Details about Massimo Guidolin

Workplace:

Dipartimento di Finanza (Department of Finance), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC) BAFFI Centre on Economics, Finance and Regulation, Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Massimo Guidolin.

Last updated 2025-07-06. Update your information in the RePEc Author Service.

Short-id: pgu101

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Working Papers

2025

1. 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
   Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2019)
2. Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

2024

3. Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings
   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 Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, Risks, MDPI (2024) View citations (1) (2024)
4. Machine Learning in Portfolio Decisions
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   See also Chapter Machine Learning in Portfolio Decisions, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2024) (2024)
5. Responsible Investing under Climate Change Uncertainty
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
6. Who should buy structured investment products and why?
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy

2023

7. Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (3)
   See also Journal Article Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital, Journal of Asset Management, Palgrave Macmillan (2024) View citations (1) (2024)
8. Time-Varying Risk Aversion and International Stock Returns
   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 Time-varying risk aversion and international stock returns, The North American Journal of Economics and Finance, Elsevier (2025) View citations (1) (2025)

2022

9. Forecasting: theory and practice
   Papers, arXiv.org View citations (93)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (53) (2022)
10. The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios
    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 The empirical performance of option implied volatility surface-driven optimal portfolios, Physica A: Statistical Mechanics and its Applications, Elsevier (2023) (2023)

2021

11. 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 View citations (3)
12. 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 Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes, The European Journal of Finance, Taylor & Francis Journals (2021) (2021)

2020

13. 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
14. 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)
15. 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
16. 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
17. 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 Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, Finance Research Letters, Elsevier (2021) View citations (8) (2021)
18. Mildly Explosive Dynamics in U.S. Fixed Income Markets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) View citations (1)
    Economics Department, Working Paper Series, Economics Department, Pomona College (2020) View citations (1)
    See also Journal Article Mildly explosive dynamics in U.S. fixed income markets, European Journal of Operational Research, Elsevier (2020) View citations (1) (2020)
19. Sentiment Risk Premia In The Cross-Section of Global Equity
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (1)

2019

20. 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 (3)
21. 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 (7)
22. 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 (5)
23. 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)
24. 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
    See also Journal Article The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis, The Journal of Real Estate Finance and Economics, Springer (2023) (2023)
25. 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 Time-varying price discovery in sovereign credit markets, Finance Research Letters, Elsevier (2021) View citations (4) (2021)

2018

26. 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)
27. 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)
    See also Journal Article Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
28. 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)
29. 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 Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) View citations (31) (2019)
30. 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)
31. 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 View citations (5)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2018) View citations (5)
    See also Journal Article Portfolio performance of linear SDF models: an out-of-sample assessment, Quantitative Finance, Taylor & Francis Journals (2018) View citations (5) (2018)

2017

32. 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 (2)
    See also Journal Article Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing, European Journal of Operational Research, Elsevier (2018) View citations (10) (2018)
33. 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 (4)
    See also Journal Article Linear and nonlinear predictability in investment style factors: multivariate evidence, Journal of Asset Management, Palgrave Macmillan (2017) View citations (4) (2017)
34. 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 (5)

2016

35. 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

36. 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
37. 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 (13)
    See also Journal Article Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?, Journal of Financial Markets, Elsevier (2015) View citations (13) (2015)
38. 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 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, Taylor & Francis Journals (2017) View citations (14) (2017)
39. 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 The impact of monetary policy on corporate bonds under regime shifts, Journal of Banking & Finance, Elsevier (2017) View citations (8) (2017)

2014

40. 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 (4)

2013

41. Ambiguity Aversion and Under-diversification
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
    See also Journal Article Ambiguity Aversion and Underdiversification, Journal of Financial and Quantitative Analysis, Cambridge University Press (2016) View citations (21) (2016)
42. 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 An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings, Journal of Corporate Finance, Elsevier (2019) View citations (6) (2019)
43. Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?
    Working Paper, Norges Bank View citations (1)
    See also Journal Article Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Journal of Financial Econometrics, Oxford University Press (2018) View citations (3) (2018)
44. 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 How did the financial crisis alter the correlations of U.S. yield spreads?, Journal of Empirical Finance, Elsevier (2014) View citations (19) (2014)
45. The Effects of Information Asymmetries on the Success of Stock Option Listings
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

2012

46. 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 Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests, Journal of Banking & Finance, Elsevier (2014) View citations (25) (2014)
47. 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

48. 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)
49. 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 (16)
    See also Journal Article Ambiguity in asset pricing and portfolio choice: a review of the literature, Theory and Decision, Springer (2013) View citations (99) (2013)
50. 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 (5)
    See also Journal Article Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective, Journal of Banking & Finance, Elsevier (2012) View citations (28) (2012)
51. Markov Switching Models in Empirical Finance
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (62)
    See also Chapter Markov Switching Models in Empirical Finance, Advances in Econometrics, Emerald Group Publishing Limited (2011) View citations (5) (2011)
52. 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

53. 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (6)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (7)
54. A yield spread perspective on the great financial crisis: break-point test evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article A yield spread perspective on the great financial crisis: Break-point test evidence, International Review of Financial Analysis, Elsevier (2013) View citations (20) (2013)
55. 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 Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (5) (2014)
56. Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
    Carlo Alberto Notebooks, Collegio Carlo Alberto
57. Predictions of short-term rates and the expectations hypothesis
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article Predictions of short-term rates and the expectations hypothesis, International Journal of Forecasting, Elsevier (2018) View citations (9) (2018)
58. 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 Regime shifts in mean-variance efficient frontiers: Some international evidence, Journal of Asset Management, Palgrave Macmillan (2011) View citations (7) (2011)

2009

59. 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 (8)
    See also Journal Article A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?, Applied Financial Economics, Taylor & Francis Journals (2010) View citations (16) (2010)
60. Non-linear predictability in stock and bond returns: when and where is it exploitable?
    Working Papers, Federal Reserve Bank of St. Louis View citations (51)
    See also Journal Article Non-linear predictability in stock and bond returns: When and where is it exploitable?, International Journal of Forecasting, Elsevier (2009) View citations (52) (2009)
61. 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 (24)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (21)
    See also Journal Article Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value, Real Estate Economics, American Real Estate and Urban Economics Association (2009) View citations (26) (2009)

2008

62. 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)
63. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
    Working Paper Series, European Central Bank View citations (13)

2007

64. Affiliated mutual funds and analyst optimism
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Affiliated mutual funds and analyst optimism, Journal of Financial Economics, Elsevier (2009) View citations (61) (2009)
65. 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 Forecasts of US short-term interest rates: A flexible forecast combination approach, Journal of Econometrics, Elsevier (2009) View citations (53) (2009)
66. Investing in Mixed Asset Portfolios: the Ex-Post Performance
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
67. Managing international portfolios with small capitalization stocks
    Working Papers, Federal Reserve Bank of St. Louis
68. Small Caps in International Diversified Portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
69. 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 Small caps in international equity portfolios: the effects of variance risk, Annals of Finance, Springer (2009) View citations (11) (2009)
70. 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)
71. 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 What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (4) (2009)

2006

72. Asset allocation under multivariate regime switching
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Asset allocation under multivariate regime switching, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (217) (2007)
73. 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 Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?, American Economic Review, American Economic Association (2007) View citations (176) (2007)
74. International asset allocation under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (37)
    See also Journal Article International asset allocation under regime switching, skew, and kurtosis preferences, The Review of Financial Studies, Society for Financial Studies (2008) View citations (193) (2008)
75. Investing for the long-run in European real estate
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Investing for the Long-run in European Real Estate, The Journal of Real Estate Finance and Economics, Springer (2007) View citations (34) (2007)
76. Why do analysts continue to provide favorable coverage for seasoned stocks?
    Working Papers, Federal Reserve Bank of St. Louis

2005

77. 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 An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (32) (2006)
78. 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 Are the dynamic linkages between the macroeconomy and asset prices time-varying?, Journal of Economics and Business, Elsevier (2006) View citations (22) (2006)
79. High equity premia and crash fears. Rational foundations
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article High equity premia and crash fears - Rational foundations, Economic Theory, Springer (2006) View citations (7) (2006)
80. Home bias and high turnover in an overlapping generations model with learning
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article Home Bias and High Turnover in an Overlapping‐generations Model with Learning, Review of International Economics, Wiley Blackwell (2005) View citations (16) (2005)
81. 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)
82. Modelling the MIB30 implied volatility surface. Does market efficiency matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
83. Optimal portfolio choice under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (20)
84. 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 Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle, Journal of Economics and Business, Elsevier (2006) View citations (3) (2006)
85. 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 Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface, The Journal of Business, University of Chicago Press (2006) View citations (59) (2006)
86. Properties of equilibrium asset prices under alternative learning schemes
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article Properties of equilibrium asset prices under alternative learning schemes, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (30) (2007)
87. Size and value anomalies under regime shifts
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article Size and Value Anomalies under Regime Shifts, Journal of Financial Econometrics, Oxford University Press (2008) View citations (43) (2008)
88. 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 Term structure of risk under alternative econometric specifications, Journal of Econometrics, Elsevier (2006) View citations (67) (2006)
89. The economic effects of violent conflict: evidence from asset market reactions
    Working Papers, Federal Reserve Bank of St. Louis View citations (18)
    See also Journal Article The economic effects of violent conflict: Evidence from asset market reactions, Journal of Peace Research, Peace Research Institute Oslo (2010) View citations (101) (2010)

2004

90. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (15)

2003

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

2001

93. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
    FMG Discussion Papers, Financial Markets Group (2001) View citations (4)
    See also Journal Article Option prices under Bayesian learning: implied volatility dynamics and predictive densities, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (54) (2003)
94. 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

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

Undated

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

Journal Articles

2025

1. Forecasting Asset Returns Using Nelson–Siegel Factors Estimated from the US Yield Curve
   Econometrics, 2025, 13, (2), 1-36
2. Time-varying risk aversion and international stock returns
   The North American Journal of Economics and Finance, 2025, 75, (PA) View citations (1)
   See also Working Paper Time-Varying Risk Aversion and International Stock Returns, BAFFI CAREFIN Working Papers (2023) (2023)

2024

3. Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings
   Risks, 2024, 12, (2), 1-26 View citations (1)
   See also Working Paper Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, BAFFI CAREFIN Working Papers (2024) View citations (1) (2024)
4. Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models
   Forecasting, 2024, 6, (3), 1-33
5. Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital
   Journal of Asset Management, 2024, 25, (7), 666-699 View citations (1)
   See also Working Paper Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital, BAFFI CAREFIN Working Papers (2023) View citations (3) (2023)

2023

6. New ESG rating drivers in the cross‐section of European stock returns
   Journal of Financial Research, 2023, 46, (S1), S133-S162 View citations (2)
7. The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis
   The Journal of Real Estate Finance and Economics, 2023, 67, (1), 108-149
   See also Working Paper The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis, BAFFI CAREFIN Working Papers (2019) (2019)
8. The dynamics of returns predictability in cryptocurrency markets
   The European Journal of Finance, 2023, 29, (6), 583-611 View citations (3)
9. The empirical performance of option implied volatility surface-driven optimal portfolios
   Physica A: Statistical Mechanics and its Applications, 2023, 618, (C)
   See also Working Paper The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios, BAFFI CAREFIN Working Papers (2022) (2022)

2022

10. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence
    Quarterly Journal of Finance (QJF), 2022, 12, (03), 1-61
    See also Working Paper Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence, BAFFI CAREFIN Working Papers (2018) View citations (1) (2018)
11. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (53)
    See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (93) (2022)
12. Performance persistence and optimal asset allocation strategies
    The European Journal of Finance, 2022, 28, (16), 1571-1598
13. Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns
    Forecasting, 2022, 4, (1), 1-32

2021

14. 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 Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes, Working Papers (2021) (2021)
15. Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
    Annals of Operations Research, 2021, 299, (1), 1317-1356 View citations (13)
16. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
    Finance Research Letters, 2021, 42, (C) View citations (8)
    See also Working Paper Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, BAFFI CAREFIN Working Papers (2020) (2020)
17. Time-varying price discovery in sovereign credit markets
    Finance Research Letters, 2021, 38, (C) View citations (4)
    See also Working Paper Time-Varying Price Discovery in Sovereign Credit Markets, BAFFI CAREFIN Working Papers (2019) View citations (1) (2019)

2020

18. 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 View citations (2)
19. 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 Mildly Explosive Dynamics in U.S. Fixed Income Markets, Working Papers (2020) View citations (1) (2020)
20. Monetary policy after the crisis: A threat to hedge funds' alphas?
    Journal of Asset Management, 2020, 21, (3), 219-238 View citations (1)

2019

21. 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 (6)
    See also Working Paper An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings, Working Papers (2013) View citations (4) (2013)
22. Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
    Journal of Financial Markets, 2019, 45, (C), 83-114 View citations (25)
23. 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 (8)
24. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 View citations (31)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) View citations (4) (2018)

2018

25. Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
    Journal of Financial Econometrics, 2018, 16, (1), 34-62 View citations (3)
    See also Working Paper Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?, Working Paper (2013) View citations (1) (2013)
26. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
    European Journal of Operational Research, 2018, 265, (2), 685-702 View citations (10)
    See also Working Paper Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing, Working Papers (2017) View citations (2) (2017)
27. 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 (4)
28. Portfolio performance of linear SDF models: an out-of-sample assessment
    Quantitative Finance, 2018, 18, (8), 1425-1436 View citations (5)
    See also Working Paper Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment, BAFFI CAREFIN Working Papers (2018) View citations (5) (2018)
29. Predictions of short-term rates and the expectations hypothesis
    International Journal of Forecasting, 2018, 34, (4), 636-664 View citations (9)
    See also Working Paper Predictions of short-term rates and the expectations hypothesis, Working Papers (2010) View citations (9) (2010)

2017

30. 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 (16)
31. Linear and nonlinear predictability in investment style factors: multivariate evidence
    Journal of Asset Management, 2017, 18, (6), 476-509 View citations (4)
    See also Working Paper Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*, BAFFI CAREFIN Working Papers (2017) View citations (4) (2017)
32. 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 (14)
    See also Working Paper Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section, Working Papers (2015) View citations (2) (2015)
33. The impact of monetary policy on corporate bonds under regime shifts
    Journal of Banking & Finance, 2017, 80, (C), 176-202 View citations (8)
    See also Working Paper The Impact of Monetary Policy on Corporate Bonds under Regime Shifts, Working Papers (2015) View citations (2) (2015)

2016

34. Ambiguity Aversion and Underdiversification
    Journal of Financial and Quantitative Analysis, 2016, 51, (4), 1297-1323 View citations (21)
    See also Working Paper Ambiguity Aversion and Under-diversification, Working Papers (2013) View citations (3) (2013)
35. Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
    Journal of Futures Markets, 2016, 36, (3), 217-239 View citations (1)

2015

36. Equally Weighted vs. Long†Run Optimal Portfolios
    European Financial Management, 2015, 21, (4), 742-789 View citations (11)
37. 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 (13)
    See also Working Paper Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?, Working Papers (2015) View citations (13) (2015)

2014

38. 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 (7)
39. 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)
40. 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 (25)
    See also Working Paper Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests, Working Papers (2012) View citations (5) (2012)
41. 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 (5)
    See also Working Paper Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence, Working Papers (2010) View citations (3) (2010)
42. How did the financial crisis alter the correlations of U.S. yield spreads?
    Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (19)
    See also Working Paper How did the financial crisis alter the correlations of U.S. yield spreads?, Working Papers (2013) View citations (4) (2013)
43. Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
    Quantitative Finance, 2014, 14, (12), 2135-2153 View citations (2)
44. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
    Real Estate Economics, 2014, 42, (2), 279-342 View citations (12)
45. 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
46. Unconventional monetary policies and the corporate bond market
    Finance Research Letters, 2014, 11, (3), 203-212 View citations (6)

2013

47. 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 (20)
    See also Working Paper A yield spread perspective on the great financial crisis: break-point test evidence, Working Papers (2010) View citations (12) (2010)
48. 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)
49. Ambiguity in asset pricing and portfolio choice: a review of the literature
    Theory and Decision, 2013, 74, (2), 183-217 View citations (99)
    See also Working Paper Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature, Working Papers (2011) View citations (1) (2011)
50. Forecasting yield spreads under crisis-induced multiple breakpoints
    Applied Economics Letters, 2013, 20, (18), 1656-1664 View citations (1)
51. Time varying stock return predictability: Evidence from US sectors
    Finance Research Letters, 2013, 10, (1), 34-40 View citations (15)

2012

52. 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 (28)
    See also Working Paper Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective, Working Papers (2011) (2011)
53. 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 (6)

2011

54. Regime shifts in mean-variance efficient frontiers: Some international evidence
    Journal of Asset Management, 2011, 12, (5), 322-349 View citations (7)
    See also Working Paper Regime shifts in mean-variance efficient frontiers: some international evidence, Working Papers (2010) View citations (4) (2010)

2010

55. 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 (16)
    See also Working Paper A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?, Working Papers (2009) View citations (8) (2009)
56. The economic effects of violent conflict: Evidence from asset market reactions
    Journal of Peace Research, 2010, 47, (6), 671-684 View citations (101)
    See also Working Paper The economic effects of violent conflict: evidence from asset market reactions, Working Papers (2005) View citations (18) (2005)
57. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 View citations (16)

2009

58. Affiliated mutual funds and analyst optimism
    Journal of Financial Economics, 2009, 93, (1), 108-137 View citations (61)
    See also Working Paper Affiliated mutual funds and analyst optimism, Working Papers (2007) View citations (1) (2007)
59. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 View citations (53)
    See also Working Paper Forecasts of U.S. short-term interest rates: a flexible forecast combination approach, Working Papers (2007) View citations (6) (2007)
60. Is the financial crisis over? a yield spread perspective
    Economic Synopses, 2009
61. 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 (52)
    See also Working Paper Non-linear predictability in stock and bond returns: when and where is it exploitable?, Working Papers (2009) View citations (51) (2009)
62. 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 Small caps in international equity portfolios: the effects of variance risk, Working Papers (2007) View citations (4) (2007)
63. Taming the long-term spreads
    Economic Synopses, 2009
64. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
    Real Estate Economics, 2009, 37, (3), 341-381 View citations (26)
    See also Working Paper Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value, CeRP Working Papers (2009) View citations (24) (2009)
65. 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 What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model, Working Papers (2007) View citations (1) (2007)

2008

66. Diversifying in public real estate: The ex-post performance
    Journal of Asset Management, 2008, 8, (6), 361-373 View citations (2)
67. 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)
68. International asset allocation under regime switching, skew, and kurtosis preferences
    The Review of Financial Studies, 2008, 21, (2), 889-935 View citations (193)
    See also Working Paper International asset allocation under regime switching, skew and kurtosis preferences, Working Papers (2006) View citations (37) (2006)
69. No volatility, no forecasting power for the term spread
    Monetary Trends, 2008, (Apr) View citations (2)
70. Size and Value Anomalies under Regime Shifts
    Journal of Financial Econometrics, 2008, 6, (1), 1-48 View citations (43)
    See also Working Paper Size and value anomalies under regime shifts, Working Papers (2005) View citations (12) (2005)

2007

71. A Review of: “Book Review: Empirical Dynamic Asset Pricing”
    Econometric Reviews, 2007, 26, (5), 597-604
72. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations (217)
    See also Working Paper Asset allocation under multivariate regime switching, Working Papers (2006) View citations (4) (2006)
73. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
    American Economic Review, 2007, 97, (5), 1978-1993 View citations (176)
    See also Working Paper Diamonds are forever, wars are not. Is conflict bad for private firms?, Working Papers (2006) View citations (11) (2006)
74. Investing for the Long-run in European Real Estate
    The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80 View citations (34)
    See also Working Paper Investing for the long-run in European real estate, Working Papers (2006) View citations (4) (2006)
75. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations (30)
    See also Working Paper Properties of equilibrium asset prices under alternative learning schemes, Working Papers (2005) View citations (5) (2005)
76. 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 (54)

2006

77. 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 (32)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 1-22 (2006) View citations (162)
    See also Working Paper An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns, Working Papers (2005) View citations (13) (2005)
78. 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 (22)
    See also Working Paper Are the dynamic linkages between the macroeconomy and asset prices time-varying?, Working Papers (2005) View citations (1) (2005)
79. Cross-country personal saving rates
    National Economic Trends, 2006, (May) View citations (1)
80. High equity premia and crash fears - Rational foundations
    Economic Theory, 2006, 28, (3), 693-708 View citations (7)
    See also Working Paper High equity premia and crash fears. Rational foundations, Working Papers (2005) View citations (1) (2005)
81. 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)
82. 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 Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle, Working Papers (2005) View citations (1) (2005)
83. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    The Journal of Business, 2006, 79, (3), 1591-1636 View citations (59)
    See also Working Paper Predictable dynamics in the S&P 500 index options implied volatility surface, Working Papers (2005) View citations (1) (2005)
84. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations (67)
    See also Working Paper Term structure of risk under alternative econometric specifications, Working Papers (2005) View citations (1) (2005)
85. The dollar U-turn
    International Economic Trends, 2006, (Feb)

2005

86. Bubbling (or just frothy) house prices?
    National Economic Trends, 2005, (Nov)
87. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations (131)
88. Home Bias and High Turnover in an Overlapping‐generations Model with Learning
    Review of International Economics, 2005, 13, (4), 725-756 View citations (16)
    See also Working Paper Home bias and high turnover in an overlapping generations model with learning, Working Papers (2005) View citations (12) (2005)
89. Is the bond market irrational?
    Monetary Trends, 2005, (Jul) View citations (1)

2004

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

2003

91. International asset prices and portfolio choices under Bayesian learning
    Research in Economics, 2003, 57, (4), 383-437 View citations (1)
92. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations (54)
    See also Working Paper Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities, CEPR Discussion Papers (2001) View citations (2) (2001)
93. 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

2024

1. Machine Learning in Portfolio Decisions
   Chapter 1 in Artificial Intelligence and Beyond for Finance, 2024, pp 1-72
   See also Working Paper Machine Learning in Portfolio Decisions, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2024) (2024)

2013

2. 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

3. Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
   Palgrave Macmillan
4. Markov Switching Models in Empirical Finance
   A chapter in Missing Data Methods: Time-Series Methods and Applications, 2011, pp 1-86 View citations (5)
   See also Working Paper Markov Switching Models in Empirical Finance, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) View citations (62) (2011)
5. Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey
   A chapter in Missing Data Methods: Time-Series Methods and Applications, 2011, pp 87-178

2008

6. Chapter 16 The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 595-655 View citations (1)