Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

12

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Top 4,041

in Total Papers Downloads

10,530

SSRN CITATIONS
Rank 6,476

SSRN RANKINGS

Top 6,476

in Total Papers Citations

59

CROSSREF CITATIONS

124

Scholarly Papers (12)

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 1,536 (12,476)
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 1,367 (15,021)
Citation 22

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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 1,227 (17,683)
Citation 21

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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 1,088 (21,211)
Citation 17

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 955 (25,626)
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 784 (33,361)
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
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 73 (353,751)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

7.
Downloads 770 ( 34,710)
Citation 12

Central Bank Communication and the Yield Curve

Number of pages: 85 Posted: 22 Nov 2016 Last Revised: 15 Jun 2020
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and Copenhagen Business School
Downloads 769 (34,249)
Citation 15

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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 (742,165)
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

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, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 731 (37,269)
Citation 3

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

9.

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 705 (39,165)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

10.
Downloads 679 ( 41,179)
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 622 (45,657)
Citation 1

Abstract:

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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 57 (403,515)
Citation 3

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Term structure of interest rates, MBS, supply factor

11.
Downloads 613 ( 47,153)
Citation 13

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 613 (46,521)
Citation 14

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

Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 2 (728,017)
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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