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BIOGRAPHICAL NOTES
Born in March 1989, Manuela earned her Master in Finance at Bocconi University (thesis: "Regime shifts in the relationship between corporate bonds and the treasury yield curve and their implication for the U.S. monetary policy”; advisor: Prof. Massimo Guidolin). Manuela has gained a four-year experience in the private sector in the derivative business (structuring and sales of structured products). Afterwards she became a doctoral student at Bicocca University (Milan, Italy). She has been an adjunct researcher associated with Bocconi’s Finance Department and with Baffi Carefin Research Centre since 2014. She teaches courses in portfolio management and quantitave methods for finance at Bocconi and serves as teaching assistant for the course of Financial Econometrics and Empirical Finance. Her research interests span empirical finance, financial forecasting, portfolio choice and asset pricing with a particular focus to the role of regimes and statistical instability. She has published articles and books on these topics with prime editorial companies in Europe.
RESEARCH INTERESTS
Empirical Finance, Financial Econometrics, Forecasting Asset Pricing, Asset Management.
PAPERS
"Cross -Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach”, Journal of Financial Markets, 2019, 45, 83-114 (with M. Guidolin and E. Hansen).
“Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models”, Journal of Economic Dynamics and Control, 2019, 107, 103723 (with M. Guidolin).
"Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system". Quantitative Finance and Economics, 2018, 2(3): 661-701. (with A. Ferrario and M. Guidolin).
http://www.aimspress.com/article/10.3934/QFE.2018.3.661
"Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis". Journal of Portfolio Management. The Journal of Portfolio Management Winter 2018, 44 (3) 10-24. (with G. Dal Pra, M. Guidolin and F. Vasile).
http://jpm.iijournals.com/content/44/3/10
“How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns”. Quantitative Finance, 18:1, 139-169. (with A. Orlov and M. Guidolin).
https://www.tandfonline.com/doi/full/10.1080/14697688.2017.1351619
“The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.” Journal of Banking and Finance. Volume 80, July 2017, Pages 176-202. (with M. Guidolin and A. G. Orlov)
http://www.sciencedirect.com/science/article/pii/S0378426617300699
“Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity
Pricing”. European Journal of Operational Research 265 (2018) 685–702. (with M. Giampietro and M. Guidolin).
http://www.sciencedirect.com/science/article/pii/S0377221717306720
"Identifying and Measuring the Contagion Channels at Work in the European Financial Crises."
Journal of International Financial Markets, Institutions and Money 48 (2017): 117-134, (with M. Guidolin).
https://ideas.repec.org/a/eee/intfin/v48y2017icp117-134.html
"Unconventional monetary policies and the corporate bond market." Finance Research Letters 11.3
(2014): 203-212 (with M. Guidolin and A. G. Orlov)
https://ideas.repec.org/a/eee/jbfina/v80y2017icp176-202.html
BOOKS
Essentials of Time Series for Financial Applications. Elsevier, Academic Press, 2018 (with M. Guidolin)
Book's website: essentialoftimeseries.wordpress.com
Essentials of Applied Portfolio Management. Bocconi University Press, Milan, 2016 (with M. Guidolin)
The Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets. An Empirical Model (with V. Fabbrini and M. Guidolin), Palgrave McMillan Publishing Company, Basingstoke, United Kingdom, 2015.
Last change 09/11/2019