Details about Massimo Guidolin
Access statistics for papers by Massimo Guidolin.
Last updated 2025-01-06. Update your information in the RePEc Author Service.
Short-id: pgu101
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Working Papers
2024
- 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 
See also Journal Article Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, Risks, MDPI (2024) (2024)
- 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)
- Responsible Investing under Climate Change Uncertainty
Working Papers, Department of Economics, University of Venice "Ca' Foscari"
- 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
- 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 (2)
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)
- 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
2022
- Forecasting: theory and practice
Papers, arXiv.org View citations (70)
See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)
- 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
- 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)
- 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
- 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
- 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)
- 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
- 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
- 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 (6) (2021)
- 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 Mildly explosive dynamics in U.S. fixed income markets, European Journal of Operational Research, Elsevier (2020) View citations (1) (2020)
- 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
- 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)
- 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 (6)
- 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)
- 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
- 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)
- 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)
- 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 (3) (2021)
2018
- 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)
- 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)
- 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)
- 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)
- 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)
- 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 (4)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2018) View citations (4)
See also Journal Article Portfolio performance of linear SDF models: an out-of-sample assessment, Quantitative Finance, Taylor & Francis Journals (2018) View citations (4) (2018)
2017
- 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)
- 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)
- 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
- 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
- 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
- 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)
- 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 (12) (2017)
- 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
- 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
- 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)
- 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)
- 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)
- 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 (18) (2014)
- The Effects of Information Asymmetries on the Success of Stock Option Listings
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
2012
- 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 (24) (2014)
- 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
- 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)
- 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 (98) (2013)
- 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 (26) (2012)
- Markov Switching Models in Empirical Finance
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (60)
See also Chapter Markov Switching Models in Empirical Finance, Advances in Econometrics, Emerald Group Publishing Limited (2011) View citations (3) (2011)
- 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
- 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)
- 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)
- 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 (4) (2014)
- Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
Carlo Alberto Notebooks, Collegio Carlo Alberto
- 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 (8) (2018)
- 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
- 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)
- Non-linear predictability in stock and bond returns: when and where is it exploitable?
Working Papers, Federal Reserve Bank of St. Louis View citations (50)
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 (51) (2009)
- 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 (23)
Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (20)
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 (25) (2009)
2008
- 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)
- 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
- 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 (53) (2009)
- 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 (51) (2009)
- Investing in Mixed Asset Portfolios: the Ex-Post Performance
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
- Managing international portfolios with small capitalization stocks
Working Papers, Federal Reserve Bank of St. Louis
- Small Caps in International Diversified Portfolios
CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
- 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)
- 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)
- 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
- 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 (212) (2007)
- 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 (172) (2007)
- 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 (189) (2008)
- 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)
- Why do analysts continue to provide favorable coverage for seasoned stocks?
Working Papers, Federal Reserve Bank of St. Louis
2005
- 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 (159) (2006)
- 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 (21) (2006)
- 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)
- 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)
- 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)
- Modelling the MIB30 implied volatility surface. Does market efficiency matter?
Working Papers, Federal Reserve Bank of St. Louis View citations (3)
- Optimal portfolio choice under regime switching, skew and kurtosis preferences
Working Papers, Federal Reserve Bank of St. Louis View citations (20)
- 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)
- 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)
- 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 (29) (2007)
- 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)
- 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)
- 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 (90) (2010)
2004
- Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (15)
2003
- Economic Implications of Bull and Bear Regimes in UK Stock Returns
Royal Economic Society Annual Conference 2003, Royal Economic Society
- Subjective probabilities: psychological evidence and economic applications
Working Papers, Federal Reserve Bank of St. Louis
2001
- 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) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) 
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)
- 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
- Implied Learning Paths from Option Prices
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
Undated
- Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations
Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth
Journal Articles
2024
- Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings
Risks, 2024, 12, (2), 1-26 
See also Working Paper Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, BAFFI CAREFIN Working Papers (2024) (2024)
- Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models
Forecasting, 2024, 6, (3), 1-33
- 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 (2) (2023)
2023
- New ESG rating drivers in the cross‐section of European stock returns
Journal of Financial Research, 2023, 46, (S1), S133-S162
- 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)
- The dynamics of returns predictability in cryptocurrency markets
The European Journal of Finance, 2023, 29, (6), 583-611 View citations (3)
- 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
- 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)
- Forecasting: theory and practice
International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)
- Performance persistence and optimal asset allocation strategies
The European Journal of Finance, 2022, 28, (16), 1571-1598
- Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns
Forecasting, 2022, 4, (1), 1-32
2021
- 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)
- Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
Annals of Operations Research, 2021, 299, (1), 1317-1356 View citations (11)
- Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
Finance Research Letters, 2021, 42, (C) View citations (6)
See also Working Paper Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, BAFFI CAREFIN Working Papers (2020) (2020)
- Time-varying price discovery in sovereign credit markets
Finance Research Letters, 2021, 38, (C) View citations (3)
See also Working Paper Time-Varying Price Discovery in Sovereign Credit Markets, BAFFI CAREFIN Working Papers (2019) View citations (1) (2019)
2020
- 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)
- 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, Economics Department, Working Paper Series (2020) View citations (1) (2020)
- Monetary policy after the crisis: A threat to hedge funds' alphas?
Journal of Asset Management, 2020, 21, (3), 219-238 View citations (1)
2019
- 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)
- Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
Journal of Financial Markets, 2019, 45, (C), 83-114 View citations (22)
- 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 (7)
- 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
- 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)
- 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)
- 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)
- Portfolio performance of linear SDF models: an out-of-sample assessment
Quantitative Finance, 2018, 18, (8), 1425-1436 View citations (4)
See also Working Paper Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment, BAFFI CAREFIN Working Papers (2018) View citations (4) (2018)
- Predictions of short-term rates and the expectations hypothesis
International Journal of Forecasting, 2018, 34, (4), 636-664 View citations (8)
See also Working Paper Predictions of short-term rates and the expectations hypothesis, Working Papers (2010) View citations (9) (2010)
2017
- 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 (14)
- 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)
- 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 (12)
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)
- 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
- 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)
- Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
Journal of Futures Markets, 2016, 36, (3), 217-239
2015
- Equally Weighted vs. Long†Run Optimal Portfolios
European Financial Management, 2015, 21, (4), 742-789 View citations (10)
- 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
- 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)
- 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)
- 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 (24)
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)
- 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 Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence, Working Papers (2010) View citations (3) (2010)
- How did the financial crisis alter the correlations of U.S. yield spreads?
Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (18)
See also Working Paper How did the financial crisis alter the correlations of U.S. yield spreads?, Working Papers (2013) View citations (4) (2013)
- 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)
- Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
Real Estate Economics, 2014, 42, (2), 279-342 View citations (12)
- 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
- Unconventional monetary policies and the corporate bond market
Finance Research Letters, 2014, 11, (3), 203-212 View citations (6)
2013
- 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)
- 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)
- Ambiguity in asset pricing and portfolio choice: a review of the literature
Theory and Decision, 2013, 74, (2), 183-217 View citations (98)
See also Working Paper Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature, Working Papers (2011) View citations (1) (2011)
- Forecasting yield spreads under crisis-induced multiple breakpoints
Applied Economics Letters, 2013, 20, (18), 1656-1664 View citations (1)
- Time varying stock return predictability: Evidence from US sectors
Finance Research Letters, 2013, 10, (1), 34-40 View citations (14)
2012
- 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 (26)
See also Working Paper Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective, Working Papers (2011) (2011)
- 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
- 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
- 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)
- The economic effects of violent conflict: Evidence from asset market reactions
Journal of Peace Research, 2010, 47, (6), 671-684 View citations (90)
See also Working Paper The economic effects of violent conflict: evidence from asset market reactions, Working Papers (2005) View citations (18) (2005)
- The effects of large-scale asset purchases on TIPS inflation expectations
Economic Synopses, 2010 View citations (16)
2009
- Affiliated mutual funds and analyst optimism
Journal of Financial Economics, 2009, 93, (1), 108-137 View citations (53)
See also Working Paper Affiliated mutual funds and analyst optimism, Working Papers (2007) View citations (1) (2007)
- Forecasts of US short-term interest rates: A flexible forecast combination approach
Journal of Econometrics, 2009, 150, (2), 297-311 View citations (51)
See also Working Paper Forecasts of U.S. short-term interest rates: a flexible forecast combination approach, Working Papers (2007) View citations (6) (2007)
- Is the financial crisis over? a yield spread perspective
Economic Synopses, 2009
- 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 (51)
See also Working Paper Non-linear predictability in stock and bond returns: when and where is it exploitable?, Working Papers (2009) View citations (50) (2009)
- 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)
- Taming the long-term spreads
Economic Synopses, 2009
- Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
Real Estate Economics, 2009, 37, (3), 341-381 View citations (25)
See also Working Paper Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value, CeRP Working Papers (2009) View citations (23) (2009)
- 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
- Diversifying in public real estate: The ex-post performance
Journal of Asset Management, 2008, 8, (6), 361-373 View citations (2)
- 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)
- International asset allocation under regime switching, skew, and kurtosis preferences
The Review of Financial Studies, 2008, 21, (2), 889-935 View citations (189)
See also Working Paper International asset allocation under regime switching, skew and kurtosis preferences, Working Papers (2006) View citations (37) (2006)
- No volatility, no forecasting power for the term spread
Monetary Trends, 2008, (Apr) View citations (2)
- 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
- A Review of: “Book Review: Empirical Dynamic Asset Pricing”
Econometric Reviews, 2007, 26, (5), 597-604
- Asset allocation under multivariate regime switching
Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations (212)
See also Working Paper Asset allocation under multivariate regime switching, Working Papers (2006) View citations (4) (2006)
- Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
American Economic Review, 2007, 97, (5), 1978-1993 View citations (172)
See also Working Paper Diamonds are forever, wars are not. Is conflict bad for private firms?, Working Papers (2006) View citations (11) (2006)
- 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)
- Properties of equilibrium asset prices under alternative learning schemes
Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations (29)
See also Working Paper Properties of equilibrium asset prices under alternative learning schemes, Working Papers (2005) View citations (5) (2005)
- 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
- 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 (159)
Also in Journal of Applied Econometrics, 2006, 21, (1), 1-22 (2006) View citations (29)
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)
- 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 (21)
See also Working Paper Are the dynamic linkages between the macroeconomy and asset prices time-varying?, Working Papers (2005) View citations (1) (2005)
- Cross-country personal saving rates
National Economic Trends, 2006, (May) View citations (1)
- 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)
- 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)
- 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)
- 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)
- 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)
- The dollar U-turn
International Economic Trends, 2006, (Feb)
2005
- Bubbling (or just frothy) house prices?
National Economic Trends, 2005, (Nov)
- Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
Economic Journal, 2005, 115, (500), 111-143 View citations (131)
- 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)
- Is the bond market irrational?
Monetary Trends, 2005, (Jul) View citations (1)
2004
- Subjective probabilities: psychological theories and economic applications
Review, 2004, 86, (Jan), 33-48 View citations (1)
2003
- International asset prices and portfolio choices under Bayesian learning
Research in Economics, 2003, 57, (4), 383-437 View citations (1)
- 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, FMG Discussion Papers (2001) View citations (4) (2001)
- Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
Manchester School, 2003, 71, (4), 381-395 View citations (12)
Books
2016
- Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
Palgrave Macmillan Books, Palgrave Macmillan
Chapters
2024
- 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
- 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
- Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
Palgrave Macmillan
- Markov Switching Models in Empirical Finance
A chapter in Missing Data Methods: Time-Series Methods and Applications, 2011, pp 1-86 View citations (3)
See also Working Paper Markov Switching Models in Empirical Finance, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) View citations (60) (2011)
- 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
- 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)
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