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Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - In: European journal of operational research : EJOR 265 (2018) 2, pp. 685-702
Persistent link: https://www.econbiz.de/10011811481
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The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Journal of banking & finance 80 (2017), pp. 176-202
Persistent link: https://www.econbiz.de/10011816268
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How good can heuristic-based forecasts be? : a comparative performance of econometric and heuristic models for UK and US asset returns
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Quantitative finance 18 (2018) 1, pp. 139-169
Persistent link: https://www.econbiz.de/10011905849
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Regime shifts in excess stock return predictability : an out-of-sample portfolio analysis
Dal Pra, Giulia; Guidolin, Massimo; Pedio, Manuela; … - In: The journal of portfolio management : a publication of … 44 (2017) 3, pp. 10-24
Persistent link: https://www.econbiz.de/10011877594
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Identifying and measuring the contagion channels at work in the European financial crises
Guidolin, Massimo; Pedio, Manuela - In: Journal of international financial markets, … 48 (2017), pp. 117-134
Persistent link: https://www.econbiz.de/10011892337
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Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system
Ferrario, Andrea; Guidolin, Massimo; Pedio, Manuela - In: Quantitative finance and economics 2 (2018) 3, pp. 661-701
Persistent link: https://www.econbiz.de/10012156828
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Cross-asset contagion in the financial crisis : a Bayesian time-varying parameter approach
Guidolin, Massimo; Hansen, Erwin; Pedio, Manuela - In: Journal of financial markets 45 (2019), pp. 83-114
Persistent link: https://www.econbiz.de/10012317480
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Estimating stochastic discount factor models with Hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - 2017 - This version: June, 2017
Persistent link: https://www.econbiz.de/10011803253
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Unconventional monetary policies and the corporate bond market
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - In: Finance research letters 11 (2014) 3, pp. 203-212
Persistent link: https://www.econbiz.de/10010441885
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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit
Guidolin, Massimo; Pedio, Manuela - In: Finance research letters 42 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10014581427