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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 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pgu101


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Working Papers

2024

  1. 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 Downloads
    See also Journal Article Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, Risks, MDPI (2024) Downloads (2024)
  2. 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 Downloads
    See also Chapter Machine Learning in Portfolio Decisions, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2024) Downloads (2024)
  3. Responsible Investing under Climate Change Uncertainty
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  4. 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 Downloads

2023

  1. 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 Downloads 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) Downloads View citations (1) (2024)
  2. 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 Downloads

2022

  1. Forecasting: theory and practice
    Papers, arXiv.org Downloads View citations (70)
    See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) Downloads View citations (30) (2022)
  2. 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 Downloads
    See also Journal Article The empirical performance of option implied volatility surface-driven optimal portfolios, Physica A: Statistical Mechanics and its Applications, Elsevier (2023) Downloads (2023)

2021

  1. 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 Downloads View citations (3)
  2. 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 Downloads
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2019) Downloads

    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) Downloads (2021)

2020

  1. 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 Downloads
  2. 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 Downloads View citations (6)
  3. 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 Downloads
  4. 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 Downloads
  5. 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 Downloads
    See also Journal Article Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit, Finance Research Letters, Elsevier (2021) Downloads View citations (6) (2021)
  6. Mildly Explosive Dynamics in U.S. Fixed Income Markets
    Economics Department, Working Paper Series, Economics Department, Pomona College Downloads View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2017) Downloads View citations (1)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) Downloads View citations (1)

    See also Journal Article Mildly explosive dynamics in U.S. fixed income markets, European Journal of Operational Research, Elsevier (2020) Downloads View citations (1) (2020)
  7. Sentiment Risk Premia In The Cross-Section of Global Equity
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)

2019

  1. 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 Downloads View citations (3)
  2. 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 Downloads View citations (6)
  3. 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 Downloads View citations (5)
  4. 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 Downloads
  5. 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 Downloads View citations (1)
  6. 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 Downloads
    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) Downloads (2023)
  7. 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 Downloads View citations (1)
    See also Journal Article Time-varying price discovery in sovereign credit markets, Finance Research Letters, Elsevier (2021) Downloads View citations (3) (2021)

2018

  1. 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 Downloads
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2018) Downloads
  2. 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 Downloads 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) Downloads 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) Downloads (2022)
  3. 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 Downloads View citations (2)
  4. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) Downloads View citations (31) (2019)
  5. 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 Downloads View citations (1)
  6. 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 Downloads View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2018) Downloads View citations (4)

    See also Journal Article Portfolio performance of linear SDF models: an out-of-sample assessment, Quantitative Finance, Taylor & Francis Journals (2018) Downloads View citations (4) (2018)

2017

  1. Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads 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) Downloads View citations (10) (2018)
  2. 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 Downloads View citations (4)
    See also Journal Article Linear and nonlinear predictability in investment style factors: multivariate evidence, Journal of Asset Management, Palgrave Macmillan (2017) Downloads View citations (4) (2017)
  3. 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 Downloads View citations (5)

2016

  1. 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 Downloads

2015

  1. 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 Downloads
  2. 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 Downloads 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) Downloads View citations (13) (2015)
  3. 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 Downloads View citations (2)
    Also in Working Paper, Norges Bank (2013) Downloads 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) Downloads View citations (12) (2017)
  4. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (2)
    See also Journal Article The impact of monetary policy on corporate bonds under regime shifts, Journal of Banking & Finance, Elsevier (2017) Downloads View citations (8) (2017)

2014

  1. 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 Downloads View citations (4)

2013

  1. Ambiguity Aversion and Under-diversification
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (3)
    See also Journal Article Ambiguity Aversion and Underdiversification, Journal of Financial and Quantitative Analysis, Cambridge University Press (2016) Downloads View citations (21) (2016)
  2. 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 Downloads 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) Downloads View citations (6) (2019)
  3. Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?
    Working Paper, Norges Bank Downloads 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) Downloads View citations (3) (2018)
  4. How did the financial crisis alter the correlations of U.S. yield spreads?
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (18) (2014)
  5. The Effects of Information Asymmetries on the Success of Stock Option Listings
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads

2012

  1. 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 Downloads 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) Downloads View citations (24) (2014)
  2. 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 Downloads

2011

  1. 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 Downloads View citations (4)
  2. Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) Downloads View citations (16)

    See also Journal Article Ambiguity in asset pricing and portfolio choice: a review of the literature, Theory and Decision, Springer (2013) Downloads View citations (98) (2013)
  3. 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 Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) Downloads 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) Downloads View citations (26) (2012)
  4. Markov Switching Models in Empirical Finance
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (60)
    See also Chapter Markov Switching Models in Empirical Finance, Advances in Econometrics, Emerald Group Publishing Limited (2011) Downloads View citations (3) (2011)
  5. 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 Downloads
    Also in Working Paper, Norges Bank (2011) Downloads

2010

  1. 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (6)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) Downloads View citations (7)
  2. A yield spread perspective on the great financial crisis: break-point test evidence
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (20) (2013)
  3. 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 Downloads 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) Downloads View citations (4) (2014)
  4. Ex Post Portfolio Performance with Predictable Skewness and Kurtosis
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
  5. Predictions of short-term rates and the expectations hypothesis
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)
    See also Journal Article Predictions of short-term rates and the expectations hypothesis, International Journal of Forecasting, Elsevier (2018) Downloads View citations (8) (2018)
  6. Regime shifts in mean-variance efficient frontiers: some international evidence
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article Regime shifts in mean-variance efficient frontiers: Some international evidence, Journal of Asset Management, Palgrave Macmillan (2011) Downloads View citations (7) (2011)

2009

  1. A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (16) (2010)
  2. Non-linear predictability in stock and bond returns: when and where is it exploitable?
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (51) (2009)
  3. 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) Downloads View citations (23)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads 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) Downloads View citations (25) (2009)

2008

  1. Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
  2. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates
    Working Paper Series, European Central Bank Downloads View citations (13)

2007

  1. Affiliated mutual funds and analyst optimism
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    See also Journal Article Affiliated mutual funds and analyst optimism, Journal of Financial Economics, Elsevier (2009) Downloads View citations (53) (2009)
  2. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (16)

    See also Journal Article Forecasts of US short-term interest rates: A flexible forecast combination approach, Journal of Econometrics, Elsevier (2009) Downloads View citations (51) (2009)
  3. Investing in Mixed Asset Portfolios: the Ex-Post Performance
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads
  4. Managing international portfolios with small capitalization stocks
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  5. Small Caps in International Diversified Portfolios
    CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) Downloads
  6. Small caps in international equity portfolios: the effects of variance risk
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    Also in CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy) (2005) Downloads View citations (4)

    See also Journal Article Small caps in international equity portfolios: the effects of variance risk, Annals of Finance, Springer (2009) Downloads View citations (11) (2009)
  7. 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 Downloads View citations (10)
  8. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (4) (2009)

2006

  1. Asset allocation under multivariate regime switching
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article Asset allocation under multivariate regime switching, Journal of Economic Dynamics and Control, Elsevier (2007) Downloads View citations (212) (2007)
  2. Diamonds are forever, wars are not. Is conflict bad for private firms?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads 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) Downloads View citations (172) (2007)
  3. International asset allocation under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (189) (2008)
  4. Investing for the long-run in European real estate
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (34) (2007)
  5. Why do analysts continue to provide favorable coverage for seasoned stocks?
    Working Papers, Federal Reserve Bank of St. Louis Downloads

2005

  1. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (159) (2006)
  2. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (21) (2006)
  3. High equity premia and crash fears. Rational foundations
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    See also Journal Article High equity premia and crash fears - Rational foundations, Economic Theory, Springer (2006) Downloads View citations (7) (2006)
  4. Home bias and high turnover in an overlapping generations model with learning
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (16) (2005)
  5. 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) Downloads View citations (1)
  6. Modelling the MIB30 implied volatility surface. Does market efficiency matter?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
  7. Optimal portfolio choice under regime switching, skew and kurtosis preferences
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (20)
  8. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (3) (2006)
  9. Predictable dynamics in the S&P 500 index options implied volatility surface
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (59) (2006)
  10. Properties of equilibrium asset prices under alternative learning schemes
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
    See also Journal Article Properties of equilibrium asset prices under alternative learning schemes, Journal of Economic Dynamics and Control, Elsevier (2007) Downloads View citations (29) (2007)
  11. Size and value anomalies under regime shifts
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (12)
    See also Journal Article Size and Value Anomalies under Regime Shifts, Journal of Financial Econometrics, Oxford University Press (2008) Downloads View citations (43) (2008)
  12. Term structure of risk under alternative econometric specifications
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (4)

    See also Journal Article Term structure of risk under alternative econometric specifications, Journal of Econometrics, Elsevier (2006) Downloads View citations (67) (2006)
  13. The economic effects of violent conflict: evidence from asset market reactions
    Working Papers, Federal Reserve Bank of St. Louis Downloads 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) Downloads View citations (90) (2010)

2004

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

2003

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

2001

  1. Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (2)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads

    See also Journal Article Option prices under Bayesian learning: implied volatility dynamics and predictive densities, Journal of Economic Dynamics and Control, Elsevier (2003) Downloads View citations (54) (2003)
  2. 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

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

Undated

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

Journal Articles

2024

  1. Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings
    Risks, 2024, 12, (2), 1-26 Downloads
    See also Working Paper Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings, BAFFI CAREFIN Working Papers (2024) Downloads (2024)
  2. Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models
    Forecasting, 2024, 6, (3), 1-33 Downloads
  3. 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 Downloads 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) Downloads View citations (2) (2023)

2023

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

2022

  1. Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence
    Quarterly Journal of Finance (QJF), 2022, 12, (03), 1-61 Downloads
    See also Working Paper Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence, BAFFI CAREFIN Working Papers (2018) Downloads View citations (1) (2018)
  2. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 Downloads View citations (30)
    See also Working Paper Forecasting: theory and practice, Papers (2022) Downloads View citations (70) (2022)
  3. Performance persistence and optimal asset allocation strategies
    The European Journal of Finance, 2022, 28, (16), 1571-1598 Downloads
  4. Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns
    Forecasting, 2022, 4, (1), 1-32 Downloads

2021

  1. 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 Downloads
    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) Downloads (2021)
  2. Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
    Annals of Operations Research, 2021, 299, (1), 1317-1356 Downloads View citations (11)
  3. Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
    Finance Research Letters, 2021, 42, (C) Downloads 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) Downloads (2020)
  4. Time-varying price discovery in sovereign credit markets
    Finance Research Letters, 2021, 38, (C) Downloads View citations (3)
    See also Working Paper Time-Varying Price Discovery in Sovereign Credit Markets, BAFFI CAREFIN Working Papers (2019) Downloads View citations (1) (2019)

2020

  1. 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 Downloads View citations (2)
  2. Mildly explosive dynamics in U.S. fixed income markets
    European Journal of Operational Research, 2020, 287, (2), 712-724 Downloads View citations (1)
    See also Working Paper Mildly Explosive Dynamics in U.S. Fixed Income Markets, Economics Department, Working Paper Series (2020) Downloads View citations (1) (2020)
  3. Monetary policy after the crisis: A threat to hedge funds' alphas?
    Journal of Asset Management, 2020, 21, (3), 219-238 Downloads View citations (1)

2019

  1. 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 Downloads 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) Downloads View citations (4) (2013)
  2. Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
    Journal of Financial Markets, 2019, 45, (C), 83-114 Downloads View citations (22)
  3. 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), - Downloads View citations (7)
  4. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 Downloads View citations (31)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) Downloads View citations (4) (2018)

2018

  1. 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 Downloads 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) Downloads View citations (1) (2013)
  2. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
    European Journal of Operational Research, 2018, 265, (2), 685-702 Downloads View citations (10)
    See also Working Paper Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing, Working Papers (2017) Downloads View citations (2) (2017)
  3. 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 Downloads View citations (4)
  4. Portfolio performance of linear SDF models: an out-of-sample assessment
    Quantitative Finance, 2018, 18, (8), 1425-1436 Downloads View citations (4)
    See also Working Paper Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment, BAFFI CAREFIN Working Papers (2018) Downloads View citations (4) (2018)
  5. Predictions of short-term rates and the expectations hypothesis
    International Journal of Forecasting, 2018, 34, (4), 636-664 Downloads View citations (8)
    See also Working Paper Predictions of short-term rates and the expectations hypothesis, Working Papers (2010) Downloads View citations (9) (2010)

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 Downloads View citations (14)
  2. Linear and nonlinear predictability in investment style factors: multivariate evidence
    Journal of Asset Management, 2017, 18, (6), 476-509 Downloads View citations (4)
    See also Working Paper Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*, BAFFI CAREFIN Working Papers (2017) Downloads View citations (4) (2017)
  3. 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 Downloads 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) Downloads View citations (2) (2015)
  4. The impact of monetary policy on corporate bonds under regime shifts
    Journal of Banking & Finance, 2017, 80, (C), 176-202 Downloads View citations (8)
    See also Working Paper The Impact of Monetary Policy on Corporate Bonds under Regime Shifts, Working Papers (2015) Downloads View citations (2) (2015)

2016

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

2015

  1. Equally Weighted vs. Long†Run Optimal Portfolios
    European Financial Management, 2015, 21, (4), 742-789 Downloads View citations (10)
  2. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
    Journal of Financial Markets, 2015, 26, (C), 1-37 Downloads View citations (13)
    See also Working Paper Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?, Working Papers (2015) Downloads View citations (13) (2015)

2014

  1. 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 Downloads View citations (7)
  2. 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 Downloads View citations (7)
  3. 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 Downloads 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) Downloads View citations (5) (2012)
  4. 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 Downloads 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) Downloads View citations (3) (2010)
  5. How did the financial crisis alter the correlations of U.S. yield spreads?
    Journal of Empirical Finance, 2014, 28, (C), 362-385 Downloads View citations (18)
    See also Working Paper How did the financial crisis alter the correlations of U.S. yield spreads?, Working Papers (2013) Downloads View citations (4) (2013)
  6. Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
    Quantitative Finance, 2014, 14, (12), 2135-2153 Downloads View citations (2)
  7. Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
    Real Estate Economics, 2014, 42, (2), 279-342 Downloads View citations (12)
  8. 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 Downloads
  9. Unconventional monetary policies and the corporate bond market
    Finance Research Letters, 2014, 11, (3), 203-212 Downloads View citations (6)

2013

  1. A yield spread perspective on the great financial crisis: Break-point test evidence
    International Review of Financial Analysis, 2013, 26, (C), 18-39 Downloads View citations (20)
    See also Working Paper A yield spread perspective on the great financial crisis: break-point test evidence, Working Papers (2010) Downloads View citations (12) (2010)
  2. 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 Downloads View citations (4)
  3. Ambiguity in asset pricing and portfolio choice: a review of the literature
    Theory and Decision, 2013, 74, (2), 183-217 Downloads View citations (98)
    See also Working Paper Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature, Working Papers (2011) Downloads View citations (1) (2011)
  4. Forecasting yield spreads under crisis-induced multiple breakpoints
    Applied Economics Letters, 2013, 20, (18), 1656-1664 Downloads View citations (1)
  5. Time varying stock return predictability: Evidence from US sectors
    Finance Research Letters, 2013, 10, (1), 34-40 Downloads View citations (14)

2012

  1. 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 Downloads 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) Downloads (2011)
  2. Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment
    Computational Statistics & Data Analysis, 2012, 56, (11), 3546-3566 Downloads View citations (6)

2011

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

2010

  1. 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 Downloads 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) Downloads View citations (8) (2009)
  2. The economic effects of violent conflict: Evidence from asset market reactions
    Journal of Peace Research, 2010, 47, (6), 671-684 Downloads View citations (90)
    See also Working Paper The economic effects of violent conflict: evidence from asset market reactions, Working Papers (2005) Downloads View citations (18) (2005)
  3. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 Downloads View citations (16)

2009

  1. Affiliated mutual funds and analyst optimism
    Journal of Financial Economics, 2009, 93, (1), 108-137 Downloads View citations (53)
    See also Working Paper Affiliated mutual funds and analyst optimism, Working Papers (2007) Downloads View citations (1) (2007)
  2. Forecasts of US short-term interest rates: A flexible forecast combination approach
    Journal of Econometrics, 2009, 150, (2), 297-311 Downloads View citations (51)
    See also Working Paper Forecasts of U.S. short-term interest rates: a flexible forecast combination approach, Working Papers (2007) Downloads View citations (6) (2007)
  3. Is the financial crisis over? a yield spread perspective
    Economic Synopses, 2009 Downloads
  4. Non-linear predictability in stock and bond returns: When and where is it exploitable?
    International Journal of Forecasting, 2009, 25, (2), 373-399 Downloads View citations (51)
    See also Working Paper Non-linear predictability in stock and bond returns: when and where is it exploitable?, Working Papers (2009) Downloads View citations (50) (2009)
  5. Small caps in international equity portfolios: the effects of variance risk
    Annals of Finance, 2009, 5, (1), 15-48 Downloads View citations (11)
    See also Working Paper Small caps in international equity portfolios: the effects of variance risk, Working Papers (2007) Downloads View citations (4) (2007)
  6. Taming the long-term spreads
    Economic Synopses, 2009 Downloads
  7. Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
    Real Estate Economics, 2009, 37, (3), 341-381 Downloads 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) Downloads View citations (23) (2009)
  8. What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model
    Applied Financial Economics, 2009, 19, (6), 463-488 Downloads View citations (4)
    See also Working Paper What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model, Working Papers (2007) Downloads View citations (1) (2007)

2008

  1. Diversifying in public real estate: The ex-post performance
    Journal of Asset Management, 2008, 8, (6), 361-373 Downloads View citations (2)
  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 Downloads View citations (6)
  3. International asset allocation under regime switching, skew, and kurtosis preferences
    The Review of Financial Studies, 2008, 21, (2), 889-935 Downloads View citations (189)
    See also Working Paper International asset allocation under regime switching, skew and kurtosis preferences, Working Papers (2006) Downloads View citations (37) (2006)
  4. No volatility, no forecasting power for the term spread
    Monetary Trends, 2008, (Apr) Downloads View citations (2)
  5. Size and Value Anomalies under Regime Shifts
    Journal of Financial Econometrics, 2008, 6, (1), 1-48 Downloads View citations (43)
    See also Working Paper Size and value anomalies under regime shifts, Working Papers (2005) Downloads View citations (12) (2005)

2007

  1. A Review of: “Book Review: Empirical Dynamic Asset Pricing”
    Econometric Reviews, 2007, 26, (5), 597-604 Downloads
  2. Asset allocation under multivariate regime switching
    Journal of Economic Dynamics and Control, 2007, 31, (11), 3503-3544 Downloads View citations (212)
    See also Working Paper Asset allocation under multivariate regime switching, Working Papers (2006) Downloads View citations (4) (2006)
  3. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
    American Economic Review, 2007, 97, (5), 1978-1993 Downloads View citations (172)
    See also Working Paper Diamonds are forever, wars are not. Is conflict bad for private firms?, Working Papers (2006) Downloads View citations (11) (2006)
  4. Investing for the Long-run in European Real Estate
    The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80 Downloads View citations (34)
    See also Working Paper Investing for the long-run in European real estate, Working Papers (2006) Downloads View citations (4) (2006)
  5. Properties of equilibrium asset prices under alternative learning schemes
    Journal of Economic Dynamics and Control, 2007, 31, (1), 161-217 Downloads View citations (29)
    See also Working Paper Properties of equilibrium asset prices under alternative learning schemes, Working Papers (2005) Downloads View citations (5) (2005)
  6. The decline in the U.S. personal saving rate: is it real and is it a puzzle?
    Review, 2007, 89, (Nov), 491-514 Downloads View citations (54)

2006

  1. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
    Journal of Applied Econometrics, 2006, 21, (1), 1-22 Downloads View citations (159)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 1-22 (2006) Downloads 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) Downloads View citations (13) (2005)
  2. Are the dynamic linkages between the macroeconomy and asset prices time-varying?
    Journal of Economics and Business, 2006, 58, (5-6), 480-518 Downloads View citations (21)
    See also Working Paper Are the dynamic linkages between the macroeconomy and asset prices time-varying?, Working Papers (2005) Downloads View citations (1) (2005)
  3. Cross-country personal saving rates
    National Economic Trends, 2006, (May) Downloads View citations (1)
  4. High equity premia and crash fears - Rational foundations
    Economic Theory, 2006, 28, (3), 693-708 Downloads View citations (7)
    See also Working Paper High equity premia and crash fears. Rational foundations, Working Papers (2005) Downloads View citations (1) (2005)
  5. 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 Downloads View citations (3)
  6. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle
    Journal of Economics and Business, 2006, 58, (2), 85-118 Downloads View citations (3)
    See also Working Paper Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle, Working Papers (2005) Downloads View citations (1) (2005)
  7. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    The Journal of Business, 2006, 79, (3), 1591-1636 Downloads View citations (59)
    See also Working Paper Predictable dynamics in the S&P 500 index options implied volatility surface, Working Papers (2005) Downloads View citations (1) (2005)
  8. Term structure of risk under alternative econometric specifications
    Journal of Econometrics, 2006, 131, (1-2), 285-308 Downloads View citations (67)
    See also Working Paper Term structure of risk under alternative econometric specifications, Working Papers (2005) Downloads View citations (1) (2005)
  9. The dollar U-turn
    International Economic Trends, 2006, (Feb) Downloads

2005

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

2004

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

2003

  1. International asset prices and portfolio choices under Bayesian learning
    Research in Economics, 2003, 57, (4), 383-437 Downloads View citations (1)
  2. Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, 2003, 27, (5), 717-769 Downloads View citations (54)
    See also Working Paper Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities, FMG Discussion Papers (2001) Downloads View citations (4) (2001)
  3. Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
    Manchester School, 2003, 71, (4), 381-395 Downloads 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 Downloads
    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) Downloads (2024)

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 Downloads View citations (1)

2011

  1. Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence
    Palgrave Macmillan
  2. Markov Switching Models in Empirical Finance
    A chapter in Missing Data Methods: Time-Series Methods and Applications, 2011, pp 1-86 Downloads View citations (3)
    See also Working Paper Markov Switching Models in Empirical Finance, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) Downloads View citations (60) (2011)
  3. 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 Downloads

2008

  1. 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 Downloads View citations (1)
 
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