Manuela Pedio's Books

Essentials of Time Series for Financial Applications

By: Massimo Guidolin,Manuela Pedio

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Essentials of Time Series for Financial Applications

By: Massimo Guidolin,Manuela Pedio

Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)

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Page Count

435

Publisher

Academic Press

Published Date

ISBN 10

0128134100

ISBN 13

9780128134108

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

By: Massimo Guidolin,Viola Fabbrini,Manuela Pedio

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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

By: Massimo Guidolin,Viola Fabbrini,Manuela Pedio

Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil. This book uses modern linear and non-linear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets. These include equity and corporate bond markets as well as relatively risk-free fixed income securities, such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.

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Page Count

215

Publisher

Springer

Published Date

ISBN 10

1137561394

ISBN 13

9781137561398

Essentials of Time Series for Financial Applications

By: Massimo Guidolin,Manuela Pedio

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Essentials of Time Series for Financial Applications

By: Massimo Guidolin,Manuela Pedio

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Page Count

435

Publisher

Academic Press

Published Date

ISBN 10

0128134100

ISBN 13

9780128134108

Essentials of Applied Portfolio Management

By: Massimo Guidolin,Manuela Pedio

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Essentials of Applied Portfolio Management

By: Massimo Guidolin,Manuela Pedio

This book offers an essential introduction to modern portfolio theory. The book provides a number of simple, practical examples to allow the reader to apply the theoretical concepts presented in each chapter. A portion of such practical cases are worked out in Excel and made available through the book’s website. The book takes inspiration from Markowitz’s classical mean-variance, it then proceeds to develop modelling tools of increasing sophistication that eventually take into account the role played by generic risk-averse preferences. The book also explores a few advanced topics: the use of multi-factor asset pricing models and the role of background risks and human capital.

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Page Count

262

Publisher

EGEA spa

Published Date

ISBN 10

8823814464

ISBN 13

9788823814462

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

By: Massimo Guidolin,Viola Fabbrini,Manuela Pedio

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Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

An Empirical Model

By: Massimo Guidolin,Viola Fabbrini,Manuela Pedio

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N/A

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Page Count

142

Publisher

Springer

Published Date

ISBN 10

1137561394

ISBN 13

9781137561398

Book's by Manuela Pedio

Essentials of Time Series for Financial Applications

Essentials of Time Series for Financial Applications

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

Essentials of Time Series for Financial Applications

Essentials of Time Series for Financial Applications

Essentials of Applied Portfolio Management

Essentials of Applied Portfolio Management

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets

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