Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 4,054

in Total Papers Downloads

8,500

CITATIONS
Rank 9,637

SSRN RANKINGS

Top 9,637

in Total Papers Citations

45

Scholarly Papers (12)

1.

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, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 929 (20,290)

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Monetary Policy, Foreign Exchange, Uncertainty

2.

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 Boston University - Department of Finance & Economics
Downloads 922 (15,327)
Citation 16

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

3.

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 and Boston University - Department of Finance & Economics
Downloads 822 (11,873)

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Variance risk premium, Treasury implied volatility, Treasury variance swap

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
Warwick Business School, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 740 (22,292)
Citation 4

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5.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Warwick Business School, University of Washington and Boston University - Department of Finance & Economics
Downloads 739 (13,696)
Citation 8

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Correlation Risk, Exchange Rates, International Finance

6.
Downloads 670 ( 32,266)
Citation 1

International Illiquidity

Number of pages: 59 Posted: 06 Apr 2014 Last Revised: 09 Oct 2017
Board of Governors of the Federal Reserve System, Warwick Business School, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 641 (33,733)
Citation 1

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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, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 29 (427,283)
Citation 1

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Liquidity, Market Frictions, Capital Constraints, International CAPM

7.
Downloads 606 ( 36,891)
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, Warwick Business School, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 562 (40,175)
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, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 44 (366,354)
Citation 1

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Term structure of interest rates, MBS, supply factor

8.

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 Boston University - Department of Finance & Economics
Downloads 589 (32,519)
Citation 14

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

9.

Model-Free International Stochastic Discount Factors

Number of pages: 70 Posted: 16 Nov 2017
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Lugano, University of Geneva and Boston University - Department of Finance & Economics
Downloads 0 (275,451)

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Stochastic Discount Factor, Exchange Rates, Market Segmentation, Market Incompleteness, Financial Intermediaries

10.

Variance Risk Premia on Stocks and Bonds

Number of pages: 47 Posted: 05 Jan 2017 Last Revised: 13 Jan 2017
Warwick Business School, London School of Economics & Political Science (LSE), Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 0 (93,711)
Citation 1

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

11.

Central Bank Communication and the Yield Curve

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 22 Nov 2016 Last Revised: 07 Jun 2017
Stanford University, Boston University - Department of Finance & Economics, Copenhagen Business School and Copenhagen Business School
Downloads 0 (76,414)

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

12.

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 School of Economics & Political Science (LSE), Duke University - The Fuqua School of Business and Boston University - Department of Finance & Economics
Downloads 0 (57,733)

Abstract:

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