3
H index
0
i10 index
27
Citations
Manuela Pedio : Citation Profile
University of Bristol (70% share) | RESEARCH PRODUCTION: 8 Articles 18 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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6 years (2014 - 2020). Relations with other researchers
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:
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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, Italy | 14 |
Recent works citing Manuela Pedio (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 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 |
| 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 |
| 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 |
| 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 |
| 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 | 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 |
| 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 | Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2021). Guidolin, Massimo ; Pedio, Manuela ; Massagli, Valentina. In: Working Papers. RePEc:igi:igierp:676. Full description at Econpapers || Download paper |
| 2020 | . 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 |
Works by Manuela Pedio:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 0 |
| 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 |
| 2019 | Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 0 |
| 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 | 1 |
| 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 |
| 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 | 2 |
| 2018 | Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 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: 4 | 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 | 3 |
| 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 | 5 |
| 2016 | Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 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 | |
| 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 | 2 |
| 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 |
| 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 | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team