Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

11

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CITATIONS
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Top 3,171

in Total Papers Citations

162

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 1,497 (11,450)
Citation 29

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 1,338 (13,703)
Citation 26

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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 1,194 (16,341)
Citation 59

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 1,051 (19,768)
Citation 23

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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 934 (23,536)
Citation 10

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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 Copenhagen Business School
Downloads 745 (31,855)
Citation 6

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 Copenhagen Business School
Downloads 53 (379,526)

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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 690 (35,938)
Citation 32

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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 683 (36,415)
Citation 5

Abstract:

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

9.
Downloads 657 ( 38,323)
Citation 8

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 Copenhagen Business School
Downloads 607 (42,008)

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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 Copenhagen Business School
Downloads 50 (389,858)
Citation 12

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Term structure of interest rates, MBS, supply factor

10.
Downloads 616 ( 41,764)
Citation 13

Central Bank Communication and the Yield Curve

Number of pages: 66 Posted: 22 Nov 2016 Last Revised: 02 Nov 2018
Stanford University, Boston University - Department of Finance & Economics, Copenhagen Business School and Copenhagen Business School
Downloads 615 (41,272)
Citation 12

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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, Copenhagen Business School and Copenhagen Business School
Downloads 1 (675,327)
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

11.
Downloads 430 ( 66,011)
Citation 5

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 430 (65,369)
Citation 4

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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