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Displaying results 1 to 10 of 10.

  1. Forecasting and trading monetary policy effects on the riskless Yield curve with regime switching Nelson‐Siegel models
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2019]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 507
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: January, 2019
    Series: Working paper series / IGIER ; n. 639
    Subjects: Geldpolitik; Zinsstruktur; Prognoseverfahren; Zeitreihenanalyse; USA
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  2. The impact of monetary policy on corporate bonds under regime shifts
    Author: Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela
    Published: [2015]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: November, 2015
    Series: Working paper series / IGIER ; n. 562
    Subjects: Unconventional monetary policy; corporate bonds; term structure of Treasury yields; impulse response function; Markov switching vector autoregression
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  3. Identifying and measuring the contagion channels at work in the European financial crises
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2016]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: August, 2016
    Series: Working paper series / IGIER ; n. 586
    Subjects: Contagion channels; Markov switching models; vector autoregressions; impulse response function; flight-to-quality; flight-to-liquidity; risk premium
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. Estimating stochastic discount factor models with Hidden regimes
    applications to commodity pricing
    Author: Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela
    Published: [2017]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: June, 2017
    Series: Working paper series / IGIER ; n. 614
    Subjects: Finance; Commodities; Stochastic Discount Factor; Hidden Markov model
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  5. Distilling large information sets to forecast commodity returns
    automatic variable selection or hidden Markov models?
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2020]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

    We investigate the out-of-sample, recursive predictive accuracy for (fully hedged) commodity future returns of two sets of forecasting models, i.e., hidden Markov chain models in which the coefficients of predictive regressions follow a regime... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 666
    Inter-library loan:
    No inter-library loan

     

    We investigate the out-of-sample, recursive predictive accuracy for (fully hedged) commodity future returns of two sets of forecasting models, i.e., hidden Markov chain models in which the coefficients of predictive regressions follow a regime switching process and stepwise variable selection algorithms in which the coefficients of predictors not selected are set to zero. We perform the analysis under four alternative loss functions, i.e., squared and the absolute value, and the realized, portfolio Sharpe ratio and MV utility when the portfolio is built upon optimal weights computed solving a standard MV portfolio problem. We find that neither HMM or stepwise regressions manage to systematically (or even just frequently) outperform a plain vanilla AR benchmark according to RMSFE or MAFE statistical loss functions. However, in particular stepwise variable selection methods create economic value in out-of-sample meanvariance portfolio tests. Because we impose transaction costs not only ex post but also ex ante, so that an investor uses the forecasts of a model only when they increase expected utility

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper series / Bocconi ; n. 140 (May 2020)
    BAFFI CAREFIN Centre Research Paper ; No. 2020-140
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  6. Dissecting time-varying risk exposures in cryptocurrency markets
    Author: Bianchi, Daniele; Guidolin, Massimo; Pedio, Manuela
    Published: [2020]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

    In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class,... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 666
    Inter-library loan:
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    In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoffs sufficiently different from the traditional ones. Methodologically, we rely on a flexible dynamic econometric model that allows not only time-varying coefficients, but also allow that the entire forecasting model be changing over time. We estimate such model by looking at the time variation in the exposures of major cryptocurrencies to stock market risk factors (namely, the six Fama French factors), to precious metal commodity returns, and to cryptocurrency-specific risk-factors (namely, crypto-momentum, a sentiment index based on Google searches, and supply factors, i.e., electricity and computer power). The main empirical results suggest that cryptocurrencies are not systematically exposed to stock market factors, precious metal commodities or supply factors with the exception of some occasional spikes of the coefficients during our sample. On the contrary, crypto assets are characterized by a time-varying but significant exposure to a sentiment index and to crypto-momentum. Despite the lack of predictability compared to traditional asset classes, cryptocurrencies display considerable diversification power in a portfolio perspective and as such they can lead to a moderate improvement in the realized Sharpe ratios and certainty equivalent returns within the context of a typical portfolio problem

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: This draft: May 23, 2020
    Series: Working paper series / Bocconi ; n. 143 (May 2020)
    BAFFI CAREFIN Centre Research Paper ; No. 2020-143
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  7. Option-implied network measures of tail contagion and stock return predictability
    Author: Pedio, Manuela
    Published: [2021]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 666
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Bocconi ; n. 154 (January 2021)
    Subjects: connectedness; volatility networks; implied volatility; realized volatility; equity return predictability; spillover risk
    Scope: 1 Online-Ressource (circa 43 Seiten)
  8. Who should buy structured investment products and why?
    Author: Guidolin, Massimo; Leonetti, Giacomo; Pedio, Manuela
    Published: [2024]
    Publisher:  [BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi], [Milano, Italy]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 666
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Bocconi ; n. 222 (May 2024)
    Subjects: Structured products; investment certificates; retail investors; assetallocation; models with jumps
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  9. Does the cost of private debt respond to monetary policy?
    heteroskedasticity-based identification in a model with regimes
    Author: Guidolin, Massimo; Massagli, Valentina; Pedio, Manuela
    Published: [2021]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 507
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February, 2021
    Series: Working paper series / IGIER ; n. 676
    Subjects: unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  10. Media attention vs. sentiment as drivers of conditional volatility predictions
    an application to Brexit
    Author: Guidolin, Massimo; Pedio, Manuela
    Published: [2020]
    Publisher:  BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Università Bocconi, Milano, Italy

    Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly... more

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 666
    Inter-library loan:
    No inter-library loan

     

    Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of standard symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models augmented to include media coverage and especially media tone scores outperforme traditional GARCH models both in-and-out-of-sample

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper series / Bocconi ; n. 145 (July 2020)
    BAFFI CAREFIN Centre Research Paper ; No. 2020-145
    Subjects: Attention; Sentiment; Text Mining; Forecasting; Conditional Variance; GARCH model; Brexit
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen