Massimo Guidolin
Names
| first: |
Massimo |
| last: |
Guidolin |
Identifer
Contact
Affiliations
-
Università Commerciale Luigi Bocconi
/ Dipartimento di Finanza (weight: 60%)
-
Università Commerciale Luigi Bocconi
/ BAFFI Centre on Economics, Finance and Regulation (weight: 40%)
Research profile
author of:
- Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? (RePEc:aea:aecrev:v:97:y:2007:i:5:p:1978-1993)
by Massimo Guidolin & Eliana La Ferrara - Option prices and implied volatility dynamics under Bayesian learning (RePEc:ams:cdws01:p3)
by Allan Timmerman & Massimo Guidolin - Forecasting: theory and practice (RePEc:arx:papers:2012.03854)
by Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet - Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? (RePEc:baf:cbafwp:cbafwp1619)
by Marta Giampietro & Massimo Guidolin & Manuela Pedio - Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model (RePEc:baf:cbafwp:cbafwp1623)
by Massimo Guidolin & Alexei G. Orlov & Manuela Pedio - Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis (RePEc:baf:cbafwp:cbafwp1637)
by Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile - Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence (RePEc:baf:cbafwp:cbafwp1754)
by Massimo Guidolin & Francesco Chincoli - Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? (RePEc:baf:cbafwp:cbafwp1763)
by Elvira Caloiero & Massimo Guidolin - Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? (RePEc:baf:cbafwp:cbafwp1884)
by Alexander Berglund & Massimo Guidolin & Manuela Pedio - Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment (RePEc:baf:cbafwp:cbafwp1885)
by Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda - Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors (RePEc:baf:cbafwp:cbafwp1886)
by Massimo Guidolin & Manuela Pedio - Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence (RePEc:baf:cbafwp:cbafwp1887)
by Massimo Guidolin & Alexei G. Orlov - Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence (RePEc:baf:cbafwp:cbafwp1888)
by Massimo Guidolin & Andrea Ricci - Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence (RePEc:baf:cbafwp:cbafwp1889)
by Massimo Guidolin & Andrea Ricci - Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence (RePEc:baf:cbafwp:cbafwp1890)
by Massimo Guidolin & Alexei Orlov - Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models (RePEc:baf:cbafwp:cbafwp19106)
by Massimo Guidolin & Manuela Pedio - Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns (RePEc:baf:cbafwp:cbafwp19116)
by Roland Fuess & Massimo Guidolin & Christian Koeppel - How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs (RePEc:baf:cbafwp:cbafwp19117)
by Massimo Guidolin & Manuela Pedio - Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes (RePEc:baf:cbafwp:cbafwp19118)
by Massimo Guidolin & Manuela Pedio - Time-Varying Price Discovery in Sovereign Credit Markets (RePEc:baf:cbafwp:cbafwp19120)
by Massimo Guidolin & Manuela Pedio & Alessandra tosi - A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle (RePEc:baf:cbafwp:cbafwp19121)
by Massimo Guidolin & Francesco Melloni & Manuela Pedio - The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis (RePEc:baf:cbafwp:cbafwp19122)
by Massimo Guidolin & Manuela Pedio & Milena Petrova - Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? (RePEc:baf:cbafwp:cbafwp20140)
by Massimo Guidolin & Manuela Pedio - Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets (RePEc:baf:cbafwp:cbafwp20143)
by Daniele Bianchi & Massimo Guidolin & Manuela Pedio - Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit (RePEc:baf:cbafwp:cbafwp20145)
by Massimo Guidolin & Manuela Pedio - Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? (RePEc:baf:cbafwp:cbafwp20146)
by Massimo Guidolin & Alexei Orlov - Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks (RePEc:baf:cbafwp:cbafwp21169)
by Massimo Guidolin & Davide La Cara & Massimiliano Marcellino - The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios (RePEc:baf:cbafwp:cbafwp22190)
by Massimo Guidolin & Kai Wang - Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital (RePEc:baf:cbafwp:cbafwp23202)
by Ian Berk & Massimo Guidolin & Monia Magnani - Time-Varying Risk Aversion and International Stock Returns (RePEc:baf:cbafwp:cbafwp23203)
by Massimo Guidolin & Erwin Hansen & Gabriel Cabrera - Equally Weighted vs. Long†Run Optimal Portfolios (RePEc:bla:eufman:v:21:y:2015:i:4:p:742-789)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - New ESG rating drivers in the cross‐section of European stock returns (RePEc:bla:jfnres:v:46:y:2023:i:s1:p:s133-s162)
by Ian Berk & Massimo Guidolin & Monia Magnani - Recursive Modeling of Nonlinear Dynamics in UK Stock Returns (RePEc:bla:manchs:v:71:y:2003:i:4:p:381-395)
by Massimo Guidolin & Allan Timmermann - Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence (RePEc:bla:obuest:v:76:y:2014:i:4:p:510-535)
by Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono - Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value (RePEc:bla:reesec:v:37:y:2009:i:3:p:341-381)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance (RePEc:bla:reesec:v:42:y:2014:i:2:p:279-342)
by Brad Case & Massimo Guidolin & Yildiray Yildirim - Home Bias and High Turnover in an Overlapping‐generations Model with Learning (RePEc:bla:reviec:v:13:y:2005:i:4:p:725-756)
by Massimo Guidolin - Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns (RePEc:bno:worpap:2011_19)
by Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora - Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section (RePEc:bno:worpap:2013_19)
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? (RePEc:bno:worpap:2013_22)
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus (RePEc:cca:wpaper:190)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Ex Post Portfolio Performance with Predictable Skewness and Kurtosis (RePEc:cca:wpaper:191)
by Massimo Guidolin & Giovanna Nicodano - Mildly Explosive Dynamics in U.S. Fixed Income Markets (RePEc:clm:pomwps:1001)
by Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo - Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities (RePEc:cpr:ceprdp:3005)
by Timmermann, Allan & Guidolin, Massimo - Term Structure of Risk Under Alternative Econometric Specifications (RePEc:cpr:ceprdp:4645)
by Timmermann, Allan & Guidolin, Massimo - Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms? (RePEc:cpr:ceprdp:4668)
by La Ferrara, Eliana & Guidolin, Massimo - Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach (RePEc:cpr:ceprdp:6188)
by Timmermann, Allan & Guidolin, Massimo - Investing for the Long-Run in European Real Estate. Does Predictability Matter? (RePEc:crp:wpaper:40)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Small Caps in International Equity Portfolios: The Effects of Variance Risk (RePEc:crp:wpaper:41)
by Massimo Guidolin & Giovanna Nicodano - Small Caps in International Diversified Portfolios (RePEc:crp:wpaper:68)
by Massimo Guidolin & Giovanna Nicodano - Investing in Mixed Asset Portfolios: the Ex-Post Performance (RePEc:crp:wpaper:69)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value (RePEc:crp:wpaper:82)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Ambiguity Aversion and Underdiversification (RePEc:cup:jfinqa:v:51:y:2016:i:04:p:1297-1323_00)
by Guidolin, Massimo & Liu, Hening - Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates (RePEc:ecb:ecbwps:2008977)
by Guidolin, Massimo & Thornton, Daniel L. - Economic Implications of Bull and Bear Regimes in UK Stock Returns (RePEc:ecj:ac2003:95)
by Guidolin, Massimo & Allan Timmermann - Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns (RePEc:ecj:econjl:v:115:y:2005:i:500:p:111-143)
by Massimo Guidolin & Allan Timmermann - Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching (RePEc:ecm:ausm04:349)
by Massimo Guidolin, University of Virginia & Allan Timmermann - Implied Learning Paths from Option Prices (RePEc:ecm:wc2000:0447)
by Massimo Guidolin & Allan Timmermann - An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings (RePEc:eee:corfin:v:59:y:2019:i:c:p:88-118)
by Berwart, Erik & Guidolin, Massimo & Milidonis, Andreas - Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment (RePEc:eee:csdana:v:56:y:2012:i:11:p:3546-3566)
by Guidolin, Massimo & Hyde, Stuart - Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models (RePEc:eee:dyncon:v:107:y:2019:i:c:1)
by Guidolin, Massimo & Pedio, Manuela - Option prices under Bayesian learning: implied volatility dynamics and predictive densities (RePEc:eee:dyncon:v:27:y:2003:i:5:p:717-769)
by Guidolin, Massimo & Timmermann, Allan - Properties of equilibrium asset prices under alternative learning schemes (RePEc:eee:dyncon:v:31:y:2007:i:1:p:161-217)
by Guidolin, Massimo & Timmermann, Allan - Asset allocation under multivariate regime switching (RePEc:eee:dyncon:v:31:y:2007:i:11:p:3503-3544)
by Guidolin, Massimo & Timmermann, Allan - Term structure of risk under alternative econometric specifications (RePEc:eee:econom:v:131:y:2006:i:1-2:p:285-308)
by Guidolin, Massimo & Timmermann, Allan - Forecasts of US short-term interest rates: A flexible forecast combination approach (RePEc:eee:econom:v:150:y:2009:i:2:p:297-311)
by Guidolin, Massimo & Timmermann, Allan - Modeling systemic risk with Markov Switching Graphical SUR models (RePEc:eee:econom:v:210:y:2019:i:1:p:58-74)
by Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo - Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets (RePEc:eee:ejores:v:236:y:2014:i:1:p:160-176)
by Bianchi, Daniele & Guidolin, Massimo - Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing (RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702)
by Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela - Mildly explosive dynamics in U.S. fixed income markets (RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724)
by Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo - How did the financial crisis alter the correlations of U.S. yield spreads? (RePEc:eee:empfin:v:28:y:2014:i:c:p:362-385)
by Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo - Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options (RePEc:eee:finana:v:15:y:2006:i:2:p:145-178)
by Cassese, Gianluca & Guidolin, Massimo - A yield spread perspective on the great financial crisis: Break-point test evidence (RePEc:eee:finana:v:26:y:2013:i:c:p:18-39)
by Guidolin, Massimo & Tam, Yu Man - Time varying stock return predictability: Evidence from US sectors (RePEc:eee:finlet:v:10:y:2013:i:1:p:34-40)
by Guidolin, Massimo & McMillan, David G. & Wohar, Mark E. - Unconventional monetary policies and the corporate bond market (RePEc:eee:finlet:v:11:y:2014:i:3:p:203-212)
by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela - Time-varying price discovery in sovereign credit markets (RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319307640)
by Guidolin, Massimo & Pedio, Manuela & Tosi, Alessandra - Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000246)
by Guidolin, Massimo & Pedio, Manuela - Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? (RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37)
by Bernales, Alejandro & Guidolin, Massimo - Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach (RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114)
by Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela - Identifying and measuring the contagion channels at work in the European financial crises (RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134)
by Guidolin, Massimo & Pedio, Manuela - Non-linear predictability in stock and bond returns: When and where is it exploitable? (RePEc:eee:intfor:v:25:y:2009:i:2:p:373-399)
by Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki - Predictions of short-term rates and the expectations hypothesis (RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664)
by Guidolin, Massimo & Thornton, Daniel L. - Forecasting: theory and practice (RePEc:eee:intfor:v:38:y:2022:i:3:p:705-871)
by Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh - Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective (RePEc:eee:jbfina:v:36:y:2012:i:3:p:695-716)
by Guidolin, Massimo & Hyde, Stuart - Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests (RePEc:eee:jbfina:v:46:y:2014:i:c:p:326-342)
by Bernales, Alejandro & Guidolin, Massimo - The impact of monetary policy on corporate bonds under regime shifts (RePEc:eee:jbfina:v:80:y:2017:i:c:p:176-202)
by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela - Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle (RePEc:eee:jebusi:v:58:y:2006:i:2:p:85-118)
by Guidolin, Massimo - Are the dynamic linkages between the macroeconomy and asset prices time-varying? (RePEc:eee:jebusi:v:58:y:2006:i:5-6:p:480-518)
by Guidolin, Massimo & Ono, Sadayuki - Affiliated mutual funds and analyst optimism (RePEc:eee:jfinec:v:93:y:2009:i:1:p:108-137)
by Mola, Simona & Guidolin, Massimo - Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK (RePEc:eee:mulfin:v:18:y:2008:i:4:p:293-312)
by Guidolin, Massimo & Hyde, Stuart - The empirical performance of option implied volatility surface-driven optimal portfolios (RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511)
by Guidolin, Massimo & Wang, Kai - Alternative econometric implementations of multi-factor models of the U.S. financial markets (RePEc:eee:quaeco:v:53:y:2013:i:2:p:87-111)
by Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato - Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence (RePEc:eee:quaeco:v:76:y:2020:i:c:p:1-11)
by Guidolin, Massimo & Ricci, Andrea - International asset prices and portfolio choices under Bayesian learning (RePEc:eee:reecon:v:57:y:2003:i:4:p:383-437)
by Guidolin, Massimo - Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery (RePEc:een:camaaa:2020-105)
by Juan Arismendi-Zambrano & Massimo Guidolin & Alessia Paccagnini - Option prices under Bayesian learning: implied volatility dynamics and predictive densities (RePEc:ehl:lserod:119091)
by Guidolin, Massimo & Timmermann, Allan - Markov switching models in asset pricing research (RePEc:elg:eechap:14545_1)
by Massimo Guidolin - Markov Switching Models in Empirical Finance (RePEc:eme:aecozz:s0731-9053(2011)000027b004)
by Massimo Guidolin - Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey (RePEc:eme:aecozz:s0731-9053(2011)000027b005)
by Massimo Guidolin - Chapter 16 The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns (RePEc:eme:fegzzz:s1574-8715(07)00216-3)
by Massimo Guidolin & Carrie Fangzhou Na - Mildly Explosive Dynamics in U.S. Fixed Income Markets (RePEc:fip:feddgw:324)
by Silvio Contessi & Pierangelo De Pace & Massimo Guidolin - Taming the long-term spreads (RePEc:fip:fedles:y:2009:n:26)
by Massimo Guidolin & Yu Man Tam - Is the financial crisis over? a yield spread perspective (RePEc:fip:fedles:y:2009:n:40)
by Massimo Guidolin & Yu Man Tam - The effects of large-scale asset purchases on TIPS inflation expectations (RePEc:fip:fedles:y:2010:n:26)
by Massimo Guidolin & Christopher J. Neely - The dollar U-turn (RePEc:fip:fedlie:y:2006:i:feb)
by Massimo Guidolin - Is the bond market irrational? (RePEc:fip:fedlmt:y:2005:i:jul)
by Massimo Guidolin - No volatility, no forecasting power for the term spread (RePEc:fip:fedlmt:y:2008:i:apr)
by Massimo Guidolin & Allison K. Rodean - Bubbling (or just frothy) house prices? (RePEc:fip:fedlne:y:2005:i:nov)
by Massimo Guidolin & Elizabeth A. La Jeunesse - Cross-country personal saving rates (RePEc:fip:fedlne:y:2006:i:may)
by Massimo Guidolin & Elizabeth A. La Jeunesse - Subjective probabilities: psychological theories and economic applications (RePEc:fip:fedlrv:y:2004:i:jan:p:33-48:n:v.86no.1)
by Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji - The decline in the U.S. personal saving rate: is it real and is it a puzzle? (RePEc:fip:fedlrv:y:2007:i:nov:p:491-514:n:v.89no.6)
by Massimo Guidolin & Elizabeth A. La Jeunesse - Subjective probabilities: psychological evidence and economic applications (RePEc:fip:fedlwp:2003-009)
by Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji - Term structure of risk under alternative econometric specifications (RePEc:fip:fedlwp:2005-001)
by Massimo Guidolin & Allan Timmerman - Asset allocation under multivariate regime switching (RePEc:fip:fedlwp:2005-002)
by Massimo Guidolin & Allan Timmerman - An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (RePEc:fip:fedlwp:2005-003)
by Massimo Guidolin & Allan Timmerman - Diamonds are forever, wars are not. Is conflict bad for private firms? (RePEc:fip:fedlwp:2005-004)
by Massimo Guidolin & Eliana La Ferrara - Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle (RePEc:fip:fedlwp:2005-005)
by Massimo Guidolin - Optimal portfolio choice under regime switching, skew and kurtosis preferences (RePEc:fip:fedlwp:2005-006)
by Massimo Guidolin & Allan Timmerman - Size and value anomalies under regime shifts (RePEc:fip:fedlwp:2005-007)
by Massimo Guidolin & Allan Timmerman - Modelling the MIB30 implied volatility surface. Does market efficiency matter? (RePEc:fip:fedlwp:2005-008)
by Gianluca Cassesse & Massimo Guidolin - Properties of equilibrium asset prices under alternative learning schemes (RePEc:fip:fedlwp:2005-009)
by Massimo Guidolin & Allan Timmerman - Predictable dynamics in the S&P 500 index options implied volatility surface (RePEc:fip:fedlwp:2005-010)
by Silvia Goncalves & Massimo Guidolin - High equity premia and crash fears. Rational foundations (RePEc:fip:fedlwp:2005-011)
by Massimo Guidolin - Home bias and high turnover in an overlapping generations model with learning (RePEc:fip:fedlwp:2005-012)
by Massimo Guidolin - International asset allocation under regime switching, skew and kurtosis preferences (RePEc:fip:fedlwp:2005-034)
by Massimo Guidolin & Allan Timmerman - Are the dynamic linkages between the macroeconomy and asset prices time-varying? (RePEc:fip:fedlwp:2005-056)
by Massimo Guidolin & Sadayuki Ono - Forecasts of U.S. short-term interest rates: a flexible forecast combination approach (RePEc:fip:fedlwp:2005-059)
by Massimo Guidolin & Allan Timmerman - The economic effects of violent conflict: evidence from asset market reactions (RePEc:fip:fedlwp:2005-066)
by Massimo Guidolin & Eliana La Ferrara - Small caps in international equity portfolios: the effects of variance risk (RePEc:fip:fedlwp:2005-075)
by Massimo Guidolin & Giovanna Nicodano - Investing for the long-run in European real estate (RePEc:fip:fedlwp:2006-028)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model (RePEc:fip:fedlwp:2006-029)
by Massimo Guidolin & Stuart Hyde - Why do analysts continue to provide favorable coverage for seasoned stocks? (RePEc:fip:fedlwp:2006-034)
by Massimo Guidolin & Simona Mola - The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns (RePEc:fip:fedlwp:2006-059)
by Massimo Guidolin & Carrie Fangzhou Na - Affiliated mutual funds and analyst optimism (RePEc:fip:fedlwp:2007-017)
by Massimo Guidolin & Simona Mola - Managing international portfolios with small capitalization stocks (RePEc:fip:fedlwp:2007-030)
by Massimo Guidolin & Giovanna Nicodano - Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK (RePEc:fip:fedlwp:2008-005)
by Massimo Guidolin & Stuart Hyde - Non-linear predictability in stock and bond returns: when and where is it exploitable? (RePEc:fip:fedlwp:2008-010)
by Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono - Time and risk diversification in real estate investments: assessing the ex post economic value (RePEc:fip:fedlwp:2009-001)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? (RePEc:fip:fedlwp:2009-020)
by Massimo Guidolin & Francesca Rinaldi - Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective (RePEc:fip:fedlwp:2010-002)
by Massimo Guidolin & Stuart Hyde - 1/N and long run optimal portfolios: results for mixed asset menus (RePEc:fip:fedlwp:2010-003)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Predictions of short-term rates and the expectations hypothesis (RePEc:fip:fedlwp:2010-013)
by Massimo Guidolin & Daniel L. Thornton - A yield spread perspective on the great financial crisis: break-point test evidence (RePEc:fip:fedlwp:2010-026)
by Massimo Guidolin & Yu Man Tam - Ambiguity in asset pricing and portfolio choice: a review of the literature (RePEc:fip:fedlwp:2010-028)
by Massimo Guidolin & Francesca Rinaldi - Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence (RePEc:fip:fedlwp:2010-039)
by Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono - Regime shifts in mean-variance efficient frontiers: some international evidence (RePEc:fip:fedlwp:2010-040)
by Massimo Guidolin & Federica Ria - A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets (RePEc:fip:fedlwp:2011-003)
by Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora - How did the financial crisis alter the correlations of U.S. yield spreads? (RePEc:fip:fedlwp:2013-005)
by Silvio Contessi & Pierangelo De Pace & Massimo Guidolin - Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities (RePEc:fmg:fmgdps:dp397)
by Allan Timmermann & Massimo Guidolin - Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns (RePEc:gam:jforec:v:4:y:2022:i:1:p:16-306:d:752601)
by Massimo Guidolin & Manuela Pedio - Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings (RePEc:gam:jrisks:v:12:y:2024:i:2:p:41-:d:1340970)
by Massimo Guidolin & Monia Magnani - Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective (RePEc:igi:igierp:414)
by Massimo Guidolin & Stuart Hyde - Markov Switching Models in Empirical Finance (RePEc:igi:igierp:415)
by Massimo Guidolin - Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns (RePEc:igi:igierp:416)
by Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora - Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature (RePEc:igi:igierp:417)
by Massimo Guidolin & Francesca Rinaldi - Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value (RePEc:igi:igierp:455)
by Massimo Guidolin & Stuart Hyde - Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests (RePEc:igi:igierp:456)
by Alejandro Bernales & Massimo Guidolin - An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings (RePEc:igi:igierp:482)
by Erik Berwart & Massimo Guidolin & Andreas Milidonis - Ambiguity Aversion and Under-diversification (RePEc:igi:igierp:483)
by Massimo Guidolin & Hening Liu - The Effects of Information Asymmetries on the Success of Stock Option Listings (RePEc:igi:igierp:484)
by Alejandro Bernales & Massimo Guidolin - Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section (RePEc:igi:igierp:550)
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - The Impact of Monetary Policy on Corporate Bonds under Regime Shifts (RePEc:igi:igierp:562)
by Massimo Guidolin & Alexei G. Orlov & Manuela Pedio - Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? (RePEc:igi:igierp:565)
by Alejandro Bernales & Massimo Guidolin - Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing (RePEc:igi:igierp:614)
by Marta Giampietro & Massimo Guidolin & Manuela Pedio - Modeling Systemic Risk with Markov Switching Graphical SUR Models (RePEc:igi:igierp:626)
by Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin - Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment (RePEc:igi:igierp:627)
by Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda - Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models (RePEc:igi:igierp:639)
by Massimo Guidolin & Manuela Pedio - Mildly Explosive Dynamics in U.S. Fixed Income Markets (RePEc:igi:igierp:667)
by Silvio Contessi & Pierangelo De Pace & Massimo Guidolin - Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes (RePEc:igi:igierp:676)
by Massimo Guidolin & Valentina Massagli & Manuela Pedio - An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (RePEc:jae:japmet:v:21:y:2006:i:1:p:1-22)
by Allan Timmermann & Massimo Guidolin - Small caps in international equity portfolios: the effects of variance risk (RePEc:kap:annfin:v:5:y:2009:i:1:p:15-48)
by Massimo Guidolin & Giovanna Nicodano - Investing for the Long-run in European Real Estate (RePEc:kap:jrefec:v:34:y:2007:i:1:p:35-80)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios (RePEc:kap:jrefec:v:49:y:2014:i:1:p:116-164)
by Daniele Bianchi & Massimo Guidolin - Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate (RePEc:kap:jrefec:v:49:y:2014:i:4:p:477-523)
by Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora - The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis (RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09769-2)
by Massimo Guidolin & Manuela Pedio & Milena T. Petrova - Ambiguity in asset pricing and portfolio choice: a review of the literature (RePEc:kap:theord:v:74:y:2013:i:2:p:183-217)
by Massimo Guidolin & Francesca Rinaldi - Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations (RePEc:may:mayecw:n304-20.pdf)
by Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano - Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? (RePEc:oup:jfinec:v:16:y:2018:i:1:p:34-62.)
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - Size and Value Anomalies under Regime Shifts (RePEc:oup:jfinec:v:6:y:2008:i:1:p:1-48)
by Massimo Guidolin & Allan Timmermann - International asset allocation under regime switching, skew, and kurtosis preferences (RePEc:oup:rfinst:v:21:y:2008:i:2:p:889-935)
by Massimo Guidolin & Allan Timmermann - Regime shifts in mean-variance efficient frontiers: Some international evidence (RePEc:pal:assmgt:v:12:y:2011:i:5:d:10.1057_jam.2011.27)
by Massimo Guidolin & Federica Ria - Linear and nonlinear predictability in investment style factors: multivariate evidence (RePEc:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0048-5)
by Francesco Chincoli & Massimo Guidolin - Monetary policy after the crisis: A threat to hedge funds' alphas? (RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7)
by Alexander Berglund & Massimo Guidolin & Manuela Pedio - Diversifying in public real estate: The ex-post performance (RePEc:pal:assmgt:v:8:y:2008:i:6:d:10.1057_palgrave.jam.2250089)
by Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano - Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model (RePEc:pal:palbok:978-1-137-56139-8)
by Viola Fabbrini & Massimo Guidolin & Manuela Pedio - Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence (RePEc:pal:palchp:978-0-230-29521-6_2)
by Massimo Guidolin & Federica Ria - The economic effects of violent conflict: Evidence from asset market reactions (RePEc:sae:joupea:v:47:y:2010:i:6:p:671-684)
by Massimo Guidolin & Eliana La Ferrara - Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? (RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03515-w)
by Massimo Guidolin & Manuela Pedio - High equity premia and crash fears - Rational foundations (RePEc:spr:joecth:v:28:y:2006:i:3:p:693-708)
by Massimo Guidolin - Forecasting yield spreads under crisis-induced multiple breakpoints (RePEc:taf:apeclt:v:20:y:2013:i:18:p:1656-1664)
by Caterina Forti Grazzini & Massimo Guidolin - Unknown item RePEc:taf:apfiec:v:19:y:2009:i:6:p:463-488 (article)
- Unknown item RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:105-135 (article)
- A Review of: “Book Review: Empirical Dynamic Asset Pricing” (RePEc:taf:emetrv:v:26:y:2007:i:5:p:597-604)
by Massimo Guidolin - Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes (RePEc:taf:eurjfi:v:27:y:2021:i:18:p:1804-1833)
by Massimo Guidolin & Valentina Massagli & Manuela Pedio - Performance persistence and optimal asset allocation strategies (RePEc:taf:eurjfi:v:28:y:2022:i:16:p:1571-1598)
by Prajakta Desai & Massimo Guidolin - The dynamics of returns predictability in cryptocurrency markets (RePEc:taf:eurjfi:v:29:y:2023:i:6:p:583-611)
by Daniele Bianchi & Massimo Guidolin & Manuela Pedio - Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section (RePEc:taf:jnlbes:v:35:y:2017:i:1:p:110-129)
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data (RePEc:taf:quantf:v:14:y:2014:i:12:p:2135-2153)
by Massimo Guidolin & Stuart Hyde - How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns (RePEc:taf:quantf:v:18:y:2018:i:1:p:139-169)
by Massimo Guidolin & Alexei G. Orlov & Manuela Pedio - Portfolio performance of linear SDF models: an out-of-sample assessment (RePEc:taf:quantf:v:18:y:2018:i:8:p:1425-1436)
by Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda - Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1591-1636)
by Sílvia Gonçalves & Massimo Guidolin - Sentiment Risk Premia In The Cross-Section of Global Equity (RePEc:usg:sfwpfi:2019:13)
by Roland Füss & Massimo Guidolin & Christian Koeppel - An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (RePEc:wly:japmet:v:21:y:2006:i:1:p:1-22)
by Massimo Guidolin & Allan Timmermann - Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach (RePEc:wly:jfutmk:v:36:y:2016:i:3:p:217-239)
by Massimo Guidolin & Erwin Hansen - Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence (RePEc:wsi:qjfxxx:v:12:y:2022:i:03:n:s2010139222500070)
by Massimo Guidolin & Alexei G. Orlov