Details about Massimo Guidolin
Access statistics for papers by Massimo Guidolin.
Last updated 2022-06-04. Update your information in the RePEc Author Service.
Short-id: pgu101
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Working Papers
2022
- Forecasting: theory and practice
Papers, arXiv.org View citations (6)
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
- Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 
Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2019) 
See also Journal Article in The European Journal of Finance (2021)
2020
- 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 in Finance Research Letters (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 in European Journal of Operational Research (2020)
- Sentiment Risk Premia In The Cross-Section of Global Equity
Working Papers on Finance, University of St. Gallen, School of Finance
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 (1)
- Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (5)
- Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models
BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (2)
- 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
- Time-Varying Price Discovery in Sovereign Credit Markets
BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (1)
See also Journal Article in Finance Research Letters (2021)
2018
- 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)
- 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 in Journal of Econometrics (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 
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2018) 
See also Journal Article in Quantitative Finance (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 (1)
See also Journal Article in European Journal of Operational Research (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 (2)
See also Journal Article in Journal of Asset Management (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 (4)
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 (9)
See also Journal Article in Journal of Financial Markets (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 in Journal of Business & Economic Statistics (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 in Journal of Banking & Finance (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 (3)
2013
- Ambiguity Aversion and Under-diversification
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
See also Journal Article in Journal of Financial and Quantitative Analysis (2016)
- An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
See also Journal Article in Journal of Corporate Finance (2019)
- How did the financial crisis alter the correlations of U.S. yield spreads?
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article in Journal of Empirical Finance (2014)
- 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 in Journal of Banking & Finance (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 (15)
See also Journal Article in Theory and Decision (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 (3)
See also Journal Article in Journal of Banking & Finance (2012)
- Markov Switching Models in Empirical Finance
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (54)
- 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 (5)
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 (9)
See also Journal Article in International Review of Financial Analysis (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 in Oxford Bulletin of Economics and Statistics (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 in International Journal of Forecasting (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 in Journal of Asset Management (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 (7)
See also Journal Article in Applied Financial Economics (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 (45)
See also Journal Article in International Journal of Forecasting (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 (18)
Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (16)
See also Journal Article in Real Estate Economics (2009)
2008
- 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 (11)
2007
- 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)
- Forecasts of U.S. short-term interest rates: a flexible forecast combination approach
Working Papers, Federal Reserve Bank of St. Louis View citations (6)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (16)
See also Journal Article in Journal of Econometrics (2009)
- 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 in Annals of Finance (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 in Applied Financial Economics (2009)
2006
- Asset allocation under multivariate regime switching
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article in Journal of Economic Dynamics and Control (2007)
- Diamonds are forever, wars are not. Is conflict bad for private firms?
Working Papers, Federal Reserve Bank of St. Louis View citations (11)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (35)
See also Journal Article in American Economic Review (2007)
- International asset allocation under regime switching, skew and kurtosis preferences
Working Papers, Federal Reserve Bank of St. Louis View citations (36)
See also Journal Article in Review of Financial Studies (2008)
- Investing for the long-run in European real estate
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article in The Journal of Real Estate Finance and Economics (2007)
- 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 in Journal of Applied Econometrics (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 in Journal of Economics and Business (2006)
- 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)
- Home bias and high turnover in an overlapping generations model with learning
Working Papers, Federal Reserve Bank of St. Louis View citations (6)
See also Journal Article in Review of International Economics (2005)
- 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 (15)
- Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle
Working Papers, Federal Reserve Bank of St. Louis View citations (1)
See also Journal Article in Journal of Economics and Business (2006)
- 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)
- Properties of equilibrium asset prices under alternative learning schemes
Working Papers, Federal Reserve Bank of St. Louis View citations (5)
See also Journal Article in Journal of Economic Dynamics and Control (2007)
- Size and value anomalies under regime shifts
Working Papers, Federal Reserve Bank of St. Louis View citations (12)
See also Journal Article in The Journal of Financial Econometrics (2008)
- 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)
- The economic effects of violent conflict: evidence from asset market reactions
Working Papers, Federal Reserve Bank of St. Louis View citations (14)
See also Journal Article in Journal of Peace Research (2010)
2004
- Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (14)
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)
See also Journal Article in Journal of Economic Dynamics and Control (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
2022
- 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 (2021)
- Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?
Annals of Operations Research, 2021, 299, (1), 1317-1356 View citations (3)
- Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit
Finance Research Letters, 2021, 42, (C) 
See also Working Paper (2020)
- Time-varying price discovery in sovereign credit markets
Finance Research Letters, 2021, 38, (C) View citations (1)
See also Working Paper (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
- Mildly explosive dynamics in U.S. fixed income markets
European Journal of Operational Research, 2020, 287, (2), 712-724 View citations (1)
See also Working Paper (2020)
- Monetary policy after the crisis: A threat to hedge funds' alphas?
Journal of Asset Management, 2020, 21, (3), 219-238
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 (3)
See also Working Paper (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 (9)
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models
Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (5)
- Modeling systemic risk with Markov Switching Graphical SUR models
Journal of Econometrics, 2019, 210, (1), 58-74 View citations (21)
See also Working Paper (2018)
2018
- Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
European Journal of Operational Research, 2018, 265, (2), 685-702 View citations (9)
See also Working Paper (2017)
- How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
Quantitative Finance, 2018, 18, (1), 139-169 View citations (3)
- Portfolio performance of linear SDF models: an out-of-sample assessment
Quantitative Finance, 2018, 18, (8), 1425-1436 
See also Working Paper (2018)
- Predictions of short-term rates and the expectations hypothesis
International Journal of Forecasting, 2018, 34, (4), 636-664 View citations (5)
See also Working Paper (2010)
2017
- Identifying and measuring the contagion channels at work in the European financial crises
Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 117-134 View citations (10)
- Linear and nonlinear predictability in investment style factors: multivariate evidence
Journal of Asset Management, 2017, 18, (6), 476-509 View citations (2)
See also Working Paper (2017)
- Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
Journal of Business & Economic Statistics, 2017, 35, (1), 110-129 View citations (9)
See also Working Paper (2015)
- The impact of monetary policy on corporate bonds under regime shifts
Journal of Banking & Finance, 2017, 80, (C), 176-202 View citations (4)
See also Working Paper (2015)
2016
- Ambiguity Aversion and Underdiversification
Journal of Financial and Quantitative Analysis, 2016, 51, (4), 1297-1323 View citations (15)
See also Working Paper (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 (8)
- Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
Journal of Financial Markets, 2015, 26, (C), 1-37 View citations (9)
See also Working Paper (2015)
2014
- Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios
The Journal of Real Estate Finance and Economics, 2014, 49, (1), 116-164 View citations (4)
- 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 (17)
See also Working Paper (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 (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 (15)
See also Working Paper (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
- Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
Real Estate Economics, 2014, 42, (2), 279-342 View citations (10)
- 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 (3)
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 (16)
See also Working Paper (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 (73)
See also Working Paper (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 (11)
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 (18)
See also Working Paper (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 (5)
2011
- Regime shifts in mean-variance efficient frontiers: Some international evidence
Journal of Asset Management, 2011, 12, (5), 322-349 View citations (6)
See also Working Paper (2010)
2010
- A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?
Applied Financial Economics, 2010, 20, (1-2), 105-135 View citations (13)
See also Working Paper (2009)
- The economic effects of violent conflict: Evidence from asset market reactions
Journal of Peace Research, 2010, 47, (6), 671-684 View citations (55)
See also Working Paper (2005)
- The effects of large-scale asset purchases on TIPS inflation expectations
Economic Synopses, 2010 View citations (13)
2009
- Affiliated mutual funds and analyst optimism
Journal of Financial Economics, 2009, 93, (1), 108-137 View citations (38)
See also Working Paper (2007)
- Forecasts of US short-term interest rates: A flexible forecast combination approach
Journal of Econometrics, 2009, 150, (2), 297-311 View citations (47)
See also Working Paper (2007)
- 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 (50)
See also Working Paper (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 (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 (18)
See also Working Paper (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 (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
Review of Financial Studies, 2008, 21, (2), 889-935 View citations (161)
See also Working Paper (2006)
- No volatility, no forecasting power for the term spread
Monetary Trends, 2008, (Apr) View citations (1)
- Size and Value Anomalies under Regime Shifts
The Journal of Financial Econometrics, 2008, 6, (1), 1-48 View citations (34)
See also Working Paper (2005)
2007
- 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 (184)
See also Working Paper (2006)
- Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?
American Economic Review, 2007, 97, (5), 1978-1993 View citations (141)
See also Working Paper (2006)
- Investing for the Long-run in European Real Estate
The Journal of Real Estate Finance and Economics, 2007, 34, (1), 35-80 View citations (33)
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Books
2016
- Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model
Palgrave Macmillan Books, Palgrave Macmillan
Chapters
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
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