Manuela Pedio

University of Bristol

University of Bristol,

Senate House, Tyndall Avenue

Bristol, BS8 ITH

United Kingdom

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti, 25

Milan, 20136

Italy

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 20,893

SSRN RANKINGS

Top 20,893

in Total Papers Downloads

3,378

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis

BAFFI CAREFIN Centre Research Paper No. 2016-37
Number of pages: 39 Posted: 15 Oct 2016 Last Revised: 18 Dec 2020
Independent, University of Liverpool Management School, University of Bristol and Euromobiliare Asset Management SGR
Downloads 460 (86,512)
Citation 2

Abstract:

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predictability, Markov switching, economic value, optimal portfolio choice

2.

How Smart Is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs

BAFFI CAREFIN Centre Research Paper No. 2019-117
Number of pages: 41 Posted: 24 Sep 2019
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 431 (93,253)
Citation 1

Abstract:

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REITs, real estate factors, factor investing, smart beta strategies

3.

The Dynamics of Returns Predictability in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 50 Posted: 30 May 2020 Last Revised: 05 May 2022
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, University of Liverpool Management School and University of Bristol
Downloads 395 (103,102)
Citation 5

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Bitcoin, cryptocurrencies, returns predictability, investments, dynamic model averaging.

4.

Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors

BAFFI CAREFIN Centre Research Paper No. 2018-86
Number of pages: 37 Posted: 03 Aug 2018 Last Revised: 14 Nov 2018
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 292 (143,265)

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stepwise regression, commodity returns, predictability, portfolio back-testing

5.

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Number of pages: 92 Posted: 22 Jul 2014 Last Revised: 26 Jun 2017
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
University of Liverpool Management School, Commodity Futures Trading Commission (CFTC) and University of Bristol
Downloads 264 (158,707)

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predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts

6.

Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?

BAFFI CAREFIN Centre Research Paper No. 2018-84
Number of pages: 39 Posted: 03 Aug 2018
Stockholm School of Economics, University of Liverpool Management School and University of Bristol
Downloads 225 (185,235)

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monetary policy announcements, hedge fund alpha, abnormal returns, financial

7.

Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 37 Posted: 06 May 2016 Last Revised: 19 Dec 2016
Marta Giampietro, Massimo Guidolin and Manuela Pedio
Bocconi University - Baffi Carefin Centre, University of Liverpool Management School and University of Bristol
Downloads 190 (216,517)
Citation 2

Abstract:

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8.

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

BAFFI CAREFIN Centre Research Paper No. 2019-106
Number of pages: 67 Posted: 10 Jan 2019 Last Revised: 23 Jan 2019
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 188 (218,495)
Citation 2

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Term structure of interest rates, Dynamic Nelson-Siegel factors, regime switching, butterfly strategies, unconventional monetary policy.

9.

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

BAFFI CAREFIN Centre Research Paper No. 2016-23
Number of pages: 63 Posted: 24 Jun 2016
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
University of Liverpool Management School, Commodity Futures Trading Commission (CFTC) and University of Bristol
Downloads 188 (218,495)
Citation 1

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Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.

10.

A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle

BAFFI CAREFIN Centre Research Paper No. 2019-121
Number of pages: 45 Posted: 30 Oct 2019
Massimo Guidolin, Francesco Melloni and Manuela Pedio
University of Liverpool Management School, Bocconi University and University of Bristol
Downloads 169 (239,329)

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credit risk, credit default swap, bond spreads, Markov switching, vector error correction models, price discovery

11.

Option-Implied Network Measures of Tail Contagion and Stock Return Predictability

BAFFI CAREFIN Centre Research Paper No. 2021-154
Number of pages: 43 Posted: 25 Feb 2021
Manuela Pedio
University of Bristol
Downloads 130 (295,169)

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connectedness, volatility networks, implied volatility, realized volatility, equity return predictability, spillover risk

12.

Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit

BAFFI CAREFIN Centre Research Paper No. 2020-145
Number of pages: 34 Posted: 15 Jul 2020 Last Revised: 05 Jan 2021
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 120 (313,242)

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Tention, Sentiment, Text Mining, Forecasting, Conditional Variance, GARCH Model, Brexit

13.

Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models?

BAFFI CAREFIN Centre Research Paper No. 2020-140
Number of pages: 55 Posted: 26 May 2020 Last Revised: 23 Dec 2021
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 108 (337,094)
Citation 1

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Backward and forward stepwise regressions; hidden Markov models, out-of-sample forecasting; commodity futures returns; mean-variance portfolios.

14.

The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis

BAFFI CAREFIN Centre Research Paper No. 2019-122
Number of pages: 45 Posted: 31 Oct 2019 Last Revised: 05 Jun 2020
Massimo Guidolin, Manuela Pedio and Milena Petrova
University of Liverpool Management School, University of Bristol and Syracuse University - Whitman School of Management
Downloads 91 (376,562)
Citation 1

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public real estate, REITs, private real estate, predictability, mean-variance portfolios

15.

Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes

BAFFI CAREFIN Centre Research Paper No. 2019-118
Number of pages: 45 Posted: 24 Sep 2019
University of Liverpool Management School, University of Bristol and Bocconi University - Baffi Carefin Centre
Downloads 77 (415,612)

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unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields

16.

Time‐Varying Price Discovery in Sovereign Credit Markets

BAFFI CAREFIN Centre Research Paper No. 2019-120
Number of pages: 24 Posted: 30 Oct 2019
Massimo Guidolin, Manuela Pedio and Alessandra Tosi
University of Liverpool Management School, University of Bristol and Bocconi University
Downloads 50 (513,594)

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Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery