manuela pedio
manuela pedio
University of Bristol, (Bristol); Baffi Carefin (Bocconi University, Milan)
Verified email at bristol.ac.uk
Title
Cited by
Cited by
Year
Essentials of time series for financial applications
M Guidolin, M Pedio
Academic Press, 2018
172018
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
M Giampietro, M Guidolin, M Pedio
European Journal of Operational Research 265 (2), 685-702, 2018
122018
Identifying and measuring the contagion channels at work in the European financial crises
M Guidolin, M Pedio
Journal of International Financial Markets, Institutions and Money 48, 117-134, 2017
122017
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
M Guidolin, E Hansen, M Pedio
Journal of Financial Markets 45, 83-114, 2019
112019
The impact of monetary policy on corporate bonds under regime shifts
M Guidolin, AG Orlov, M Pedio
Journal of Banking & Finance 80, 176-202, 2017
102017
Regime shifts in excess stock return predictability: an out-of-sample portfolio analysis
G Dal Pra, M Guidolin, M Pedio, F Vasile
The Journal of Portfolio Management 44 (3), 10-24, 2018
72018
Unconventional monetary policies and the corporate bond market
M Guidolin, AG Orlov, M Pedio
Finance Research Letters 11 (3), 203-212, 2014
72014
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
M Guidolin, AG Orlov, M Pedio
Quantitative Finance 18 (1), 139-169, 2018
42018
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models
M Guidolin, M Pedio
Journal of Economic Dynamics and Control 107, 103723, 2019
32019
Forecasting commodity futures returns: an economic value analysis of macroeconomic vs. specific factors
M Guidolin, M Pedio
BAFFI CAREFIN Centre Research Paper, 2018
32018
Comparing in-and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system
A Ferrario, M Guidolin, M Pedio
32018
Dissecting time-varying risk exposures in cryptocurrency markets
D Bianchi, M Guidolin, M Pedio
BAFFI CAREFIN Centre Research Paper, 2020
22020
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
M Guidolin, M Pedio
Annals of Operations Research, 1-40, 2020
22020
Time-varying price discovery in sovereign credit markets
M Guidolin, M Pedio, A Tosi
Finance Research Letters, 101388, 2019
22019
Essentials of applied portfolio management
M Guidolin, M Pedio
EGEA spa, 2016
22016
Understanding the impact of monetary policy shocks on the corporate bond market in good and bad times: A Markov switching model
M Guidolin, AG Orlov, M Pedio
BAFFI CAREFIN Centre Research Paper, 2014
22014
Forecasting: theory and practice
F Petropoulos, D Apiletti, V Assimakopoulos, MZ Babai, DK Barrow, ...
arXiv preprint arXiv:2012.03854, 2020
12020
Monetary policy after the crisis: A threat to hedge funds' alphas?
A Berglund, M Guidolin, M Pedio
Journal of Asset Management 21, 219-238, 2020
12020
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes
M Guidolin, M Pedio, V Massagli
Heteroskedasticity‐Based Identification in a Model with Regimes (September …, 2019
12019
Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?
M Giampietro, M Guidolin, M Pedio
BAFFI CAREFIN Centre Research Paper, 2015
12015
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