Access Statistics for Manuela Pedio

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle 2 9 31 42 4 17 62 74
Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? 1 3 6 56 1 3 8 73
Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets 3 14 45 45 18 41 87 87
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? 4 9 28 28 4 11 32 32
Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis 2 2 8 130 2 2 18 153
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 2 7 30 57 3 10 44 67
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing 3 7 18 73 4 11 33 121
Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors 0 4 22 85 1 7 31 109
Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models 1 7 26 97 2 9 36 131
Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models 1 2 16 61 1 3 27 67
How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs 3 6 31 56 3 8 49 72
Identifying and Measuring the Contagion Channels at Work in the European Financial Crises 1 2 5 85 2 7 14 125
Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit 4 14 32 32 5 19 39 39
Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? 1 4 22 91 4 9 30 98
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts 2 4 12 152 2 7 28 291
The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis 3 11 26 58 5 17 34 51
Time-Varying Price Discovery in Sovereign Credit Markets 1 5 15 32 2 7 30 39
Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model 0 0 8 49 0 1 19 96
Total Working Papers 34 110 381 1,229 63 189 621 1,725


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach 0 3 9 14 2 5 21 29
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing 0 0 1 16 0 1 4 29
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models 1 2 9 14 3 9 35 55
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns 0 0 1 11 3 3 7 33
Identifying and measuring the contagion channels at work in the European financial crises 1 3 12 43 4 6 33 108
Monetary policy after the crisis: A threat to hedge funds' alphas? 0 4 10 10 1 6 20 20
The impact of monetary policy on corporate bonds under regime shifts 0 1 7 37 1 4 23 124
Unconventional monetary policies and the corporate bond market 0 0 1 39 0 1 5 105
Total Journal Articles 2 13 50 184 14 35 148 503


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model 0 0 0 0 0 3 10 12
Total Books 0 0 0 0 0 3 10 12


Statistics updated 2021-01-03