Details about Massimo Guidolin

Access statistics for papers by Massimo Guidolin.

Last updated 2017-08-09. Update your information in the RePEc Author Service.

Short-id: pgu101

Working Papers

2017

1. 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

2016

2. Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
   Also in Working Paper, Norges Bank (2013)
3. Identifying and Measuring the Contagion Channels at Work in the European Financial Crises
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
4. Regime Shifts in Excess Stock Return Predictability: 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

5. 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
6. 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 (1)
   See also Journal Article in Journal of Financial Markets (2015)
7. 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 (1)
   Also in Working Paper, Norges Bank (2013) View citations (1)
8. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
   See also Journal Article in Journal of Banking & Finance (2017)

2014

9. 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

2013

10. Ambiguity Aversion and Under-diversification
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article in Journal of Financial and Quantitative Analysis (2016)
11. 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 (2)
12. How did the financial crisis alter the correlations of U.S. yield spreads?
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Empirical Finance (2014)
13. The Effects of Information Asymmetries on the Success of Stock Option Listings
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

2012

14. 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 (3)
    See also Journal Article in Journal of Banking & Finance (2014)
15. 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

16. 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 (3)
17. 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 (9)
    See also Journal Article in Theory and Decision (2013)
18. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (3)
    See also Journal Article in Journal of Banking & Finance (2012)
19. Markov Switching Models in Empirical Finance
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (16)
20. 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

21. 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (5)
22. A yield spread perspective on the great financial crisis: break-point test evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article in International Review of Financial Analysis (2013)
23. Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
24. Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
    Carlo Alberto Notebooks, Collegio Carlo Alberto
25. Predictions of short-term rates and the expectations hypothesis
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
26. Regime shifts in mean-variance efficient frontiers: some international evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)

2009

27. 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 (3)
    See also Journal Article in Applied Financial Economics (2010)
28. Non-linear predictability in stock and bond returns: when and where is it exploitable?
    Working Papers, Federal Reserve Bank of St. Louis View citations (25)
    See also Journal Article in International Journal of Forecasting (2009)
29. 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 (9)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (7)
    See also Journal Article in Real Estate Economics (2009)

2008

30. 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)
31. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
    Working Paper Series, European Central Bank View citations (6)

2007

32. Affiliated mutual funds and analyst optimism
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Financial Economics (2009)
33. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (12)
    See also Journal Article in Journal of Econometrics (2009)
34. Investing in Mixed Asset Portfolios: the Ex-Post Performance
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
35. Managing international portfolios with small capitalization stocks
    Working Papers, Federal Reserve Bank of St. Louis
36. Small Caps in International Diversified Portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy)
37. Small caps in international equity portfolios: the effects of variance risk
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2005) View citations (3)
    See also Journal Article in Annals of Finance (2009)
38. 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 (6)
39. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Applied Financial Economics (2009)

2006

40. Asset allocation under multivariate regime switching
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
41. Diamonds are forever, wars are not. Is conflict bad for private firms?
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (33)
    See also Journal Article in American Economic Review (2007)
42. International asset allocation under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (31)
    See also Journal Article in Review of Financial Studies (2008)
43. Investing for the long-run in European real estate
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2007)
44. Why do analysts continue to provide favorable coverage for seasoned stocks?
    Working Papers, Federal Reserve Bank of St. Louis

2005

45. 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 (11)
    See also Journal Article in Journal of Applied Econometrics (2006)
46. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Journal of Economics and Business (2006)
47. High equity premia and crash fears. Rational foundations
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Economic Theory (2006)
48. Home bias and high turnover in an overlapping generations model with learning
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article in Review of International Economics (2005)
49. 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)
50. Modelling the MIB30 implied volatility surface. Does market efficiency matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
51. Optimal portfolio choice under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
52. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article in Journal of Economics and Business (2006)
53. Predictable dynamics in the S&P 500 index options implied volatility surface
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in The Journal of Business (2006)
54. Properties of equilibrium asset prices under alternative learning schemes
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2007)
55. Size and value anomalies under regime shifts
    Working Papers, Federal Reserve Bank of St. Louis View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2008)
56. Term structure of risk under alternative econometric specifications
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (4)
    See also Journal Article in Journal of Econometrics (2006)
57. The economic effects of violent conflict: evidence from asset market reactions
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article in Journal of Peace Research (2010)

2004

58. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (10)

2003

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

2001

61. 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)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
62. 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 (5)

2000

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

Journal Articles

2017

1. 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
   See also Working Paper (2016)
2. The impact of monetary policy on corporate bonds under regime shifts
   Journal of Banking & Finance, 2017, 80, (C), 176-202
   See also Working Paper (2015)

2016

3. Ambiguity Aversion and Underdiversification
   Journal of Financial and Quantitative Analysis, 2016, 51, (04), 1297-1323
   See also Working Paper (2013)
4. Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach
   Journal of Futures Markets, 2016, 36, (3), 217-239

2015

5. 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 (1)
   See also Working Paper (2015)

2014

6. 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 (1)
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 (1)
8. 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 (5)
   See also Working Paper (2012)
9. 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 (2)
   See also Working Paper (2010)
10. How did the financial crisis alter the correlations of U.S. yield spreads?
    Journal of Empirical Finance, 2014, 28, (C), 362-385 View citations (5)
    See also Working Paper (2013)
11. Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
    Quantitative Finance, 2014, 14, (12), 2135-2153
12. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
    Real Estate Economics, 2014, 42, (2), 279-342 View citations (3)
13. 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
14. Unconventional monetary policies and the corporate bond market
    Finance Research Letters, 2014, 11, (3), 203-212 View citations (2)

2013

15. 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 (6)
    See also Working Paper (2010)
16. 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 (2)
17. Ambiguity in asset pricing and portfolio choice: a review of the literature
    Theory and Decision, 2013, 74, (2), 183-217 View citations (20)
    See also Working Paper (2011)
18. Forecasting yield spreads under crisis-induced multiple breakpoints
    Applied Economics Letters, 2013, 20, (18), 1656-1664 View citations (1)
19. Time varying stock return predictability: Evidence from US sectors
    Finance Research Letters, 2013, 10, (1), 34-40 View citations (6)

2012

20. 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 (6)
    See also Working Paper (2011)
21. 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 (4)

2010

22. 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 (7)
    See also Working Paper (2009)
23. The economic effects of violent conflict: Evidence from asset market reactions
    Journal of Peace Research, 2010, 47, (6), 671-684 View citations (17)
    See also Working Paper (2005)
24. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 View citations (10)

2009

25. Affiliated mutual funds and analyst optimism
    Journal of Financial Economics, 2009, 93, (1), 108-137 View citations (8)
    See also Working Paper (2007)
26. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 View citations (30)
    See also Working Paper (2007)
27. Is the financial crisis over? a yield spread perspective
    Economic Synopses, 2009
28. 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 (28)
    See also Working Paper (2009)
29. Small caps in international equity portfolios: the effects of variance risk
    Annals of Finance, 2009, 5, (1), 15-48 View citations (8)
    See also Working Paper (2007)
30. Taming the long-term spreads
    Economic Synopses, 2009
31. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
    Real Estate Economics, 2009, 37, (3), 341-381 View citations (8)
    See also Working Paper (2009)
32. What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model
    Applied Financial Economics, 2009, 19, (6), 463-488 View citations (3)
    See also Working Paper (2007)

2008

33. 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 (5)
34. International asset allocation under regime switching, skew, and kurtosis preferences
    Review of Financial Studies, 2008, 21, (2), 889-935 View citations (76)
    See also Working Paper (2006)
35. No volatility, no forecasting power for the term spread
    Monetary Trends, 2008, (Apr) View citations (1)
36. Size and Value Anomalies under Regime Shifts
    Journal of Financial Econometrics, 2008, 6, (1), 1-48 View citations (22)
    See also Working Paper (2005)

2007

37. A Review of: “Book Review: Empirical Dynamic Asset Pricing”
    Econometric Reviews, 2007, 26, (5), 597-604
38. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 View citations (93)
    See also Working Paper (2006)
39. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
    American Economic Review, 2007, 97, (5), 1978-1993 View citations (40)
    See also Working Paper (2006)
40. Investing for the Long-run in European Real Estate
    The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80 View citations (20)
    See also Working Paper (2006)
41. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 View citations (18)
    See also Working Paper (2005)
42. The decline in the U.S. personal saving rate: is it real and is it a puzzle?
    Review, 2007, (Nov), 491-514 View citations (27)

2006

43. 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 (87)
    See also Working Paper (2005)
44. 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 (13)
    See also Working Paper (2005)
45. Cross-country personal saving rates
    National Economic Trends, 2006, (May) View citations (1)
46. High equity premia and crash fears - Rational foundations
    Economic Theory, 2006, 28, (3), 693-708 View citations (6)
    See also Working Paper (2005)
47. 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 (1)
48. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle
    Journal of Economics and Business, 2006, 58, (2), 85-118 View citations (2)
    See also Working Paper (2005)
49. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    The Journal of Business, 2006, 79, (3), 1591-1636 View citations (24)
    See also Working Paper (2005)
50. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 View citations (50)
    See also Working Paper (2005)
51. The dollar U-turn
    International Economic Trends, 2006, (Feb)

2005

52. Bubbling (or just frothy) house prices?
    National Economic Trends, 2005, (Nov)
53. Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns
    Economic Journal, 2005, 115, (500), 111-143 View citations (82)
54. Home Bias and High Turnover in an Overlapping-generations Model with Learning
    Review of International Economics, 2005, 13, (4), 725-756 View citations (7)
    See also Working Paper (2005)
55. Is the bond market irrational?
    Monetary Trends, 2005, (Jul) View citations (1)

2004

56. Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data
    Economic Notes, 2004, 33, (2), 275-321 View citations (2)
57. Subjective probabilities: psychological theories and economic applications
    Review, 2004, (Jan), 33-48 View citations (1)

2003

58. International asset prices and portfolio choices under Bayesian learning
    Research in Economics, 2003, 57, (4), 383-437 View citations (1)
59. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 View citations (34)
    See also Working Paper (2001)
60. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 View citations (12)

Chapters

2013

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