Andrea Tamoni

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

1 Washington Park

Newark, NJ 07102

United States

  • Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

SCHOLARLY PAPERS

24

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8,337

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29

CROSSREF CITATIONS

61

Scholarly Papers (24)

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1.

Bond Risk Premia with Machine Learning

Downloads 1,447 ( 12,747)
Citation 9

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 26 Dec 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,248 (15,770)
Citation 7

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Machine Learning, Neural Networks, Forecasting, Bond Returns Predictability, Empirical Asset Pricing, Ensembled Networks.

Bond Risk Premia with Machine Learning

USC-INET Research Paper No. 19-11, April 2019
Number of pages: 96 Posted: 15 Jun 2019 Last Revised: 23 Jun 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 199 (157,186)
Citation 4

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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing.

2.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

Number of pages: 82 Posted: 17 Oct 2017 Last Revised: 21 Nov 2019
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 877 (27,048)
Citation 1

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Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value

3.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 771 (32,384)
Citation 17

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predictability, frequency, aggregation, risk-return trade-off

4.

Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns

Number of pages: 62 Posted: 30 Oct 2014 Last Revised: 23 Sep 2017
Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 660 (39,971)
Citation 11

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Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models

5.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 57 Posted: 13 Nov 2018 Last Revised: 09 Jul 2019
Federico M. Bandi, Shomesh Chaudhuri, Andrew W. Lo and Andrea Tamoni
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 583 (47,148)
Citation 5

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systematic risk, factor models, investment horizon, portfolio optimization, cross-sectional pricing

6.

The Horizon of Systematic Risk: A New Beta Representation

Number of pages: 56 Posted: 10 Oct 2013 Last Revised: 03 Aug 2017
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 557 (49,983)
Citation 1

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frequency-specific betas, C-CAPM, business-cycle consumption

7.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Number of pages: 78 Posted: 03 Nov 2015 Last Revised: 10 Jul 2016
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 497 (57,756)
Citation 2

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Expected Returns, Long-Horizon Predictability, Multi-Scale, Bayesian Methods

8.

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Downloads 382 ( 79,223)
Citation 3

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Number of pages: 53 Posted: 04 Dec 2012 Last Revised: 23 Jun 2018
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 382 (78,543)
Citation 3

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stochastic discount factor, predictors-based bounds, long run

Implications of Return Predictability Across Horizons for Asset Pricing Models

CEPR Discussion Paper No. DP11645
Number of pages: 64 Posted: 22 Nov 2016
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
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asset pricing models, predictors-based bound, return predictability

9.

Fiscal Policy Driven Bond Risk Premia

Number of pages: 100 Posted: 15 Sep 2016 Last Revised: 10 Apr 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 366 (83,359)
Citation 4

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Bond Risk Premia, Fiscal Policy, Uncertainty

10.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Fulvio Ortu, Federico Severino, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, University of Lugano - Institute of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 309 (100,778)
Citation 1

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

11.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 309 (100,778)
Citation 6

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Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability

12.

Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Swiss Finance Institute Research Paper No. 19-52
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 28 Sep 2019
Andrea Berardi, Michael Markovich, Alberto Plazzi and Andrea Tamoni
Ca Foscari University of Venice - Dipartimento di Economia, Investment Strategy - Private Banking Wealth Management, Swiss Finance Institute and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 245 (128,786)

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Bond Risk Premia, Forward Rates, Monetary Policy, Natural Rate of Interest, Bond Predictability

13.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 110
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 23 Dec 2019
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 236 (133,752)

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error correction, long run predictability, equity premium, demographics

14.

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Georgia Tech Scheller College of Business Research Paper No. 17-13
Number of pages: 61 Posted: 22 Mar 2017 Last Revised: 16 Oct 2019
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 215 (146,307)
Citation 3

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

15.

News, Beliefs, and Aggregate Risk

Number of pages: 62 Posted: 14 Dec 2013 Last Revised: 16 Oct 2019
Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni
London Business School - Department of Finance, Board of Governors of the Federal Reserve System and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 211 (148,965)
Citation 4

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News Shocks, Consumption-CAPM, Cross Section of Returns, Market-to-Book Decomposition

16.

What Matters When? Time-Varying Sparsity in Expected Returns

Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 12 Dec 2019
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 143 (209,631)
Citation 1

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Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

17.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 122 (237,330)
Citation 1

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Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks

18.

Implementing Stochastic Volatility in DSGE Models: A Comment

Georgia Tech Scheller College of Business Research Paper No. 17-40
Number of pages: 22 Posted: 21 Oct 2017 Last Revised: 01 Jul 2018
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni
London Business School - Department of Finance, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 115 (247,937)

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

19.

Demographics and the Term Structure of Stock Market Risk

Number of pages: 28 Posted: 22 Feb 2010 Last Revised: 20 May 2010
Andrea Tamoni and Carlo A. Favero
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - Department of Finance
Downloads 90 (292,522)

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Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

20.

Long-Run Economic Uncertainty

Number of pages: 55 Posted: 14 Oct 2018 Last Revised: 24 Nov 2018
Federico M. Bandi, Lorenzo Bretscher and Andrea Tamoni
Johns Hopkins University - Carey Business School, London Business School - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 82 (309,910)

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financial uncertainty, policy uncertainty, macro uncertainty, the long run, the real economy

21.

The Multi-Horizon Dynamics of Risk and Returns

Number of pages: 63 Posted: 07 Apr 2017
Andrea Tamoni
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 70 (339,381)
Citation 5

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Risk-Return; Stock return predictability; Macroeconomic Uncertainty; Multi-scale time series models

22.

Sparse Predictive Regressions: Statistical Performance and Economic Significance

Number of pages: 30 Posted: 29 Oct 2019 Last Revised: 31 Oct 2019
Daniele Bianchi and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 28 (491,921)

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Return Predictability, Empirical Asset Pricing, Machine Learning, Bayesian Methods, Penalized Regressions.

23.

When It Rains It Pours: Cascading Uncertainty Shocks

Number of pages: 42 Posted: 30 Jul 2019
Anthony M. Diercks, Alex Hsu and Andrea Tamoni
Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis, Georgia Institute of Technology - Scheller College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 19 (543,858)

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Dynamic Equilibrium Economies; Stochastic Volatility; Asymmetric Impulse Responses; Perturbation

24.

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

CEPR Discussion Paper No. DP7734
Number of pages: 50 Posted: 17 Mar 2010
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 3 (648,807)
Citation 2
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demographics, dynamic dividend growth model, long run returns predictability