6
H index
3
i10 index
106
Citations
Manuela Pedio : Citation Profile
University of Bristol (70% share) | RESEARCH PRODUCTION: 11 Articles 18 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
7 years (2014 - 2021). 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:
|
Main data
Where Manuela Pedio has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance Research Letters | 3 |
| 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782. Full description at Econpapers || Download paper |
| 2024 | Modeling Corporate CDS Spreads Using Markov Switching Regressions. (2024). Roberto, Casarin ; Giacomo, Bulfone ; Ovielt, Baltodano Lopez ; Francesco, Ravazzolo. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:271-292:n:5. Full description at Econpapers || Download paper |
| 2024 | Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Zhang, Jiachen ; Wan, Xiaoyuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274. Full description at Econpapers || Download paper |
| 2023 | Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729. Full description at Econpapers || Download paper |
| 2023 | Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x. Full description at Econpapers || Download paper |
| 2023 | Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045. Full description at Econpapers || Download paper |
| 2023 | Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x. Full description at Econpapers || Download paper |
| 2023 | Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics. (2023). Tsafack, Georges ; Starkey, Christopher Michael. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003794. Full description at Econpapers || Download paper |
| 2024 | Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650. Full description at Econpapers || Download paper |
| 2023 | EU Climate Change News Index: Forecasting EU ETS prices with online news. (2023). Palos, Peter ; Pap, Aron ; Hartvig, Aron Denes. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000946. Full description at Econpapers || Download paper |
| 2023 | Media attention and corporate greenwashing behavior: Evidence from China. (2023). Li, Yilin ; Yue, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003884. Full description at Econpapers || Download paper |
| 2023 | Market systemic risk, predictability and macroeconomics news. (2023). Xie, Yiqiang ; Fan, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004749. Full description at Econpapers || Download paper |
| 2023 | The US banking crisis in 2023: Intraday attention and price variation of banks at risk. (2023). Halouskova, Martina ; Lyocsa, Tefan ; Haugom, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005810. Full description at Econpapers || Download paper |
| 2023 | Hedge fund manager timing and selectivity skill over time. A holdings-based estimate. (2023). Kang, Minjeong ; Aiken, Adam L. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008115. Full description at Econpapers || Download paper |
| 2023 | The impact of Bank of Japan’s exchange-traded fund purchases. (2023). Yoshida, Jiro ; Hattori, Takahiro. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000025. Full description at Econpapers || Download paper |
| 2023 | Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605. Full description at Econpapers || Download paper |
| 2023 | Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444. Full description at Econpapers || Download paper |
| 2023 | News-based economic policy uncertainty and financial contagion: An international evidence. (2023). Hadhri, Sinda. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:63-76. Full description at Econpapers || Download paper |
| 2024 | Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Chen, Shoudong ; Li, Yueshan ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203. Full description at Econpapers || Download paper |
| 2023 | Risk spillover in China’s real estate industry chain: a DCC-EGARCH-?CoVaR model. (2023). Zheng, Yuelong ; Wang, Lin ; Zhou, Liguo ; Chen, Xiaoyang. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01934-1. Full description at Econpapers || Download paper |
| 2023 | A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting. (2023). GUPTA, RANGAN ; Zhang, Han. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00483-5. Full description at Econpapers || Download paper |
| 2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
| 2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
| 2023 | 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 |
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 | 3 |
| 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 | 5 |
| 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 nother version. Agregated cites: 0 | paper | |
| 2019 | Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 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 | 6 |
| 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 | 5 |
| 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 nother version. Agregated cites: 5 | 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 | 6 |
| 2018 | Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 8 |
| 2017 | Estimating 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 | |
| 2014 | Unconventional monetary policies and the corporate bond market In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2019 | Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 18 |
| 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 | 13 |
| 2017 | The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
| 2015 | The 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 | |
| 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 | 6 |
| 2020 | Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management. [Full Text][Citation analysis] | article | 1 |
| 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 | 10 |
| 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 | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team