Andrea Vedolin

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

15

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Top 4,299

in Total Papers Downloads

11,375

SSRN CITATIONS
Rank 5,841

SSRN RANKINGS

Top 5,841

in Total Papers Citations

103

CROSSREF CITATIONS

121

Scholarly Papers (15)

1.

Bond Variance Risk Premiums

Number of pages: 58 Posted: 02 Jan 2012 Last Revised: 23 Nov 2016
Hoyong Choi, Philippe Mueller and Andrea Vedolin
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Warwick Business School Finance Group and Boston University - Department of Finance & Economics
Downloads 1,580 (13,469)
Citation 30

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Variance risk premium, Treasury implied volatility, Treasury variance swap

2.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Warwick Business School Finance Group, University of North Carolina (UNC) at Chapel Hill and Boston University - Department of Finance & Economics
Downloads 1,400 (16,321)
Citation 31

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Correlation Risk, Exchange Rates, International Finance

3.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1,244 (19,506)
Citation 26

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

4.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,118 (22,885)
Citation 20

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Monetary Policy, Foreign Exchange, Uncertainty

5.
Downloads 988 ( 27,427)
Citation 14

Central Bank Communication and the Yield Curve

Number of pages: 85 Posted: 22 Nov 2016 Last Revised: 15 Jun 2020
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and Copenhagen Business School
Downloads 987 (27,043)
Citation 16

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interest rates, monetary policy, central bank communication, risk premia, Eurozone

Central Bank Communication and the Yield Curve

CEPR Discussion Paper No. DP12970
Number of pages: 63 Posted: 11 Jun 2018
Stanford University, Boston University - Department of Finance & Economics, Warwick Business School and Copenhagen Business School
Downloads 1 (799,684)
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central bank communication, Eurozone, interest rates, monetary policy, risk premia

6.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Philippe Mueller, Andrea Vedolin and Hao Zhou
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 979 (27,767)
Citation 12

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Funding Illiquidity, Funding Risk, and Global Stock Returns

Number of pages: 60 Posted: 06 Apr 2014 Last Revised: 20 Nov 2018
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 808 (35,781)
Citation 4

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Liquidity, Market Frictions, Capital Constraints, International CAPM

International Illiquidity

FRB International Finance Discussion Paper No. 1201
Number of pages: 60 Posted: 26 Mar 2017
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 94 (330,875)

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Liquidity, Market Frictions, Capital Constraints, International CAPM

8.

Interest Rate Risk Management in Uncertain Times

Number of pages: 58 Posted: 18 Jan 2016 Last Revised: 05 Dec 2017
Lorenzo Bretscher, Lukas Schmid and Andrea Vedolin
London Business School - Department of Finance, University of Southern California - Marshall School of Business and Boston University - Department of Finance & Economics
Downloads 780 (38,127)
Citation 3

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interest rate uncertainty, volatility, risk management, interest rate swaps, financial frictions, corporate investment, leverage, credit risk

9.
Downloads 741 ( 40,977)
Citation 16

Model-Free International Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 18-18
Number of pages: 42 Posted: 16 Nov 2017 Last Revised: 21 Jun 2019
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 741 (40,389)
Citation 13

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stochastic discount factor, exchange rates, market segmentation, financial intermediaries

Model-Free International Stochastic Discount Factors

CEPR Discussion Paper No. DP12971
Number of pages: 75 Posted: 11 Jun 2018
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, Swiss Finance Institute and Boston University - Department of Finance & Economics
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Citation 5
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Exchange Rates, financial intermediaries, market incompleteness, Market Segmentation, Stochastic discount factor

10.

Economic Uncertainty, Disagreement, and Credit Markets

Management Science, Forthcoming
Number of pages: 38 Posted: 07 Aug 2008 Last Revised: 13 Oct 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 716 (42,839)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

11.
Downloads 696 ( 44,537)
Citation 15

Mortgage Risk and the Yield Curve

The Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 23 Jan 2016
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 632 (49,914)
Citation 1

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Term Structure of Interest Rates, MBS, Supply Factor

Mortgage Risk and the Yield Curve

BIS Working Paper No. 532
Number of pages: 53 Posted: 15 Dec 2015
Board of Governors of the Federal Reserve System, Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Warwick Business School
Downloads 64 (414,840)
Citation 4

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Term structure of interest rates, MBS, supply factor

The Global Factor Structure of Exchange Rates

Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 53 Posted: 14 Oct 2020 Last Revised: 21 Dec 2020
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 129 (264,549)

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International asset pricing, stochastic discount factor, factor models, financial frictions, market segmentation, incomplete markets, capital flows, regularization, lasso

The Global Factor Structure of Exchange Rates

NBER Working Paper No. w27892
Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 19 Mar 2021
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 5 (756,348)
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The Global Factor Structure of Exchange Rates

CEPR Discussion Paper No. DP15337
Number of pages: 54 Posted: 03 Nov 2020
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1 (799,684)
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

13.

Robustness and Dynamic Sentiment

Number of pages: 50 Posted: 09 Mar 2021
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 49 (463,535)

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robust control, subjective beliefs, pessimism, optimism, Cressie-Read

Model Complexity, Expectations, and Asset Prices

Number of pages: 44 Posted: 13 Mar 2021
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 40 (512,763)

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model complexity, subjective expectations, asset pricing

Model Complexity, Expectations, and Asset Prices

NBER Working Paper No. w28408
Number of pages: 45 Posted: 01 Feb 2021 Last Revised: 14 Feb 2021
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 2 (785,780)
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Model Complexity, Expectations, and Asset Prices

CEPR Discussion Paper No. DP15717
Number of pages: 47 Posted: 11 Feb 2021
Pooya Molavi, Alireza Tahbaz-Salehi and Andrea Vedolin
Northwestern University, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
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Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 12 Mar 2021
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 5 (756,348)
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Generalized Robustness and Dynamic Pessimism

CEPR Discussion Paper No. DP14592
Number of pages: 45 Posted: 08 May 2020
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
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Cressie Read, Pessimism, Robust control, Subjective beliefs