Details about Massimo Guidolin

Access statistics for papers by Massimo Guidolin.

Last updated 2008-08-16. Update your information in the RePEc Author Service.

Short-id: pgu101

Working Papers

2008

1. Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK
   Working Papers, Federal Reserve Bank of St. Louis
2. Non-linear predictability in stock and bond returns: when and where is it exploitable?
   Working Papers, Federal Reserve Bank of St. Louis

2007

3. Affiliated mutual funds and analyst optimism
   Working Papers, Federal Reserve Bank of St. Louis
4. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
   Working Papers, Federal Reserve Bank of St. Louis View citations
   Also in
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations
5. Investing in Mixed Asset Portfolios: the Ex-Post Performance
   CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
6. Managing international portfolios with small capitalization stocks
   Working Papers, Federal Reserve Bank of St. Louis
7. Small Caps in International Diversified Portfolios
   CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
8. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns
   Working Papers, Federal Reserve Bank of St. Louis
9. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
   Working Papers, Federal Reserve Bank of St. Louis View citations

2006

10. Asset allocation under multivariate regime switching
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2007)
11. Diamonds are forever, wars are not. Is conflict bad for private firms?
    Working Papers, Federal Reserve Bank of St. Louis View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    See Also Journal Article in American Economic Review (2007)
12. International asset allocation under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations
13. Investing for the long-run in European real estate
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in The Journal of Real Estate Finance and Economics (2007)
14. Why do analysts continue to provide favorable coverage for seasoned stocks?
    Working Papers, Federal Reserve Bank of St. Louis

2005

15. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in Journal of Applied Econometrics (2006)
16. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Working Papers, Federal Reserve Bank of St. Louis
    See Also Journal Article in Journal of Economics and Business (2006)
17. High equity premia and crash fears. Rational foundations
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in Economic Theory (2006)
18. Home bias and high turnover in an overlapping generations model with learning
    Working Papers, Federal Reserve Bank of St. Louis
    See Also Journal Article in Review of International Economics (2005)
19. Investing for the Long-Run in European Real Estate. Does Predictability Matter?
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
20. Modelling the MIB30 implied volatility surface. Does market efficiency matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations
21. Optimal portfolio choice under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations
22. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle
    Working Papers, Federal Reserve Bank of St. Louis
    See Also Journal Article in Journal of Economics and Business (2006)
23. Predictable dynamics in the S&P 500 index options implied volatility surface
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in Journal of Business (2006)
24. Properties of equilibrium asset prices under alternative learning schemes
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2007)
25. Size and value anomalies under regime shifts
    Working Papers, Federal Reserve Bank of St. Louis View citations
26. Small Caps in International Equity Portfolios: The Effects of Variance Risk
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations
    Also in
    Working Papers, Federal Reserve Bank of St. Louis (2005) View citations
27. Term structure of risk under alternative econometric specifications
    Working Papers, Federal Reserve Bank of St. Louis
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    See Also Journal Article in Journal of Econometrics (2006)
28. The economic effects of violent conflict: evidence from asset market reactions
    Working Papers, Federal Reserve Bank of St. Louis View citations

2004

29. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations

2003

30. Economic Implications of Bull and Bear Regimes in UK Stock Returns
    Royal Economic Society Annual Conference 2003, Royal Economic Society
31. Subjective probabilities: psychological evidence and economic applications
    Working Papers, Federal Reserve Bank of St. Louis

2001

32. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in
    FMG Discussion Papers, Financial Markets Group (2001) View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2003)
33. Option prices and implied volatility dynamics under Bayesian learning
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations

2000

34. Implied Learning Paths from Option Prices
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

Journal Articles

2008

1. Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK
   Journal of Multinational Financial Management, 2008, 18, (4), 293-312
2. No volatility, no forecasting power for the term spread
   Monetary Trends, 2008, (Apr)

2007

3. A Review of: "Book Review: Empirical Dynamic Asset Pricing"
   Econometric Reviews, 2007, 26, (5), 597-604
4. Asset allocation under multivariate regime switching
   Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations
   See Also Working Paper (2006)
5. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
   American Economic Review, 2007, 97, (5), 1978-1993
   See Also Working Paper (2006)
6. Investing for the Long-run in European Real Estate
   The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80
   See Also Working Paper (2006)
7. Is the term spread still speaking to policymakers? some international evidence
   International Economic Trends, 2007, (Jul)
8. Properties of equilibrium asset prices under alternative learning schemes
   Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations
   See Also Working Paper (2005)
9. The decline in the U.S. personal saving rate: is it real and is it a puzzle?
   Review, 2007, (Nov), 491-514

2006

10. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Journal of Applied Econometrics, 2006, 21, (1), 1-22 View citations
    See Also Working Paper (2005)
11. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Journal of Economics and Business, 2006, 58, (5-6), 480-518 View citations
    See Also Working Paper (2005)
12. Cross-country personal saving rates
    National Economic Trends, 2006, (May)
13. High equity premia and crash fears - Rational foundations
    Economic Theory, 2006, 28, (3), 693-708 View citations
    See Also Working Paper (2005)
14. Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options
    International Review of Financial Analysis, 2006, 15, (2), 145-178
15. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle
    Journal of Economics and Business, 2006, 58, (2), 85-118 View citations
    See Also Working Paper (2005)
16. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    Journal of Business, 2006, 79, (3), 1591-1636
    See Also Working Paper (2005)
17. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations
    See Also Working Paper (2005)
18. The dollar U-turn
    International Economic Trends, 2006, (Feb)

2005

19. Bubbling (or just frothy) house prices?
    National Economic Trends, 2005, (Nov)
20. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations
21. Home Bias and High Turnover in an Overlapping-generations Model with Learning
    Review of International Economics, 2005, 13, (4), 725-756 View citations
    See Also Working Paper (2005)
22. Is the bond market irrational?
    Monetary Trends, 2005, (Jul)

2004

23. Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data
    Economic Notes, 2004, 33, (2), 275-321 View citations
24. Subjective probabilities: psychological theories and economic applications
    Review, 2004, (Jan), 33-48

2003

25. International asset prices and portfolio choices under Bayesian learning
    Research in Economics, 2003, 57, (4), 383-437
26. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations
    See Also Working Paper (2001)
27. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 View citations