Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

  • Boston University - Department of Finance & Economics

SCHOLARLY PAPERS

17

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15,907

TOTAL CITATIONS
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Top 3,556

in Total Papers Citations

373

Scholarly Papers (17)

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1.

Bond Variance Risk Premiums

Number of pages: 58 Posted: 02 Jan 2012 Last Revised: 23 Nov 2016
Hoyong Choi, Philippe Mueller and Andrea Vedolin
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Warwick Business School Finance Group and Boston University - Department of Finance & Economics
Downloads 1,960 (18,071)
Citation 30

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Variance risk premium, Treasury implied volatility, Treasury variance swap

2.

Central Bank Communication and the Yield Curve

Downloads 1,622 (24,194)
Citation 83

Central Bank Communication and the Yield Curve

Number of pages: 85 Posted: 22 Nov 2016 Last Revised: 15 Jun 2020
Matteo Leombroni, Andrea Vedolin, Gyuri Venter and Paul Whelan
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and The Chinese University of Hong Kong
Downloads 1,621 (23,787)
Citation 83

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interest rates, monetary policy, central bank communication, risk premia, Eurozone

Central Bank Communication and the Yield Curve

CEPR Discussion Paper No. DP12970
Number of pages: 63 Posted: 11 Jun 2018
Matteo Leombroni, Andrea Vedolin, Gyuri Venter and Paul Whelan
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and The Chinese University of Hong Kong
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

3.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Philippe Mueller, Andreas Stathopoulos and Andrea Vedolin
Warwick Business School Finance Group, University of North Carolina (UNC) at Chapel Hill and Boston University - Department of Finance & Economics
Downloads 1,583 (25,135)
Citation 31

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Correlation Risk, Exchange Rates, International Finance

4.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1,407 (29,995)
Citation 52

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

5.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Philippe Mueller, Alireza Tahbaz-Salehi and Andrea Vedolin
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,266 (34,984)
Citation 68

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Monetary Policy, Foreign Exchange, Uncertainty

6.

Model-Free International Stochastic Discount Factors

Downloads 1,246 (35,777)
Citation 18

Model-Free International Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 18-18
Number of pages: 42 Posted: 16 Nov 2017 Last Revised: 21 Jun 2019
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1,239 (35,481)
Citation 13

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stochastic discount factor, exchange rates, market segmentation, financial intermediaries

Model-Free International Stochastic Discount Factors

CEPR Discussion Paper No. DP12971
Number of pages: 75 Posted: 11 Jun 2018
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, University of Geneva and Boston University - Department of Finance & Economics
Downloads 7 (1,335,779)
Citation 5
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Exchange Rates, financial intermediaries, market incompleteness, Market Segmentation, Stochastic discount factor

7.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Philippe Mueller, Andrea Vedolin and Hao Zhou
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 1,177 (38,895)
Citation 13

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8.

Funding Illiquidity, Funding Risk, and Global Stock Returns

Downloads 1,143 (40,621)
Citation 4

Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 914 (54,773)
Citation 4

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Liquidity, Market Frictions, Capital Constraints, International CAPM

International Illiquidity

FRB International Finance Discussion Paper No. 1201
Number of pages: 60 Posted: 26 Mar 2017
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 229 (282,344)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

9.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
Swiss Finance Institute - HEC Lausanne, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 1,014 (48,155)
Citation 15

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

10.

Economic Uncertainty, Disagreement, and Credit Markets

Management Science, Forthcoming
Number of pages: 38 Posted: 07 Aug 2008 Last Revised: 13 Oct 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 846 (61,910)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

11.

Mortgage Risk and the Yield Curve

Downloads 788 (68,027)
Citation 22

Mortgage Risk and the Yield Curve

The Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 23 Jan 2016
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 692 (79,376)
Citation 1

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Term Structure of Interest Rates, MBS, Supply Factor

Mortgage Risk and the Yield Curve

BIS Working Paper No. 532
Number of pages: 53 Posted: 15 Dec 2015
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
McGill University, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 96 (589,722)
Citation 21

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Term structure of interest rates, MBS, supply factor

12.

The Global Factor Structure of Exchange Rates

Downloads 603 (96,065)
Citation 13

The Global Factor Structure of Exchange Rates

Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 83 Posted: 14 Oct 2020 Last Revised: 28 Oct 2021
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 569 (102,096)

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International asset pricing, stochastic discount factor, factor models, financial frictions, market segmentation, incomplete markets, capital flows

The Global Factor Structure of Exchange Rates

NBER Working Paper No. w27892
Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 19 Mar 2023
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 33 (1,012,510)

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The Global Factor Structure of Exchange Rates

CEPR Discussion Paper No. DP15337
Number of pages: 54 Posted: 03 Nov 2020
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1 (1,376,528)
Citation 13
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

13.

Robustness and Dynamic Sentiment

Number of pages: 84 Posted: 09 Mar 2021 Last Revised: 17 Sep 2024
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 564 (104,528)

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robust control, subjective beliefs, pessimism, optimism, Cressie-Read

14.

Dollar and Carry Redux *

Number of pages: 68 Posted: 13 Jul 2022 Last Revised: 31 May 2024
Sining Liu, Thomas Andreas Maurer, Andrea Vedolin and Yaoyuan Zhang
The University of Hong Kong, The University of Hong Kong, Boston University - Department of Finance & Economics and HKU Business School
Downloads 487 (125,224)
Citation 1

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JEL-Classification: F31, G12, G15 Foreign Exchange, Dollar, Carry, Conditional, Factor, Pricing Model

15.

Model Complexity, Expectations, and Asset Prices

Downloads 133 (458,116)

Model Complexity, Expectations, and Asset Prices

Number of pages: 59 Posted: 13 Mar 2021 Last Revised: 01 Dec 2022
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 112 (526,673)

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model complexity, subjective expectations, asset pricing

Model Complexity, Expectations, and Asset Prices

NBER Working Paper No. w28408
Number of pages: 45 Posted: 01 Feb 2021 Last Revised: 13 Feb 2023
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 19 (1,188,217)

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Model Complexity, Expectations, and Asset Prices

CEPR Discussion Paper No. DP15717
Number of pages: 47 Posted: 11 Feb 2021
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 2 (1,368,613)
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16.

Generalized Robustness and Dynamic Pessimism

Downloads 44 (881,030)

Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 12 Mar 2023
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 44 (901,980)

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Generalized Robustness and Dynamic Pessimism

CEPR Discussion Paper No. DP14592
Number of pages: 45 Posted: 08 May 2020
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
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Cressie Read, Pessimism, Robust control, Subjective beliefs

17.

Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence

Downloads 24 (1,088,901)
Citation 1

Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence

NBER Working Paper No. w29499
Number of pages: 57 Posted: 23 Nov 2021 Last Revised: 16 Apr 2023
Ian Dew-Becker, Alireza Tahbaz-Salehi and Andrea Vedolin
Kellogg School of Management - Department of Finance, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 23 (1,134,179)
Citation 1

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Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence

CEPR Discussion Paper No. DP16804
Number of pages: 58 Posted: 04 Feb 2022
Ian Dew-Becker, Alireza Tahbaz-Salehi and Andrea Vedolin
Kellogg School of Management - Department of Finance, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1 (1,376,528)
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