Manuela Pedio : Citation Profile

University of Bristol (70% share)
Università Commerciale Luigi Bocconi (30% share)

7

H index

3

i10 index

125

Citations

RESEARCH PRODUCTION:

11

Articles

18

Papers

1

Books

RESEARCH ACTIVITY:

   7 years (2014 - 2021). See details.
   Cites by year: 17
   Journals where Manuela Pedio has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 9 (6.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe941
   Updated: 2025-07-05    RAS profile: 2022-01-12    
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Relations with other researchers

Works with:

Guidolin, Massimo (8)

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 (11)

Clements, Michael (3)

Wang, Yudong (3)

Castle, Jennifer (3)

Grossi, Luigi (3)

Sermpinis, Georgios (3)

Eo, Yunjong (3)

Franses, Philip Hans (3)

Fernandes, Marcelo (3)

Shang, Han Lin (3)

Rubaszek, Michał (3)

Cites to:

Guidolin, Massimo (44)

Vayanos, Dimitri (30)

Timmermann, Allan (29)

Ang, Andrew (24)

Diebold, Francis (16)

Campbell, John (16)

Hamilton, James (16)

Vissing-Jorgensen, Annette (14)

KRISHNAMURTHY, ARVIND (14)

Rudebusch, Glenn (13)

Piazzesi, Monika (12)

Main data

Where Manuela Pedio has published?

Journals with more than one article published# docs
Finance Research Letters3

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 (2025 and 2024)

YearTitle of citing document
2024Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks. (2024). Yu, Marina. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:2:p:452-475.

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2024Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence. (2024). Lis, Szymon. In: Papers. RePEc:arx:papers:2411.13180.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2024Modeling Corporate CDS Spreads Using Markov Switching Regressions. (2024). Casarin, Roberto ; Francesco, Ravazzolo ; Roberto, Casarin ; Giacomo, Bulfone ; Ovielt, Baltodano Lopez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:271-292:n:5.

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2024Sectoral Performance of ESG Enabled Stocks during COVID-19 Pandemic in the Indian Stock Market. (2024). Jindal, Padmini ; Olasiuk, Hanna ; Kalyani, Sushil ; Arora, Geetika ; Sharma, Prashant. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-06-25.

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2025Assessing geopolitical risk: Sovereign CDS insights from the Russo-Ukrainian War. (2025). Neszveda, Gabor ; Nagy, Olivr. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1995-2006.

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2024Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Wan, Xiaoyuan ; Zhang, Jiachen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2025Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds. (2025). Fu, Xinxin ; Luo, Changqing ; Dong, Liang ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002080.

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2024Forecasting oil futures returns with news. (2024). Wang, Yudong ; Pan, Zhiyuan ; Huang, Juan ; Zhong, Hao. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003141.

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2025Energy organization sentiment and oil return forecast. (2025). Ahn, Kwangwon ; Jeong, Minhyuk. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008144.

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2024Asymmetric relationship between carbon market and energy markets. (2024). Tiwari, Aviral ; Lee, Chien-Chiang ; Shao, David Xuefeng ; Aikins, Emmanuel Joel. In: Energy. RePEc:eee:energy:v:313:y:2024:i:c:s0360544224034340.

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2024Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650.

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2025Do hurricanes cause storm on the stock market? The case of US energy companies. (2025). Horvath, Roman ; Kalistov, Anna ; Horvth, Roman ; Moravcov, Michala ; Mikufov, Marta ; Lycsa, Tefan. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007488.

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2024Corporate credit risk and bond yield spreads: Market reactions to the spreads. (2024). Dong, Xueqin ; Dai, Haiyan ; Xue, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009632.

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2024Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Li, Yueshan ; Chen, Shoudong ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203.

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2024Investors’ attention and network spillover for commodity market forecasting. (2024). Mattera, Raffaele ; Ficcadenti, Valerio ; Cerqueti, Roy. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222.

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2025Enhancing Agricultural Futures Return Prediction: Insights from Rolling VMD, Economic Factors, and Mixed Ensembles. (2025). Ye, Yiling ; Zhuang, Xiaowen ; Yi, Cai ; Liu, Dinggao ; Tang, Zhenpeng. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:11:p:1127-:d:1662849.

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2025The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns. (2025). Sheikh, Umaid A ; Galariotis, Emilios C ; Roubaud, David ; Suleman, Muhammad Tahir. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05455-7.

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2024Financial contagion in the US, European and Chinese stock markets during global shocks. (2024). Yu, Marina. In: Journal of New Economy. RePEc:url:izvest:v:25:y:2024:i:4:p:47-67.

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2024Regime‐dependent commodity price dynamics: A predictive analysis. (2024). Hlouskova, Jaroslava ; Obersteiner, Michael ; Fortin, Ines ; Cuaresma, Jesus Crespo. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:7:p:2822-2847.

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2024Predictability of commodity futures returns with machine learning models. (2024). Zhang, Tianyang ; Wang, Shirui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:302-322.

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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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper3
2016Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper5
2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2019Does 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]		paper0
2021Does 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 nother version. Agregated cites: 0		paper
2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper5
2021Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper3
2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper6
2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper8
2021Media 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 nother version. Agregated cites: 8		article
2019Forecasting 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]		article8
2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
[Full Text][Citation analysis]		article8
2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
[Full Text][Citation analysis]		article4
2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
[Full Text][Citation analysis]		article24
2017Identifying 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]		article15
2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson€ Siegel Models In: Working Papers.
[Full Text][Citation analysis]		paper7
2020Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management.
[Full Text][Citation analysis]		article1
2016Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books.
[Citation analysis]		book0
2021Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? In: Annals of Operations Research.
[Full Text][Citation analysis]		article13
2018How 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]		article3

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