Manuela Pedio

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti, 25

Milan, 20136

Italy

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 24,974

SSRN RANKINGS

Top 24,974

in Total Papers Downloads

2,137

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (15)

1.

Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis

BAFFI CAREFIN Centre Research Paper No. 2016-37
Number of pages: 39 Posted: 15 Oct 2016 Last Revised: 14 May 2018
Independent, Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Euromobiliare Asset Management SGR
Downloads 431 (74,958)
Citation 2

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predictability, Markov switching, economic value, optimal portfolio choice

2.

How Smart Is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs

BAFFI CAREFIN Centre Research Paper No. 2019-117
Number of pages: 41 Posted: 24 Sep 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 287 (118,651)
Citation 1

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REITs, real estate factors, factor investing, smart beta strategies

3.

Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors

BAFFI CAREFIN Centre Research Paper No. 2018-86
Number of pages: 37 Posted: 03 Aug 2018 Last Revised: 14 Nov 2018
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 234 (146,069)

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stepwise regression, commodity returns, predictability, portfolio back-testing

4.

Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?

BAFFI CAREFIN Centre Research Paper No. 2018-84
Number of pages: 39 Posted: 03 Aug 2018
Stockholm School of Economics, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 182 (185,445)

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monetary policy announcements, hedge fund alpha, abnormal returns, financial

5.

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

BAFFI CAREFIN Centre Research Paper No. 2016-23
Number of pages: 63 Posted: 24 Jun 2016
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 156 (210,725)
Citation 1

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Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.

6.

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Number of pages: 92 Posted: 22 Jul 2014 Last Revised: 26 Jun 2017
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 155 (211,890)

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predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts

7.

Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 37 Posted: 06 May 2016 Last Revised: 19 Dec 2016
Marta Giampietro, Massimo Guidolin and Manuela Pedio
Bocconi University - Baffi Carefin Centre, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 154 (212,999)
Citation 2

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8.

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

BAFFI CAREFIN Centre Research Paper No. 2019-106
Number of pages: 67 Posted: 10 Jan 2019 Last Revised: 23 Jan 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 133 (239,683)
Citation 1

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Term structure of interest rates, Dynamic Nelson-Siegel factors, regime switching, butterfly strategies, unconventional monetary policy.

9.

Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 67 Posted: 30 May 2020 Last Revised: 05 Jun 2020
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 91 (312,794)
Citation 2

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Cryptocurrencies, predictability, portfolio diversification, dynamic model averaging, time-varying parameter regressions

10.

A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle

BAFFI CAREFIN Centre Research Paper No. 2019-121
Number of pages: 45 Posted: 30 Oct 2019
Massimo Guidolin, Francesco Melloni and Manuela Pedio
Bocconi University - Department of Finance, Bocconi University and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 87 (321,695)

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credit risk, credit default swap, bond spreads, Markov switching, vector error correction models, price discovery

11.

The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis

BAFFI CAREFIN Centre Research Paper No. 2019-122
Number of pages: 45 Posted: 31 Oct 2019 Last Revised: 05 Jun 2020
Massimo Guidolin, Manuela Pedio and Milena T. Petrova
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 60 (395,064)

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public real estate, REITs, private real estate, predictability, mean-variance portfolios

12.

Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit

BAFFI CAREFIN Centre Research Paper No. 2020-145
Number of pages: 34 Posted: 15 Jul 2020 Last Revised: 14 Sep 2020
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 49 (433,490)

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Tention, Sentiment, Text Mining, Forecasting, Conditional Variance, GARCH Model, Brexit

13.

Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models?

BAFFI CAREFIN Centre Research Paper No. 2020-140
Number of pages: 55 Posted: 26 May 2020 Last Revised: 05 Jun 2020
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 45 (453,094)

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Backward and forward stepwise regressions; hidden Markov models, out-of-sample forecasting; commodity futures returns; mean-variance portfolios.

14.

Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes

BAFFI CAREFIN Centre Research Paper No. 2019-118
Number of pages: 45 Posted: 24 Sep 2019
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University - Baffi Carefin Centre
Downloads 44 (453,094)

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unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields

15.

Time‐Varying Price Discovery in Sovereign Credit Markets

BAFFI CAREFIN Centre Research Paper No. 2019-120
Number of pages: 24 Posted: 30 Oct 2019
Massimo Guidolin, Manuela Pedio and Alessandra Tosi
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 29 (522,662)

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Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery