Andrea Vedolin

London School of Economics and Political Science

Department of Finance

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
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CITATIONS
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Top 9,594

in Total Papers Citations

45

Scholarly Papers (11)

1.

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
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 922 (14,668)
Citation 15

Abstract:

Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

2.

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), London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics and Political Science
Downloads 822 (13,445)

Abstract:

Variance risk premium, Treasury implied volatility, Treasury variance swap

3.

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
London School of Economics & Political Science (LSE) - Department of Finance, Columbia University - Columbia Business School and London School of Economics and Political Science
Downloads 741 (25,217)

Abstract:

Monetary Policy, Foreign Exchange, Uncertainty

4.

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
London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics and Political Science and Tsinghua University - PBC School of Finance
Downloads 740 (21,253)
Citation 6

Abstract:

5.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
London School of Economics & Political Science (LSE) - Department of Finance, University of Washington and London School of Economics and Political Science
Downloads 739 (15,216)
Citation 8

Abstract:

Correlation Risk, Exchange Rates, International Finance

6.

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
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 589 (30,339)
Citation 14

Abstract:

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

7.
Downloads 554 ( 37,509)
Citation 1

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, London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics and Political Science and Copenhagen Business School
Downloads 515 (40,647)
Citation 1

Abstract:

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, London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics and Political Science and Copenhagen Business School
Downloads 39 (352,604)
Citation 1

Abstract:

Term structure of interest rates, MBS, supply factor

8.

International Illiquidity

Number of pages: 58 Posted: 06 Apr 2014 Last Revised: 06 Aug 2016
Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics and Political Science and Copenhagen Business School
Downloads 329 (39,737)
Citation 1

Abstract:

Liquidity, Market Frictions, Capital Constraints, International CAPM

9.

Variance Risk Premia on Stocks and Bonds

Number of pages: 47 Posted: 05 Jan 2017 Last Revised: 13 Jan 2017
London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics & Political Science (LSE), London School of Economics and Political Science and Copenhagen Business School
Downloads 0 (155,374)

Abstract:

Variance Risk Premia, Implied Volatility, Realized Volatility, Covariation, Stocks, Bonds

10.

Central Bank Communication and the Yield Curve

Number of pages: 50 Posted: 22 Nov 2016
Stanford University, London School of Economics and Political Science, Copenhagen Business School and Copenhagen Business School
Downloads 0 (176,692)

Abstract:

Interest Rates, Monetary Policy, Sovereign Bonds, Reaching for Yield

11.

Interest Rate Risk Management in Uncertain Times

Number of pages: 49 Posted: 18 Jan 2016 Last Revised: 12 Dec 2016
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
London School of Economics & Political Science (LSE), Duke University - The Fuqua School of Business and London School of Economics and Political Science
Downloads 0 (81,057)

Abstract:

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