Manuela Pedio : Citation Profile

Are you Manuela Pedio?

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

6

H index

2

i10 index

105

Citations

RESEARCH PRODUCTION:

11

Articles

18

Papers

1

Books

RESEARCH ACTIVITY:

   7 years (2014 - 2021). See details.
   Cites by year: 15
   Journals where Manuela Pedio has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 9 (7.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe941
   Updated: 2024-11-06    RAS profile: 2022-01-12    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Guidolin, Massimo (17)

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)

Paccagnini, Alessia (3)

Reade, J (3)

Fernandes, Marcelo (3)

Rubaszek, Michał (3)

Martinez, Andrew (3)

Thomakos, Dimitrios (3)

Eo, Yunjong (3)

Hendry, David (3)

Fiszeder, Piotr (3)

Li, Feng (3)

Cites to:

Guidolin, Massimo (44)

Vayanos, Dimitri (30)

Timmermann, Allan (29)

Ang, Andrew (24)

Diebold, Francis (16)

Hamilton, James (16)

Campbell, John (16)

KRISHNAMURTHY, ARVIND (14)

Vissing-Jorgensen, Annette (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 (2024 and 2023)

YearTitle of citing document
2023Exploring 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

2024Modeling 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

2024Systematic 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

2023Financial 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

2023Measuring 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

2023Volatility 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

2023Are 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

2023Measuring 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

2024Google 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

2023EU 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

2023Media 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

2023Market 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

2023The 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

2023Hedge 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

2023The 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

2023Predictability 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

2023Cointegration 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

2023News-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

2024Over-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

2023Risk 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

2023A 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

2023Crisis 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

2023A 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

2024Time?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:

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]		paper4
2021Time-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
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]		paper5
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: 5		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]		article6
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]		article3
2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
[Full Text][Citation analysis]		article18
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]		article13
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]		paper6
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]		article9
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team