Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

11

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10,213

SSRN CITATIONS
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SSRN RANKINGS

Top 6,427

in Total Papers Citations

48

CROSSREF CITATIONS

115

Scholarly Papers (11)

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 1,515 (11,851)
Citation 21

Abstract:

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Variance risk premium, Treasury implied volatility, Treasury variance swap

2.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Warwick Business School Finance Group, University of Washington and Boston University - Department of Finance & Economics
Downloads 1,357 (14,138)
Citation 17

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Correlation Risk, Exchange Rates, International Finance

3.

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, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1,212 (16,812)
Citation 29

Abstract:

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

4.

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
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,065 (20,374)
Citation 7

Abstract:

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Monetary Policy, Foreign Exchange, Uncertainty

5.

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 948 (24,192)
Citation 11

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Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 768 (32,051)
Citation 4

Abstract:

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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
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 62 (366,540)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

7.

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, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 700 (36,938)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

8.

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
London Business School - Department of Finance, Duke University - The Fuqua School of Business and Boston University - Department of Finance & Economics
Downloads 697 (37,162)
Citation 4

Abstract:

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

9.
Downloads 679 ( 38,485)
Citation 10

Central Bank Communication and the Yield Curve

Number of pages: 82 Posted: 22 Nov 2016 Last Revised: 17 Nov 2019
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and Copenhagen Business School
Downloads 678 (37,978)
Citation 13

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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
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and Copenhagen Business School
Downloads 1 (703,316)
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

10.
Downloads 672 ( 39,002)
Citation 14

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
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 618 (43,070)
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
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 54 (392,787)
Citation 2

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Term structure of interest rates, MBS, supply factor

11.
Downloads 538 ( 52,200)
Citation 7

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 Lugano, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 538 (51,572)
Citation 7

Abstract:

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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 Lugano, Swiss Finance Institute and Boston University - Department of Finance & Economics
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Exchange Rates, financial intermediaries, market incompleteness, Market Segmentation, Stochastic discount factor