Andrea Tamoni

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

1 Washington Park

Newark, NJ 07102

United States

SCHOLARLY PAPERS

23

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7,778

SSRN CITATIONS
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SSRN RANKINGS

Top 11,217

in Total Papers Citations

22

CROSSREF CITATIONS

60

Scholarly Papers (23)

1.
Downloads 1,223 ( 16,163)
Citation 7

Bond Risk Premia with Machine Learning

Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 28 Feb 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 1,099 (18,654)
Citation 6

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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 124 (230,211)
Citation 1

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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: 76 Posted: 17 Oct 2017 Last Revised: 19 Apr 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 843 (27,892)
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
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 760 (32,266)
Citation 15

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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 644 (40,272)
Citation 10

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

5.

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 547 (49,827)
Citation 1

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

6.

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
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 533 (51,771)
Citation 3

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

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 491 (57,199)
Citation 1

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

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 378 (77,667)
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 336 (89,738)
Citation 3

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Bond Risk Premia, Fiscal Policy, Uncertainty

10.

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 306 (99,489)
Citation 3

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

11.

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

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
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 295 (103,518)
Citation 1

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

12.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 11 Mar 2014
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 (130,630)

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error correction, long run predictability, equity premium, demographics

13.

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
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 215 (142,974)

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

14.

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 201 (152,325)
Citation 4

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

15.

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 195 (156,785)
Citation 3

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Risk Aversion, Uncertainty, Conditional IRF, Dynamic Economies

16.

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 120 (234,958)
Citation 1

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

17.

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 107 (255,071)

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Dynamic equilibrium economies, Stochastic volatility, Perturbation, Matlab code

18.

What Matters When? Time-Varying Sparsity in Expected Returns

Number of pages: 41 Posted: 20 Aug 2019 Last Revised: 29 Aug 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 100 (267,226)

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

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 (286,125)

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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
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 72 (326,876)

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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 67 (339,909)
Citation 4

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

22.

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 16 (549,903)

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

23.

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
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 (635,127)
Citation 1
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demographics, dynamic dividend growth model, long run returns predictability