Alessandro Melone

Vienna Graduate School of Finance (VGSF)

Vienna

Austria

SCHOLARLY PAPERS

3

DOWNLOADS

228

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.
Downloads 198 (171,269)
Citation 1

Factor Models with Drifting Prices

Number of pages: 53 Posted: 12 Jul 2019 Last Revised: 12 Jun 2020
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 198 (171,103)
Citation 2

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Long-Horizon Returns, Predictability, Mispricing, Factor Models, Equilibrium Correction Term.

Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models

CEPR Discussion Paper No. DP14417
Number of pages: 65 Posted: 03 Mar 2020 Last Revised: 24 Mar 2020
Carlo A. Favero and Alessandro Melone
Bocconi University - Department of Finance and Vienna Graduate School of Finance (VGSF)
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Dynamic Factor-Portfolio Models, Equilibrium Correction Term, mispricing, return predictability

2.

Stock-Oil Comovement: Fundamentals or Financialization?

Number of pages: 49 Posted: 15 Oct 2020
Alessandro Melone, Otto Randl, Leopold Sögner and Josef Zechner
Vienna Graduate School of Finance (VGSF), WU Vienna University of Economics and Business, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business
Downloads 17 (597,872)

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Asset Return Comovements, Oil Futures, VAR Return Decomposition

3.

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Number of pages: 37 Posted: 15 Oct 2020 Last Revised: 17 Oct 2020
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 13 (625,165)

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Monetary Policy Rule, Sovereign Bond Yields, Term Structure, Drifting Equilibrium Rate Drivers, Return Predictability