years (2014 - 2020). See details.
   Cites by year: 3
   Journals where Manuela Pedio has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 7 (26.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe941
   Updated: 2020-10-17    RAS profile: 2020-08-03    
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Relations with other researchers


Works with:

Guidolin, Massimo (24)

Authors registered in RePEc who have co-authored more than one work in the last five years with Manuela Pedio.

Is cited by:

Guidolin, Massimo (3)

Fernandes, Marcelo (2)

Wang, Yudong (2)

Schienle, Melanie (2)

De Pace, Pierangelo (2)

Hülsewig, Oliver (2)

Eo, Yunjong (2)

ZHANG, SHUOXUN (1)

Chevallier, Julien (1)

Österholm, Pär (1)

Cites to:

Guidolin, Massimo (38)

Timmermann, Allan (29)

Vayanos, Dimitri (26)

Ang, Andrew (20)

Hamilton, James (18)

Diebold, Francis (16)

Rudebusch, Glenn (13)

Campbell, John (13)

Wu, Jing Cynthia (10)

Piazzesi, Monika (10)

Zakrajšek, Egon (9)

Main data


Where Manuela Pedio has published?


Working Papers Series with more than one paper published# docs
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy14

Recent works citing Manuela Pedio (2020 and 2019)


YearTitle of citing document
2020Are 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.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2020The 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.

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2019Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model. (2019). Jin, Chenglu ; Zhou, Tianqing ; Lv, Zhihong ; Chen, Rongda ; Lin, Saiyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300737.

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2020Local 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.

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2020Mildly 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.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2020Forecasting 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.

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2020Regime 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.

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2020Mildly 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.

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2019Новые модели анализа изменений стоимости компании, основанные на стохастических ставках дисконтирования // N. (2019). П. Жуков Е., ; Zhukov, P. In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2019:i:3:p:35-48.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:123.

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Works by Manuela Pedio:


YearTitleTypeCited
2015Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers.
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2014Understanding 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.
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2016Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers.
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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers.
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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
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2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers.
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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers.
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2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers.
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2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers.
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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
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2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers.
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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control.
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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
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2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
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article1
2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
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2017Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money.
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2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers.
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2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
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2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models In: Working Papers.
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2020Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management.
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2016Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books.
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2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance.
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