Details about Massimo Guidolin

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Workplace:	Dipartimento di Finanza (Department of Finance), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC) BAFFI CAREFIN Centre for Applied Research on International Markets, Money Banking and Regulation, Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Massimo Guidolin.

Last updated 2022-06-04. Update your information in the RePEc Author Service.

Short-id: pgu101

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Working Papers

2022

1. Forecasting: theory and practice
   Papers, arXiv.org View citations (6)

2021

2. Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
3. Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
   Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2019)
   See also Journal Article in The European Journal of Finance (2021)

2020

4. Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
5. Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (6)
6. Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
7. Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
8. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   See also Journal Article in Finance Research Letters (2021)
9. Mildly Explosive Dynamics in U.S. Fixed Income Markets
   Economics Department, Working Paper Series, Economics Department, Pomona College View citations (1)
   Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) View citations (1)
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (1)
   See also Journal Article in European Journal of Operational Research (2020)
10. Sentiment Risk Premia In The Cross-Section of Global Equity
    Working Papers on Finance, University of St. Gallen, School of Finance

2019

11. A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
12. Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (5)
13. Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
14. How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
15. Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
16. The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
17. Time-Varying Price Discovery in Sovereign Credit Markets
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
    See also Journal Article in Finance Research Letters (2021)

2018

18. Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2018)
19. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2018) View citations (1)
20. Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
21. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
    See also Journal Article in Journal of Econometrics (2019)
22. Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
23. Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2018)
    See also Journal Article in Quantitative Finance (2018)

2017

24. Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    See also Journal Article in European Journal of Operational Research (2018)
25. Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
    See also Journal Article in Journal of Asset Management (2017)
26. Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (4)

2016

27. Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

2015

28. Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
29. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (9)
    See also Journal Article in Journal of Financial Markets (2015)
30. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
    Also in Working Paper, Norges Bank (2013) View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2017)
31. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
    See also Journal Article in Journal of Banking & Finance (2017)

2014

32. Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (3)

2013

33. Ambiguity Aversion and Under-diversification
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2016)
34. An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
    See also Journal Article in Journal of Corporate Finance (2019)
35. How did the financial crisis alter the correlations of U.S. yield spreads?
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of Empirical Finance (2014)
36. The Effects of Information Asymmetries on the Success of Stock Option Listings
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

2012

37. Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (5)
    See also Journal Article in Journal of Banking & Finance (2014)
38. Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

2011

39. A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
40. Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (15)
    See also Journal Article in Theory and Decision (2013)
41. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (3)
    See also Journal Article in Journal of Banking & Finance (2012)
42. Markov Switching Models in Empirical Finance
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (54)
43. Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Paper, Norges Bank (2011)

2010

44. 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (5)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (7)
45. A yield spread perspective on the great financial crisis: break-point test evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article in International Review of Financial Analysis (2013)
46. Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
47. Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
    Carlo Alberto Notebooks, Collegio Carlo Alberto
48. Predictions of short-term rates and the expectations hypothesis
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article in International Journal of Forecasting (2018)
49. Regime shifts in mean-variance efficient frontiers: some international evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of Asset Management (2011)

2009

50. A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    See also Journal Article in Applied Financial Economics (2010)
51. Non-linear predictability in stock and bond returns: when and where is it exploitable?
    Working Papers, Federal Reserve Bank of St. Louis View citations (45)
    See also Journal Article in International Journal of Forecasting (2009)
52. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) View citations (18)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (16)
    See also Journal Article in Real Estate Economics (2009)

2008

53. 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 View citations (4)
54. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
    Working Paper Series, European Central Bank View citations (11)

2007

55. Affiliated mutual funds and analyst optimism
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Financial Economics (2009)
56. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (16)
    See also Journal Article in Journal of Econometrics (2009)
57. Investing in Mixed Asset Portfolios: the Ex-Post Performance
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
58. Managing international portfolios with small capitalization stocks
    Working Papers, Federal Reserve Bank of St. Louis
59. Small Caps in International Diversified Portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
60. Small caps in international equity portfolios: the effects of variance risk
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2005) View citations (4)
    See also Journal Article in Annals of Finance (2009)
61. 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 View citations (10)
62. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Applied Financial Economics (2009)

2006

63. Asset allocation under multivariate regime switching
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
64. Diamonds are forever, wars are not. Is conflict bad for private firms?
    Working Papers, Federal Reserve Bank of St. Louis View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (35)
    See also Journal Article in American Economic Review (2007)
65. International asset allocation under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (36)
    See also Journal Article in Review of Financial Studies (2008)
66. Investing for the long-run in European real estate
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2007)
67. Why do analysts continue to provide favorable coverage for seasoned stocks?
    Working Papers, Federal Reserve Bank of St. Louis

2005

68. 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 (13)
    See also Journal Article in Journal of Applied Econometrics (2006)
69. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Economics and Business (2006)
70. High equity premia and crash fears. Rational foundations
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Economic Theory (2006)
71. Home bias and high turnover in an overlapping generations model with learning
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
    See also Journal Article in Review of International Economics (2005)
72. 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) View citations (1)
73. Modelling the MIB30 implied volatility surface. Does market efficiency matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
74. Optimal portfolio choice under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (15)
75. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Economics and Business (2006)
76. Predictable dynamics in the S&P 500 index options implied volatility surface
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in The Journal of Business (2006)
77. Properties of equilibrium asset prices under alternative learning schemes
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
78. Size and value anomalies under regime shifts
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article in The Journal of Financial Econometrics (2008)
79. Term structure of risk under alternative econometric specifications
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (4)
    See also Journal Article in Journal of Econometrics (2006)
80. The economic effects of violent conflict: evidence from asset market reactions
    Working Papers, Federal Reserve Bank of St. Louis View citations (14)
    See also Journal Article in Journal of Peace Research (2010)

2004

81. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (14)

2003

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

2001

84. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
85. 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 (7)

2000

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

Undated

87. Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth

Journal Articles

2022

1. Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns
   Forecasting, 2022, 4, (1), 1-32

2021

2. Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes
   The European Journal of Finance, 2021, 27, (18), 1804-1833
   See also Working Paper (2021)
3. Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
   Annals of Operations Research, 2021, 299, (1), 1317-1356 View citations (3)
4. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
   Finance Research Letters, 2021, 42, (C)
   See also Working Paper (2020)
5. Time-varying price discovery in sovereign credit markets
   Finance Research Letters, 2021, 38, (C) View citations (1)
   See also Working Paper (2019)

2020

6. Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence
   The Quarterly Review of Economics and Finance, 2020, 76, (C), 1-11
7. Mildly explosive dynamics in U.S. fixed income markets
   European Journal of Operational Research, 2020, 287, (2), 712-724 View citations (1)
   See also Working Paper (2020)
8. Monetary policy after the crisis: A threat to hedge funds' alphas?
   Journal of Asset Management, 2020, 21, (3), 219-238

2019

9. An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings
   Journal of Corporate Finance, 2019, 59, (C), 88-118 View citations (3)
   See also Working Paper (2013)
10. Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
    Journal of Financial Markets, 2019, 45, (C), 83-114 View citations (9)
11. 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, (C), - View citations (5)
12. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 View citations (21)
    See also Working Paper (2018)

2018

13. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
    European Journal of Operational Research, 2018, 265, (2), 685-702 View citations (9)
    See also Working Paper (2017)
14. How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
    Quantitative Finance, 2018, 18, (1), 139-169 View citations (3)
15. Portfolio performance of linear SDF models: an out-of-sample assessment
    Quantitative Finance, 2018, 18, (8), 1425-1436
    See also Working Paper (2018)
16. Predictions of short-term rates and the expectations hypothesis
    International Journal of Forecasting, 2018, 34, (4), 636-664 View citations (5)
    See also Working Paper (2010)

2017

17. Identifying and measuring the contagion channels at work in the European financial crises
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 117-134 View citations (10)
18. Linear and nonlinear predictability in investment style factors: multivariate evidence
    Journal of Asset Management, 2017, 18, (6), 476-509 View citations (2)
    See also Working Paper (2017)
19. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
    Journal of Business & Economic Statistics, 2017, 35, (1), 110-129 View citations (9)
    See also Working Paper (2015)
20. The impact of monetary policy on corporate bonds under regime shifts
    Journal of Banking & Finance, 2017, 80, (C), 176-202 View citations (4)
    See also Working Paper (2015)

2016

21. Ambiguity Aversion and Underdiversification
    Journal of Financial and Quantitative Analysis, 2016, 51, (4), 1297-1323 View citations (15)
    See also Working Paper (2013)
22. Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
    Journal of Futures Markets, 2016, 36, (3), 217-239

2015

23. Equally Weighted vs. Long†Run Optimal Portfolios
    European Financial Management, 2015, 21, (4), 742-789 View citations (8)
24. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
    Journal of Financial Markets, 2015, 26, (C), 1-37 View citations (9)
    See also Working Paper (2015)

2014

25. Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
    The Journal of Real Estate Finance and Economics, 2014, 49, (1), 116-164 View citations (4)
26. Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
    European Journal of Operational Research, 2014, 236, (1), 160-176 View citations (7)
27. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
    Journal of Banking & Finance, 2014, 46, (C), 326-342 View citations (17)
    See also Working Paper (2012)
28. Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
    Oxford Bulletin of Economics and Statistics, 2014, 76, (4), 510-535 View citations (4)
    See also Working Paper (2010)
29. How did the financial crisis alter the correlations of U.S. yield spreads?
    Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (15)
    See also Working Paper (2013)
30. Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
    Quantitative Finance, 2014, 14, (12), 2135-2153
31. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
    Real Estate Economics, 2014, 42, (2), 279-342 View citations (10)
32. Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate
    The Journal of Real Estate Finance and Economics, 2014, 49, (4), 477-523
33. Unconventional monetary policies and the corporate bond market
    Finance Research Letters, 2014, 11, (3), 203-212 View citations (3)

2013

34. A yield spread perspective on the great financial crisis: Break-point test evidence
    International Review of Financial Analysis, 2013, 26, (C), 18-39 View citations (16)
    See also Working Paper (2010)
35. Alternative econometric implementations of multi-factor models of the U.S. financial markets
    The Quarterly Review of Economics and Finance, 2013, 53, (2), 87-111 View citations (4)
36. Ambiguity in asset pricing and portfolio choice: a review of the literature
    Theory and Decision, 2013, 74, (2), 183-217 View citations (73)
    See also Working Paper (2011)
37. Forecasting yield spreads under crisis-induced multiple breakpoints
    Applied Economics Letters, 2013, 20, (18), 1656-1664 View citations (1)
38. Time varying stock return predictability: Evidence from US sectors
    Finance Research Letters, 2013, 10, (1), 34-40 View citations (11)

2012

39. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective
    Journal of Banking & Finance, 2012, 36, (3), 695-716 View citations (18)
    See also Working Paper (2011)
40. Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment
    Computational Statistics & Data Analysis, 2012, 56, (11), 3546-3566 View citations (5)

2011

41. Regime shifts in mean-variance efficient frontiers: Some international evidence
    Journal of Asset Management, 2011, 12, (5), 322-349 View citations (6)
    See also Working Paper (2010)

2010

42. A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?
    Applied Financial Economics, 2010, 20, (1-2), 105-135 View citations (13)
    See also Working Paper (2009)
43. The economic effects of violent conflict: Evidence from asset market reactions
    Journal of Peace Research, 2010, 47, (6), 671-684 View citations (55)
    See also Working Paper (2005)
44. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 View citations (13)

2009

45. Affiliated mutual funds and analyst optimism
    Journal of Financial Economics, 2009, 93, (1), 108-137 View citations (38)
    See also Working Paper (2007)
46. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 View citations (47)
    See also Working Paper (2007)
47. Is the financial crisis over? a yield spread perspective
    Economic Synopses, 2009
48. Non-linear predictability in stock and bond returns: When and where is it exploitable?
    International Journal of Forecasting, 2009, 25, (2), 373-399 View citations (50)
    See also Working Paper (2009)
49. Small caps in international equity portfolios: the effects of variance risk
    Annals of Finance, 2009, 5, (1), 15-48 View citations (11)
    See also Working Paper (2007)
50. Taming the long-term spreads
    Economic Synopses, 2009
51. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
    Real Estate Economics, 2009, 37, (3), 341-381 View citations (18)
    See also Working Paper (2009)
52. What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model
    Applied Financial Economics, 2009, 19, (6), 463-488 View citations (4)
    See also Working Paper (2007)

2008

53. Diversifying in public real estate: The ex-post performance
    Journal of Asset Management, 2008, 8, (6), 361-373 View citations (2)
54. 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 View citations (6)
55. International asset allocation under regime switching, skew, and kurtosis preferences
    Review of Financial Studies, 2008, 21, (2), 889-935 View citations (161)
    See also Working Paper (2006)
56. No volatility, no forecasting power for the term spread
    Monetary Trends, 2008, (Apr) View citations (1)
57. Size and Value Anomalies under Regime Shifts
    The Journal of Financial Econometrics, 2008, 6, (1), 1-48 View citations (34)
    See also Working Paper (2005)

2007

58. A Review of: “Book Review: Empirical Dynamic Asset Pricing”
    Econometric Reviews, 2007, 26, (5), 597-604
59. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations (184)
    See also Working Paper (2006)
60. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
    American Economic Review, 2007, 97, (5), 1978-1993 View citations (141)
    See also Working Paper (2006)
61. Investing for the Long-run in European Real Estate
    The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80 View citations (33)
    See also Working Paper (2006)
62. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations (28)
    See also Working Paper (2005)
63. The decline in the U.S. personal saving rate: is it real and is it a puzzle?
    Review, 2007, 89, (Nov), 491-514 View citations (32)

2006

64. 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 (10)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 1-22 (2006) View citations (139)
    See also Working Paper (2005)
65. 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 (17)
    See also Working Paper (2005)
66. Cross-country personal saving rates
    National Economic Trends, 2006, (May) View citations (1)
67. High equity premia and crash fears - Rational foundations
    Economic Theory, 2006, 28, (3), 693-708 View citations (7)
    See also Working Paper (2005)
68. 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 View citations (3)
69. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle
    Journal of Economics and Business, 2006, 58, (2), 85-118 View citations (3)
    See also Working Paper (2005)
70. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    The Journal of Business, 2006, 79, (3), 1591-1636 View citations (43)
    See also Working Paper (2005)
71. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations (60)
    See also Working Paper (2005)
72. The dollar U-turn
    International Economic Trends, 2006, (Feb)

2005

73. Bubbling (or just frothy) house prices?
    National Economic Trends, 2005, (Nov)
74. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations (126)
75. Home Bias and High Turnover in an Overlapping‐generations Model with Learning
    Review of International Economics, 2005, 13, (4), 725-756 View citations (13)
    See also Working Paper (2005)
76. Is the bond market irrational?
    Monetary Trends, 2005, (Jul) View citations (1)

2004

77. Subjective probabilities: psychological theories and economic applications
    Review, 2004, 86, (Jan), 33-48 View citations (1)

2003

78. International asset prices and portfolio choices under Bayesian learning
    Research in Economics, 2003, 57, (4), 383-437 View citations (1)
79. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations (48)
    See also Working Paper (2001)
80. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 View citations (12)

Books

2016

1. Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
   Palgrave Macmillan Books, Palgrave Macmillan

Chapters

2013

1. Markov switching models in asset pricing research
   Chapter 1 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 3-44 View citations (1)

2011

2. Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
   Palgrave Macmillan