Dr Manuela Pedio
PhD, MSc, BSc
Expertise
Current positions
Senior Lecturer in Finance
School of Accounting and Finance - Business School
Contact
Press and media
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Research interests
My research interests are quite broad and span from empirical finance, financial econometrics, and financial forecasting to asset pricing and portfolio choice.
Projects and supervisions
Thesis supervisions
Predicting volatility with Twitter sentiment
Supervisors
Publications
Selected publications
01/01/2020Can Commodity-Specific Factors Improve the Forecasting Power of Macroeconomic Variables for Commodity Futures Returns
Annals of Operations Research
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing
European Journal of Operational Research
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
Journal of Banking and Finance
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
Quantitative Finance
Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis.
Journal of Real Estate Finance and Economics
Recent publications
08/06/2022The dynamics of returns predictability in cryptocurrency markets
European Journal of Finance
Forecasting: theory and practice
International Journal of Forecasting
Sharpening the Accuracy of Credit Scoring Models with Machine Learning Algorithms
Data Science for Economics and Finance
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models?
Journal of Forecasting
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes
European Journal of Finance