Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 4,225

in Total Papers Downloads

7,956

CITATIONS
Rank 9,642

SSRN RANKINGS

Top 9,642

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 Boston University - Department of Finance & Economics
Downloads 922 (15,215)
Citation 16

Abstract:

Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

2.

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, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 878 (21,134)

Abstract:

Monetary Policy, Foreign Exchange, Uncertainty

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), London School of Economics & Political Science (LSE) - Department of Finance and Boston University - Department of Finance & Economics
Downloads 822 (12,228)

Abstract:

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
London School of Economics & Political Science (LSE) - Department of Finance, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 740 (21,840)
Citation 4

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 Boston University - Department of Finance & Economics
Downloads 739 (14,119)
Citation 8

Abstract:

Correlation Risk, Exchange Rates, International Finance

6.
Downloads 607 ( 35,422)
Citation 1

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, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 586 (36,556)
Citation 1

Abstract:

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, London School of Economics & Political Science (LSE) - Department of Finance, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 21 (458,813)
Citation 1

Abstract:

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
The University of Chicago, University of Geneva and Boston University - Department of Finance & Economics
Downloads 589 (31,712)
Citation 14

Abstract:

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

8.
Downloads 583 ( 37,371)
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, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 542 (40,556)
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, Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 41 (366,237)
Citation 1

Abstract:

Term structure of interest rates, MBS, supply factor

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), Boston University - Department of Finance & Economics and Copenhagen Business School
Downloads 0 (108,365)
Citation 1

Abstract:

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

10.

Central Bank Communication and the Yield Curve

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 (97,088)

Abstract:

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

11.

Interest Rate Risk Management in Uncertain Times

Number of pages: 55 Posted: 18 Jan 2016 Last Revised: 12 Sep 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 (65,614)

Abstract:

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