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Massimo Guidolin

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.

    Mentioned in:

    1. Euro area “lowflation” becomes “deflation”
      by ? in FRED blog on 2015-03-19 18:00:39
    2. Dating the financial crisis using fixed income market yield spreads
      by ? in FRED blog on 2014-05-22 18:00:30
  2. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers 2013-005, Federal Reserve Bank of St. Louis.

    Mentioned in:

    1. Euro area “lowflation” becomes “deflation”
      by ? in FRED blog on 2015-03-19 18:00:39
    2. Dating the financial crisis using fixed income market yield spreads
      by ? in FRED blog on 2014-05-22 18:00:30
  3. Massimo Guidolin & Eliana La Ferrara, 2007. "Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?," American Economic Review, American Economic Association, vol. 97(5), pages 1978-1993, December.

    Mentioned in:

    1. Blogs review: The Events Study methodology
      by ? in Bruegel blog on 2012-10-08 14:51:26

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.

    Mentioned in:

    1. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (Journal of Applied Econometrics 2006) in ReplicationWiki ()
  2. Massimo Guidolin & Eliana La Ferrara, 2007. "Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?," American Economic Review, American Economic Association, vol. 97(5), pages 1978-1993, December.

    Mentioned in:

    1. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? (AER 2007) in ReplicationWiki ()

Working papers

  1. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital," BAFFI CAREFIN Working Papers 23202, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," Risks, MDPI, vol. 12(2), pages 1-26, February.
    2. Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.

  2. Massimo Guidolin & Davide La Cara & Massimiliano Marcellino, 2021. "Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks," BAFFI CAREFIN Working Papers 21169, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    2. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
    3. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.

  3. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Yue, Jun & Li, Yilin, 2023. "Media attention and corporate greenwashing behavior: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
    2. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
    3. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    4. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Hartvig, Áron Dénes & Pap, Áron & Pálos, Péter, 2023. "EU Climate Change News Index: Forecasting EU ETS prices with online news," Finance Research Letters, Elsevier, vol. 54(C).
    6. Szymon Lis, 2024. "Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence," Papers 2411.13180, arXiv.org.

  4. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.

    Cited by:

    1. Nie, Yan & Zhang, Guoxing & Zhong, Luhao & Su, Bin & Xi, Xi, 2024. "Urban‒rural disparities in household energy and electricity consumption under the influence of electricity price reform policies," Energy Policy, Elsevier, vol. 184(C).
    2. Said Rosli & Sulaimi Mardhiati & Majid Rohayu Ab & Aini Ainoriza Mohd & Olanrele Olusegun Olaopin & Akinsomi Omokolade, 2024. "Evaluating Market Attributes and Housing Affordability: Gaining Perspective on Future Value Trends," Real Estate Management and Valuation, Sciendo, vol. 32(3), pages 87-100.
    3. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    4. Raja, Aitazaz Ali & Pinson, Pierre & Kazempour, Jalal & Grammatico, Sergio, 2024. "A market for trading forecasts: A wagering mechanism," International Journal of Forecasting, Elsevier, vol. 40(1), pages 142-159.
    5. Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2024.
    6. Amjad Almusaed & Ibrahim Yitmen & Asaad Almssad, 2023. "Enhancing Smart Home Design with AI Models: A Case Study of Living Spaces Implementation Review," Energies, MDPI, vol. 16(6), pages 1-23, March.
    7. Jozef Barunik & Lubos Hanus, 2023. "Learning Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Oct 2023.
    8. Xiaoqian Wang & Yanfei Kang & Rob J Hyndman & Feng Li, 2020. "Distributed ARIMA Models for Ultra-long Time Series," Monash Econometrics and Business Statistics Working Papers 29/20, Monash University, Department of Econometrics and Business Statistics.
    9. Ca’ Zorzi, Michele & Rubaszek, Michał, 2023. "How many fundamentals should we include in the behavioral equilibrium exchange rate model?," Economic Modelling, Elsevier, vol. 118(C).
    10. Racek, Daniel & Thurner, Paul W. & Davidson, Brittany I. & Zhu, Xiao Xiang & Kauermann, Göran, 2024. "Conflict forecasting using remote sensing data: An application to the Syrian civil war," International Journal of Forecasting, Elsevier, vol. 40(1), pages 373-391.
    11. Huang, Congzhi & Yang, Mengyuan, 2023. "Memory long and short term time series network for ultra-short-term photovoltaic power forecasting," Energy, Elsevier, vol. 279(C).
    12. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    13. Wesley Marcos Almeida & Claudimar Pereira Veiga, 2023. "Does demand forecasting matter to retailing?," Journal of Marketing Analytics, Palgrave Macmillan, vol. 11(2), pages 219-232, June.
    14. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    15. Marek Kwas & Alessia Paccagnini & Michal Rubaszek, 2020. "Common factors and the dynamics of cereal prices. A forecasting perspective," CAMA Working Papers 2020-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel, 2022. "Distributional neural networks for electricity price forecasting," Papers 2207.02832, arXiv.org, revised Dec 2022.
    17. Bernhard Tröster & Ulrich Gunter, 2023. "The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors," Development and Change, International Institute of Social Studies, vol. 54(6), pages 1550-1574, November.
    18. Tetiana Zatonatska & Olena Liashenko & Yana Fareniuk & Oleksandr Dluhopolskyi & Artur Dmowski & Marzena Cichorzewska, 2022. "The Migration Influence on the Forecasting of Health Care Budget Expenditures in the Direction of Sustainability: Case of Ukraine," Sustainability, MDPI, vol. 14(21), pages 1-17, November.
    19. Jeroen Rombouts & Marie Ternes & Ines Wilms, 2024. "Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning," Papers 2402.09033, arXiv.org, revised May 2024.
    20. Jonathan Berrisch & Florian Ziel, 2022. "Distributional modeling and forecasting of natural gas prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1065-1086, September.
    21. Oscar Espinosa & Valeria Bejarano & Jeferson Ramos & Boris Martínez, 2023. "Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021," Health Economics Review, Springer, vol. 13(1), pages 1-20, December.
    22. Shanshan Wang & Shih‐Chih Chen & Mohd Helmi Ali & Ming‐Lang Tseng, 2024. "Nexus of environmental, social, and governance performance in China‐listed companies: Disclosure and green bond issuance," Business Strategy and the Environment, Wiley Blackwell, vol. 33(3), pages 1647-1660, March.
    23. Alroomi, Azzam & Karamatzanis, Georgios & Nikolopoulos, Konstantinos & Tilba, Anna & Xiao, Shujun, 2022. "Fathoming empirical forecasting competitions’ winners," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1519-1525.
    24. Rai, Amit & Shrivastava, Ashish & Jana, Kartick C., 2023. "Differential attention net: Multi-directed differential attention based hybrid deep learning model for solar power forecasting," Energy, Elsevier, vol. 263(PC).
    25. Anita M. Bunea & Mariangela Guidolin & Piero Manfredi & Pompeo Della Posta, 2022. "Diffusion of Solar PV Energy in the UK: A Comparison of Sectoral Patterns," Forecasting, MDPI, vol. 4(2), pages 1-21, April.
    26. Zheng, Zhuang & Shafique, Muhammad & Luo, Xiaowei & Wang, Shengwei, 2024. "A systematic review towards integrative energy management of smart grids and urban energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
    27. Fernández, Joaquín Delgado & Menci, Sergio Potenciano & Lee, Chul Min & Rieger, Alexander & Fridgen, Gilbert, 2022. "Privacy-preserving federated learning for residential short-term load forecasting," Applied Energy, Elsevier, vol. 326(C).
    28. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    29. Li, Xin & Xu, Yechi & Law, Rob & Wang, Shouyang, 2024. "Enhancing tourism demand forecasting with a transformer-based framework," Annals of Tourism Research, Elsevier, vol. 107(C).
    30. Paul Ghelasi & Florian Ziel, 2023. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," Papers 2305.16255, arXiv.org.
    31. Augusto Cerqua & Marco Letta & Gabriele Pinto, 2024. "On the (Mis)Use of Machine Learning with Panel Data," Papers 2411.09218, arXiv.org.
    32. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
    33. Allen, Sam & Koh, Jonathan & Segers, Johan & Ziegel, Johanna, 2024. "Tail calibration of probabilistic forecasts," LIDAM Discussion Papers ISBA 2024018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    34. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
    35. Heymann, Fabian & Milojevic, Tatjana & Covatariu, Andrei & Verma, Piyush, 2023. "Digitalization in decarbonizing electricity systems – Phenomena, regional aspects, stakeholders, use cases, challenges and policy options," Energy, Elsevier, vol. 262(PB).
    36. Spiliotis, Evangelos & Petropoulos, Fotios, 2024. "On the update frequency of univariate forecasting models," European Journal of Operational Research, Elsevier, vol. 314(1), pages 111-121.
    37. Ramos, Paulo Vitor B. & Villela, Saulo Moraes & Silva, Walquiria N. & Dias, Bruno H., 2023. "Residential energy consumption forecasting using deep learning models," Applied Energy, Elsevier, vol. 350(C).
    38. Ghelasi, Paul & Ziel, Florian, 2024. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," International Journal of Forecasting, Elsevier, vol. 40(2), pages 581-596.
    39. Jacek Batóg & Barbara Batóg & Magdalena Mojsiewicz & Przemysław Pluskota, 2024. "Electrification of Public Urban Transport: Funding Opportunities, Bus Fleet, and Energy Use Forecasts for Poland," Energies, MDPI, vol. 17(23), pages 1-20, December.
    40. Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
    41. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
    42. Bergsteinsson, Hjörleifur G. & Sørensen, Mikkel Lindstrøm & Møller, Jan Kloppenborg & Madsen, Henrik, 2023. "Heat load forecasting using adaptive spatial hierarchies," Applied Energy, Elsevier, vol. 350(C).
    43. Nghia Chu & Binh Dao & Nga Pham & Huy Nguyen & Hien Tran, 2022. "Predicting Mutual Funds' Performance using Deep Learning and Ensemble Techniques," Papers 2209.09649, arXiv.org, revised Jul 2023.
    44. Mutele, Litshedzani & Carranza, Emmanuel John M., 2024. "Statistical analysis of gold production in South Africa using ARIMA, VAR and ARNN modelling techniques: Extrapolating future gold production, Resources–Reserves depletion, and Implication on South Afr," Resources Policy, Elsevier, vol. 93(C).
    45. Takahashi, Carlos Kazunari & Figueiredo, Júlio César Bastos de & Scornavacca, Eusebio, 2024. "Investigating the diffusion of innovation: A comprehensive study of successive diffusion processes through analysis of search trends, patent records, and academic publications," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
    46. Li, Xishu & Zuidwijk, Rob & de Koster, M.B.M, 2023. "Optimal competitive capacity strategies: Evidence from the container shipping market," Omega, Elsevier, vol. 115(C).
    47. Pan Tang & Yuwei Zhang, 2024. "China's business cycle forecasting: a machine learning approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2783-2811, November.
    48. Richard Bean, 2023. "Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge," Energies, MDPI, vol. 16(3), pages 1-23, January.
    49. Emmanuel Senyo Fianu, 2022. "Analyzing and Forecasting Multi-Commodity Prices Using Variants of Mode Decomposition-Based Extreme Learning Machine Hybridization Approach," Forecasting, MDPI, vol. 4(2), pages 1-27, June.
    50. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.
    51. Elalem, Yara Kayyali & Maier, Sebastian & Seifert, Ralf W., 2023. "A machine learning-based framework for forecasting sales of new products with short life cycles using deep neural networks," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1874-1894.
    52. Michael Pedersen, 2024. "Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence," Papers 2404.04105, arXiv.org.
    53. Jun Meng & Jingfang Fan & Uma S. Bhatt & Jürgen Kurths, 2023. "Arctic weather variability and connectivity," Nature Communications, Nature, vol. 14(1), pages 1-11, December.
    54. Aitazaz Ali Raja & Pierre Pinson & Jalal Kazempour & Sergio Grammatico, 2022. "A Market for Trading Forecasts: A Wagering Mechanism," Papers 2205.02668, arXiv.org, revised Oct 2022.
    55. Paul Ghelasi & Florian Ziel, 2025. "A data-driven merit order: Learning a fundamental electricity price model," Papers 2501.02963, arXiv.org.
    56. Niklas Valentin Lehmann, 2023. "Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts," Papers 2312.09081, arXiv.org.
    57. Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
    58. Fałdziński, Marcin & Fiszeder, Piotr & Molnár, Peter, 2024. "Improving volatility forecasts: Evidence from range-based models," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    59. Qi, Lingzhi & Li, Xixi & Wang, Qiang & Jia, Suling, 2023. "fETSmcs: Feature-based ETS model component selection," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1303-1317.
    60. Guo, Su & Zheng, Kun & He, Yi & Kurban, Aynur, 2023. "The artificial intelligence-assisted short-term optimal scheduling of a cascade hydro-photovoltaic complementary system with hybrid time steps," Renewable Energy, Elsevier, vol. 202(C), pages 1169-1189.
    61. Swaminathan, Kritika & Venkitasubramony, Rakesh, 2024. "Demand forecasting for fashion products: A systematic review," International Journal of Forecasting, Elsevier, vol. 40(1), pages 247-267.
    62. Andrea Savio & Luigi De Giovanni & Mariangela Guidolin, 2022. "Modelling Energy Transition in Germany: An Analysis through Ordinary Differential Equations and System Dynamics," Forecasting, MDPI, vol. 4(2), pages 1-18, April.
    63. Radovan Šomplák & Veronika Smejkalová & Martin Rosecký & Lenka Szásziová & Vlastimír Nevrlý & Dušan Hrabec & Martin Pavlas, 2023. "Comprehensive Review on Waste Generation Modeling," Sustainability, MDPI, vol. 15(4), pages 1-29, February.
    64. Ye, Lili & Xie, Naiming & Boylan, John E. & Shang, Zhongju, 2024. "Forecasting seasonal demand for retail: A Fourier time-varying grey model," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1467-1485.

  5. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
    2. Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    3. Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
    4. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

  6. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    2. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    3. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    4. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    5. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  7. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    2. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    3. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    4. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    5. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    6. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  8. Massimo Guidolin & Francesco Melloni & Manuela Pedio, 2019. "A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle," BAFFI CAREFIN Working Papers 19121, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
    2. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024. "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 271-292, April.
    3. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).

  9. Roland Füss & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia In The Cross-Section of Global Equity," Working Papers on Finance 1913, University of St. Gallen, School of Finance, revised May 2020.

    Cited by:

    1. Kang, Yong Joo & Park, Dojoon & Eom, Young Ho, 2024. "Global contagion of US COVID-19 panic news," Emerging Markets Review, Elsevier, vol. 59(C).

  10. Roland Fuess & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns," BAFFI CAREFIN Working Papers 19116, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).

  11. Massimo Guidolin & Manuela Pedio & Alessandra tosi, 2019. "Time-Varying Price Discovery in Sovereign Credit Markets," BAFFI CAREFIN Working Papers 19120, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    2. Zubair Ali Raja & William J. Procasky & Renee Oyotode-Adebile, 2020. "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 296-325, December.
    3. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    4. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).

  12. Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).

  13. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2018. "Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?," BAFFI CAREFIN Working Papers 1884, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  14. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    2. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    3. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
    4. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
    5. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
    6. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    7. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    8. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
    9. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    10. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    11. Beatrice Foroni & Luca Merlo & Lea Petrella, 2024. "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers 2412.03668, arXiv.org.
    12. Eva F. Janssens & Robin L. Lumsdaine & Sebastiaan H.L.C.G. Vermeulen, 2022. "An Epidemiological Model of Economic Crisis Spread across Sectors in the United States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 885-919, June.
    13. Jozef Barunik & Michael Ellington, 2020. "Persistence in Financial Connectedness and Systemic Risk," Papers 2007.07842, arXiv.org, revised Nov 2023.
    14. Georg Keilbar & Weining Wang, 2022. "Modelling systemic risk using neural network quantile regression," Empirical Economics, Springer, vol. 62(1), pages 93-118, January.
    15. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    16. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
    17. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022. "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
    18. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    19. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    20. Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
    21. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
    22. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    23. Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.
    24. Hadjiantoni, Stella & Kontoghiorghes, Erricos John, 2022. "An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 1-18.
    25. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

  15. Massimo Guidolin & Manuela Pedio, 2018. "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors," BAFFI CAREFIN Working Papers 1886, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    2. Massimo Guidolin & Manuela Pedio, 2020. "Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?," BAFFI CAREFIN Working Papers 20140, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  16. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Sabri Boubaker & T.D.Q. Le & R. Manita & T. Ngo, 2023. "The Trade-off Frontier for ESG and Sharpe Ratio: A Bootstrapped Double-Frontier Data Envelopment Analysis," Post-Print hal-04434028, HAL.
    2. Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
    3. Hanauer, Matthias X. & Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2024. "Factor models for Chinese A-shares," International Review of Financial Analysis, Elsevier, vol. 91(C).
    4. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2024. "Machine-learning stock market volatility: Predictability, drivers, and economic value," International Review of Financial Analysis, Elsevier, vol. 94(C).

  17. Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini, 2020. "Toward a macroprudential regulatory framework for mutual funds," LIDAM Discussion Papers LFIN 2020008, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.

  18. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2017. "Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing," Working Papers 614, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    2. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.
    3. Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
    4. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    5. Massimo Guidolin & Manuela Pedio, 2020. "Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?," BAFFI CAREFIN Working Papers 20140, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Massimo Guidolin & Manuela Pedio, 2018. "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors," BAFFI CAREFIN Working Papers 1886, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Schücking, Maximilian & Jochem, Patrick, 2021. "Two-stage stochastic program optimizing the cost of electric vehicles in commercial fleets," Applied Energy, Elsevier, vol. 293(C).
    8. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    9. P. Zhukov E. & П. Жуков Е., 2019. "Новые модели анализа изменений стоимости компании, основанные на стохастических ставках дисконтирования // New Models for Analyzing Changes in Company Value Based on Stochastic Discount Rates," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(3), pages 35-48.
    10. Schücking, Maximilian & Jochem, Patrick, 2020. "Two-stage stochastic program optimizing the total cost of ownership of electric vehicles in commercial fleets," Working Paper Series in Production and Energy 50, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
    11. Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023. "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 86(C).

  19. Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
    2. Latoszek Michał & Ślepaczuk Robert, 2020. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Economics and Business Review, Sciendo, vol. 6(1), pages 46-81, March.
    3. Björn Uhl, 2024. "Sharpe-optimal volatility futures carry," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 288-302, May.

  20. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    3. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
    4. Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
    5. Martin Magris & Perttu Barholm & Juho Kanniainen, 2017. "Implied volatility smile dynamics in the presence of jumps," Papers 1711.02925, arXiv.org, revised May 2020.
    6. Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Du, Kai, 2019. "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 134-157.
    8. Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).
    9. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    10. Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.

  21. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Wang, Cindy S.H. & Fan, Rui & Xie, Yiqiang, 2023. "Market systemic risk, predictability and macroeconomics news," Finance Research Letters, Elsevier, vol. 56(C).
    2. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    4. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Hristov, Nikolay & Hülsewig, Oliver, 2017. "Unexpected loan losses and bank capital in an estimated DSGE model of the euro area," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
    6. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
    7. Hattori, Takahiro & Yoshida, Jiro, 2023. "The impact of Bank of Japan’s exchange-traded fund purchases," Journal of Financial Stability, Elsevier, vol. 65(C).
    8. Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020. "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, vol. 52(C).
    9. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).

  22. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 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 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Rhea Choudhary, 2022. "Analysing the spillover effects of the South African Reserve Banks bond purchase programme," Working Papers 11025, South African Reserve Bank.
    3. Sensarma, Rudra & Bhattacharyya, Indranil, 2016. "The impact of monetary policy on corporate bonds in India," Journal of Policy Modeling, Elsevier, vol. 38(3), pages 587-602.
    4. Rhea Choudhary, 2022. "AnalysingthespillovereffectsoftheSouthAfricanReserveBanksbondpurchaseprogramme," Working Papers 11039, South African Reserve Bank.

  23. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?," Working Paper 2013/22, Norges Bank.

    Cited by:

    1. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
    2. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    3. Juan Carlos Cuestas, 2019. "Co-movement between residential and commercial housing prices: Evidence from a new database," Working Papers 2019/11, Economics Department, Universitat Jaume I, Castellón (Spain).

  24. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers 2013-005, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    3. Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    4. Guglielmo Maria Caporale & Alessandro Girardi, 2012. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin 1254, DIW Berlin, German Institute for Economic Research.
    5. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
    6. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    7. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
    8. Sheng Zhu & Ella Kavanagh & Niall O'Sullivan, 2021. "Constructing a financial conditions index for the United Kingdom: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2976-2989, April.
    9. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    10. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Estimating yield spreads volatility using GARCH-type models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    11. Daniela Scidá, 2023. "Structural VAR and financial networks: A minimum distance approach to spatial modeling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 49-68, January.
    12. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    13. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
    14. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    15. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
    16. Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019. "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 317-329, July.
    17. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).

  25. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.

    Cited by:

    1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
    2. Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini, 2020. "Toward a macroprudential regulatory framework for mutual funds," LIDAM Discussion Papers LFIN 2020008, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    5. Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
    6. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    7. Vegard H. Larsen & Leif Anders Thorsrud & Julia Zhulanova, 2019. "News-driven inflation expectations and information rigidities," Working Paper 2019/5, Norges Bank.
    8. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    9. MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
    10. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
    11. Felix Haase & Matthias Neuenkirch, 2023. "Macroeconomic Expectations and State-Dependent Factor Returns," Research Papers in Economics 2023-09, University of Trier, Department of Economics.

  26. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Liu, Xuan & Liu, Haiyong & Cai, Zongwu, 2024. "Time-varying relative risk aversion: Theoretical mechanism and empirical evidence," Journal of Empirical Finance, Elsevier, vol. 78(C).
    2. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    4. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    5. Junyong Lee & Kyounghun Lee & Frederick Dongchuhl Oh, 2023. "Religion and Equity Home Bias," Open Economies Review, Springer, vol. 34(5), pages 1015-1038, November.
    6. Loic Berger & Louis Eeckhoudt, 2021. "Risk, ambiguity, and the value of diversification," Working Papers 2021-iRisk-02, IESEG School of Management.
    7. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
    8. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
    9. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    10. Lin, Qian & Luo, Yulei & Sun, Xianming, 2022. "Robust investment strategies with two risky assets," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    11. Goodell, John W., 2019. "Comparing normative institutionalism with intended rationality in cultural-finance research," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 124-134.
    12. Huyên Pham & Xiaoli Wei & Chao Zhou, 2021. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Working Papers hal-01867133, HAL.
    13. Huyen Pham & Xiaoli Wei & Chao Zhou, 2018. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Papers 1809.01464, arXiv.org, revised Dec 2021.
    14. Eduard Gaar & David Scherer & Dirk Schiereck, 2022. "The home bias and the local bias: A survey," Management Review Quarterly, Springer, vol. 72(1), pages 21-57, February.
    15. Rossella Agliardi, 2018. "Value-at-risk under ambiguity aversion," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-13, December.
    16. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    17. Giulia Piccillo & Poramapa Poonpakdee, 2023. "Ambiguous Business Cycles, Recessions and Uncertainty: A Quantitative Analysis," CESifo Working Paper Series 10646, CESifo.
    18. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
    19. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
    20. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).

  27. Erik Berwart & Massimo Guidolin & Andreas Milidonis, 2013. "An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings," Working Papers 482, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P. & Papakyriakou, Panayiotis, 2015. "The adverse effects of systematic leakage ahead of official sovereign debt rating announcements," Journal of Financial Economics, Elsevier, vol. 116(3), pages 526-547.
    2. Bhattacharya, Utpal & Wei, Kelsey D. & Xia, Han, 2019. "Follow the money: Investor trading around investor-paid credit rating changes," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 68-91.
    3. Wai Choi Lee & Jianfu Shen & Tsun Se Cheong & Michal Wojewodzki, 2021. "Detecting conflicts of interest in credit rating changes: a distribution dynamics approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
    4. Quan M. P. Nguyen & Hung Xuan Do & Alexander Molchanov & Lily Nguyen & Nhut H. Nguyen, 2024. "Asymmetric trading responses to credit rating announcements from issuer‐ versus investor‐paid rating agencies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 51(1-2), pages 84-112, January.
    5. Milidonis, Andreas, 2013. "Compensation incentives of credit rating agencies and predictability of changes in bond ratings and financial strength ratings," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3716-3732.
    6. Tao Chen & Shinichi Kamiya & Pingyi Lou & Andreas Milidonis, 2023. "Analyst coverage, executive compensation and corporate risk‐taking: Evidence from property–casualty insurance firms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(4), pages 899-939, December.
    7. Florian Kiesel, 2021. "It's the tone, stupid! Soft information in credit rating reports and financial markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 553-585, September.
    8. Bonsall, Samuel B. & Gillette, Jacquelyn R. & Pundrich, Gabriel & So, Eric, 2024. "Conflicts of interest in subscriber-paid credit ratings," Journal of Accounting and Economics, Elsevier, vol. 77(1).
    9. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    10. Kraemer, Moritz & Klusak, Patrycja & Vu, Huong, 2020. "First-mover disadvantage - The sovereign ratings mousetrap," CEPS Papers 26352, Centre for European Policy Studies.

  28. Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Gradojevic Nikola, 2016. "Multi-criteria classification for pricing European options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 123-139, April.
    3. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    4. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    5. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
    6. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
    7. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    8. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    9. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
    10. Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
    11. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
    12. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    13. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    14. Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    16. Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    17. Shi, Yunkun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng & Zhang, Xuan, 2022. "Stock price default boundary: A Black-Cox model approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    18. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    19. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    20. Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.

  29. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets," Working Papers 2011-003, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
    2. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
    3. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns," Working Papers 416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

  30. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
    2. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    3. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
    4. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
    5. Yang, Lin & Pantelous, Athanasios A. & Assa, Hirbod, 2016. "Robust Stability, Stabilisation And H-Infinity Control For Premium-Reserve Models In A Markovian Regime Switching Discrete-Time Framework," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 747-778, September.
    6. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    7. Jun Lu & Shao Yi, 2022. "Reducing Overestimating and Underestimating Volatility via the Augmented Blending-ARCH Model," Applied Economics and Finance, Redfame publishing, vol. 9(2), pages 48-59, May.
    8. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Maddalena Cavicchioli, 2014. "Autocovariance and Linear Transformations of Markov Switching VARMA Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 275-289, December.
    10. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
    11. Onour, Ibrahim A., 2021. "The impact of COVID-19 pandemic shock on major Asian stock markets: evidence of decoupling effects," Economic Consultant, Scientific and Educational Initiative LLC, vol. 34(2), pages 21-32.
    12. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
    13. Andrea Bucci & Vito Ciciretti, 2021. "Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models," Papers 2104.03667, arXiv.org.
    14. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    16. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2015. "Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?," BAFFI CAREFIN Working Papers 1619, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    17. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 713-727, October.
    18. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
    19. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    20. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    21. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
    22. Blanka Horvath & Zacharia Issa & Aitor Muguruza, 2021. "Clustering Market Regimes using the Wasserstein Distance," Papers 2110.11848, arXiv.org.
    23. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
    24. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
    25. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    26. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    27. Nabil Maghrebi & Mark J. Holmes & Kosuke Oya, 2014. "Financial instability and the short-term dynamics of volatility expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 24(6), pages 377-395, March.
    28. Nikolaos Papanikolaou, 2020. "Markov-Switching Model of Family Income Quintile Shares," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(2), pages 207-222, June.
    29. Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
    30. Raeid Saqur & Ken Kato & Nicholas Vinden & Frank Rudzicz, 2024. "NIFTY Financial News Headlines Dataset," Papers 2405.09747, arXiv.org.
    31. Andrzej Geise & Mariola Pilatowska, 2013. "Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 175-194.
    32. Jun Lu & Shao Yi, 2022. "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers 2203.12456, arXiv.org.
    33. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    34. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    35. Gökçer Özgür, 2021. "Shadow banking and financial intermediation," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 731-757, November.
    36. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
    37. Balcilar, Mehmet & Usman, Ojonugwa & Duman, Gazi Murat, 2024. "Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions," Emerging Markets Review, Elsevier, vol. 62(C).
    38. Pami Dua & Divya Tuteja, 2017. "Impact Of Eurozone Sovereign Debt Crisis On China And India," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(05), pages 1137-1164, December.
    39. Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
    40. Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
    41. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
    42. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    43. Kristof Lommers & Ouns El Harzli & Jack Kim, 2021. "Confronting Machine Learning With Financial Research," Papers 2103.00366, arXiv.org, revised Mar 2021.
    44. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    45. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    46. Pham, Linh & Nguyen, Canh Phuc, 2022. "How do stock, oil, and economic policy uncertainty influence the green bond market?," Finance Research Letters, Elsevier, vol. 45(C).
    47. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
    48. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
    49. Hanna, Alan J., 2018. "A top-down approach to identifying bull and bear market states," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 93-110.

  31. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
    2. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    3. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    4. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    5. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
    6. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    7. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.

  32. Massimo Guidolin & Yu Man Tam, 2010. "A yield spread perspective on the great financial crisis: break-point test evidence," Working Papers 2010-026, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
    3. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.
    4. Rashad Hasanov & Prasad Sankar Bhattacharya, 2023. "Political regimes and financial crises," Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(4), pages 285-318, September.
    5. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    6. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    7. Choudhry, Taufiq, 2016. "Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 303-311.
    8. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
    9. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
    10. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    11. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns," Working Papers 416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    13. Yahya, Muhammad & Allahdadi, Mohammad Reza & Uddin, Gazi Salah & Park, Donghyun & Wang, Gang-Jin, 2024. "Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets," Finance Research Letters, Elsevier, vol. 59(C).
    14. Elyas Elyasiani & Jason Keegan, 2017. "Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks," Working Papers 17-5, Federal Reserve Bank of Philadelphia.
    15. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015. "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 247-256.
    16. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    17. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Estimating yield spreads volatility using GARCH-type models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    18. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    19. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
    20. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    21. Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 3-11, March.
    22. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    23. Paul Francois Muzindutsi & Sinethemba Mposelwa, 2016. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in Brics Countries: A Multivariate Co-integration Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 289-304, October.

  33. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
    2. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.
    3. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    4. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
    5. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    6. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    7. Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2024. "Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks," Papers 2407.15532, arXiv.org, revised Feb 2025.
    8. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance icma-dp2017-07, Henley Business School, University of Reading.
    9. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.

  34. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.

    Cited by:

    1. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
    2. Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012. "Optimal life-cycle portfolios for heterogeneous workers," Working papers 012, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    3. Alice A. Melkumian, 2012. "The Opportunity Cost of Holding a “Naive” Portfolio," Journal of Economic Insight, Missouri Valley Economic Association, vol. 38(1), pages 23-42.
    4. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
    5. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    6. Rohit Malhorta, 2016. "Demystifying Optimal Welfare Weights Controversy From A Social Strategist Perspective," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 5(2), pages 33-48, DECEMBER.
    7. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.

  35. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
    2. Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    4. Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
    5. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
    6. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
    7. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    8. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    9. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    10. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.
    11. Ma, Feng & Wu, Hanlin & Zeng, Qing, 2024. "Biodiversity and stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    12. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    13. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    14. Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, University of Reading.
    15. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    16. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
    17. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
    18. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    19. Panpan Zhu & Qingjie Zhou & Yinpeng Zhang, 2024. "Investor attention and consumer price index inflation rate: Evidence from the United States," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
    20. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    21. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
    23. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
    24. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    25. Massimo Guidolin & Stuart Hyde, 2012. "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers 455, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    26. Hao Chen & Zhixin Liu & Yinpeng Zhang & You Wu, 2020. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase," Sustainability, MDPI, vol. 12(6), pages 1-18, March.
    27. Constantin Anghelache & Madalina-Gabriela Anghel & Stefan Virgil Iacob, 2020. "The Market Risk Analysis By Quantification Method," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 170-180, October.

  36. Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers 2010-028, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018. "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers 2134, Cowles Foundation for Research in Economics, Yale University.
    2. Fast, Victoria & Sachs, Nikolai & Schnurr, Daniel, 2021. "Privacy Decision-Making in Digital Markets: Eliciting Individuals' Preferences for Transparency," 23rd ITS Biennial Conference, Online Conference / Gothenburg 2021. Digital societies and industrial transformations: Policies, markets, and technologies in a post-Covid world 238020, International Telecommunications Society (ITS).
    3. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2020. "Market Allocations under Ambiguity: A Survey," Post-Print halshs-02495663, HAL.
    4. Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
    5. Jim Engle-Warnick & Diego Pulido & Marine de Montaignac, 2016. "Trust, ambiguity, and financial decision-making," CIRANO Working Papers 2016s-44, CIRANO.
    6. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
    7. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    8. Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.
    9. Eduardo Corso & Maximo Sangiacomo, 2023. "Financial De-Dollarization in Argentina. When the Wind Always Blows from the East," BCRA Working Paper Series 2023106, Central Bank of Argentina, Economic Research Department.
    10. Mayberry, Robert & Boles, James S. & Donthu, Naveen & Lucke, James T., 2024. "Crisis response in an era of Knightian uncertainty," Journal of Business Research, Elsevier, vol. 170(C).
    11. Takashi Nishiwaki, 2021. "Does Ambiguity Generate Demand for Options?," Working Papers 2102, Waseda University, Faculty of Political Science and Economics.
    12. Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.
    13. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    14. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
    15. Xiaoyu Cheng, 2022. "Robust Data-Driven Decisions Under Model Uncertainty," Papers 2205.04573, arXiv.org.
    16. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
    17. Eric André, 2016. "Crisp monetary acts in multiple-priors models of decision under ambiguity," Post-Print hal-02311921, HAL.
    18. Dennis Dlugosch & Kristian Horn & Mei Wang, 2014. "Behavioral determinants of home bias - theory and experiment," Working Papers 2014-11, Faculty of Economics and Statistics, Universität Innsbruck.
    19. Friberg, Richard & Seiler, Thomas, 2017. "Risk and ambiguity in 10-Ks: An examination of cash holding and derivatives use," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 608-631.
    20. Lee, Deok-Hyeon & Min, Byoung-Kyu & Kim, Tong Suk, 2019. "Dispersion of beliefs, ambiguity, and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 43-56.
    21. Kellerer, Belinda, 2019. "Portfolio Optimization and Ambiguity Aversion," Junior Management Science (JUMS), Junior Management Science e. V., vol. 4(3), pages 305-338.
    22. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    23. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    24. Peijnenburg, Kim, 2018. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 1963-1994, October.
    25. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    26. Chen, An & Vanduffel, Steven & Wilke, Morten, 2025. "Optimal payoffs under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 320(3), pages 754-764.
    27. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    28. Fairley, Kim & Weitzel, Utz, 2017. "Ambiguity and risk measures in the lab and students’ real-life borrowing behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 67(C), pages 85-98.
    29. Tai-Yuen Hon & Massoud Moslehpour & Kai-Yin Woo, 2021. "Review on Behavioral Finance with Empirical Evidence," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 15-41, December.
    30. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
    31. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    32. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
    33. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    34. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    35. Evren, Özgür, 2019. "Recursive non-expected utility: Connecting ambiguity attitudes to risk preferences and the level of ambiguity," Games and Economic Behavior, Elsevier, vol. 114(C), pages 285-307.
    36. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 85-105.
    37. Christoph Kuzmics & Brian W. Rogers & Xiannong Zhang, 2022. "An Ellsberg paradox for ambiguity aversion," Papers 2212.03603, arXiv.org, revised Jan 2023.
    38. Luis García‐Feijóo & Ariel M. Viale, 2023. "Ambiguity and risk factors in bank stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 993-1019, December.
    39. Matthew Pritsker, 2012. "Knightian uncertainty and interbank lending," Supervisory Research and Analysis Working Papers RPA 12-4, Federal Reserve Bank of Boston.
    40. Rossella Agliardi, 2017. "Asymmetric Choquet random walks and ambiguity aversion or seeking," Theory and Decision, Springer, vol. 83(4), pages 591-602, December.
    41. He, Ying & Dyer, James S. & Butler, John C. & Jia, Jianmin, 2019. "An additive model of decision making under risk and ambiguity," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 78-92.
    42. N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
    43. Massimo Marinacci, 2015. "Model Uncertainty," Working Papers 553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    44. Garlappi, Lorenzo & Giammarino, Ron & Lazrak, Ali, 2017. "Ambiguity and the corporation: Group disagreement and underinvestment," Journal of Financial Economics, Elsevier, vol. 125(3), pages 417-433.
    45. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    46. Antoniou, Constantinos & Harris, Richard D.F. & Zhang, Ruogu, 2015. "Ambiguity aversion and stock market participation: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 57-70.
    47. Aurélien Baillon & Zhenxing Huang & Asli Selim & Peter P. Wakker, 2018. "Measuring Ambiguity Attitudes for All (Natural) Events," Econometrica, Econometric Society, vol. 86(5), pages 1839-1858, September.
    48. Kene Boun My & Marielle Brunette & Stéphane Couture & Sarah van Driessche, 2024. "Are ambiguity preferences aligned with risk preferences?," Post-Print hal-04642823, HAL.
    49. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    50. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    51. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    52. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
    53. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
    54. Kast, Robert & Lapied, André & Roubaud, David, 2014. "Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions," Economic Modelling, Elsevier, vol. 38(C), pages 495-503.
    55. Christoph Huber & Julia Rose, 2019. "Do individual attitudes towards imprecision survive in experimental asset markets?," Working Papers 2019-06, Faculty of Economics and Statistics, Universität Innsbruck.
    56. Anwer S. Ahmed & Andrew S. McMartin & Irfan Safdar, 2020. "Earnings volatility, ambiguity, and crisis‐period stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2939-2963, September.
    57. Wei-ling Chen & Leh-chyan So, 2014. "Validation of the Merton Distance to the Default Model under Ambiguity," JRFM, MDPI, vol. 7(1), pages 1-15, March.
    58. Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
    59. Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
    60. Takayuki Ogawa & Jun Sakamoto, 2021. "Welfare implications of mitigating investment uncertainty," Annals of Finance, Springer, vol. 17(4), pages 559-582, December.
    61. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    62. Len Patrick Dominic M. Garces & Yang Shen, 2024. "Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment," Papers 2407.02831, arXiv.org.
    63. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    64. Takao Asano & Yusuke Osaki, 2023. "Cross Risk Apportionment and Non-financial Correlated Background Uncertainty," KIER Working Papers 1098, Kyoto University, Institute of Economic Research.
    65. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
    66. Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
    67. Eisei Ohtaki & Hiroyuki Ozaki, 2013. "Monetary Equilibria and Knightian Uncertainty," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-032, Keio/Kyoto Joint Global COE Program.
    68. Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
    69. Laakkonen, Helinä, 2015. "Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market," Bank of Finland Research Discussion Papers 4/2015, Bank of Finland.
    70. Aleksandr Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series 2016/04, European University at St. Petersburg, Department of Economics.
    71. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    72. Nicole Bauerle & Antje Mahayni, 2023. "Optimal investment in ambiguous financial markets with learning," Papers 2303.08521, arXiv.org, revised Feb 2024.
    73. Wu, Keyu & Fehr, Ernst & Hofland, Sean & Schonger, Martin, 2024. "On the Psychological Foundations of Ambiguity and Compound Risk Aversion," IZA Discussion Papers 17032, Institute of Labor Economics (IZA).
    74. Eisei Ohtaki, 2016. "Optimality of the Friedman rule under ambiguity," Working Papers e103, Tokyo Center for Economic Research.
    75. Takayuki Ogawa & Jun Sakamoto, 2018. "Welfare Implications of Mitigating Investment Uncertainty," Discussion Papers in Economics and Business 18-33-Rev., Osaka University, Graduate School of Economics, revised Dec 2018.
    76. Andrea Albertazzi & Friederike Mengel & Ronald Peeters, 2021. "Benchmarking information aggregation in experimental markets," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1500-1516, October.
    77. Eduardo A. Corso & Máximo Sangiácomo, 2023. "Financial de-dollarization in Argentina. When the wind always blows from the East," Working Papers 256, Red Nacional de Investigadores en Economía (RedNIE).
    78. Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
    79. Mona Parsaei & Davood Askarany & Mahtab Maleki & Ali Rahmani, 2024. "Risk Management in Product Diversification: The Role of Managerial Overconfidence in Cost Stickiness—Evidence from Iran," Risks, MDPI, vol. 12(10), pages 1-21, September.
    80. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    81. Alyssa G. Anderson, 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
    82. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
    83. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
    84. Qi, Jin & Sim, Melvyn & Sun, Defeng & Yuan, Xiaoming, 2016. "Preferences for travel time under risk and ambiguity: Implications in path selection and network equilibrium," Transportation Research Part B: Methodological, Elsevier, vol. 94(C), pages 264-284.
    85. Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye, 2013. "Sparse Portfolio Selection via Quasi-Norm Regularization," Papers 1312.6350, arXiv.org.
    86. Aggarwal, Divya & Damodaran, Uday, 2020. "Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    87. Bäuerle, Nicole & Mahayni, Antje, 2024. "Optimal investment in ambiguous financial markets with learning," European Journal of Operational Research, Elsevier, vol. 315(1), pages 393-410.
    88. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    89. Eduardo Ariel Corso, 2014. "Ambiguity, ambiguity aversion and stores of value: The case of Argentina," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-13, December.
    90. Alexander Peysakhovich & Uma R. Karmarkar, 2016. "Asymmetric Effects of Favorable and Unfavorable Information on Decision Making Under Ambiguity," Management Science, INFORMS, vol. 62(8), pages 2163-2178, August.
    91. Attaoui, Sami & Cao, Wenbin & Duan, Xiaoman & Liu, Hening, 2021. "Optimal capital structure, ambiguity aversion, and leverage puzzles," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    92. Aram Balagyozyan & Christos Giannikos, 2018. "Ambiguity and the Excess Consumption Growth Puzzle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 5-15, June.
    93. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.

  37. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
    2. C.J.M. Kool & D.L. Thornton, 2012. "How Effective Is Central Bank Forward Guidance?," Working Papers 12-05, Utrecht School of Economics.
    3. Daniel L. Thornton, 2012. "Greenspan’s conundrum and the Fed’s ability to affect long-term yields," Working Papers 2012-036, Federal Reserve Bank of St. Louis.
    4. Michael Wickens, 2022. "Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis," Open Economies Review, Springer, vol. 33(3), pages 391-406, July.
    5. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    7. Daniel L. Thornton, 2012. "The Federal Reserve’s response to the financial crisis: what it did and what it should have done," Working Papers 2012-050, Federal Reserve Bank of St. Louis.
    8. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    9. Daniel L. Thornton, 2012. "Evidence on the portfolio balance channel of quantitative easing," Working Papers 2012-015, Federal Reserve Bank of St. Louis.
    10. Peter Tulip & Stephanie Wallace, 2012. "Estimates of Uncertainty around the RBA's Forecasts," RBA Research Discussion Papers rdp2012-07, Reserve Bank of Australia.
    11. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    12. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    13. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    14. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    15. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  38. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
    2. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
    3. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
    4. M. Mallikarjuna & R. Prabhakara Rao, 2019. "Evaluation of forecasting methods from selected stock market returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
    5. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
    6. Yi Wei, 2021. "Absolute Value Constraint: The Reason for Invalid Performance Evaluation Results of Neural Network Models for Stock Price Prediction," Papers 2101.10942, arXiv.org, revised Mar 2021.
    7. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    8. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Energies, MDPI, vol. 15(22), pages 1-26, November.
    10. De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers 09-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    11. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
    12. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    13. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
    14. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.
    15. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
    16. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    17. David G McMillan, 2012. "Long-run stock price-house price relation: evidence from an ESTR model," Economics Bulletin, AccessEcon, vol. 32(2), pages 1737-1746.
    18. Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    19. Shiu-Sheng Chen, 2012. "Consumer confidence and stock returns over market fluctuations," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1585-1597, October.
    20. George Kapetanios & James Mitchell & Yongcheol Shin, 2010. "A Nonlinear Panel Model of Cross-sectional Dependence," Working Papers 673, Queen Mary University of London, School of Economics and Finance.
    21. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    22. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
    23. Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
    24. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
    25. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    26. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    27. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    28. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    29. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    30. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    31. Andrés Felipe Galeano Zurbaran, 2018. "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo 17208, Quantil.
    32. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    33. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
    34. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    35. Juan Carlos Escanciano, 2010. "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models," CAEPR Working Papers 2010-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    36. David G. McMillan, 2012. "Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 125-143, March.
    37. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
    38. Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.
    39. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    40. Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019. "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, vol. 66(C).
    41. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    42. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.

  39. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    2. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    4. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    5. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    6. Meyer, Steffen & Uhr, Charline, 2024. "Ambiguity and private investors’ behavior after forced fund liquidations," Journal of Financial Economics, Elsevier, vol. 156(C).
    7. N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
    8. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
    9. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    10. Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
    11. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    12. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    13. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
    14. Hassett, Kevin & Zhong, Weifeng, 2017. "On the Observational Implications of Knightian Uncertainty," MPRA Paper 82998, University Library of Munich, Germany.
    15. Alyssa G. Anderson, 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
    16. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.

  40. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," CeRP Working Papers 82, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Massimo Guidolin & Alexei Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1890, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012. "Optimal life-cycle portfolios for heterogeneous workers," Working papers 012, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    4. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    6. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
    7. Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," Post-Print hal-03592183, HAL.
    8. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, June.
    9. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    10. Aharon, David Y. & Ali, Shoaib & Brahim, Mariem, 2024. "Connectedness at extremes between real estate tokens and real estate stocks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    11. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    12. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
    13. Yanotti, Maria B. & Kangogo, Moses & Wright, Danika & Sarkar, Somwrita & Lyu, Fei, 2024. "House price dynamics and internal migration across Australia," SocArXiv r5eg2, Center for Open Science.
    14. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    15. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
    16. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    17. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    18. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
    19. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.
    20. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.
    21. Salisu, Afees A. & Akinsomi, Omokolade & Ametefe, Frank Kwakutse & Hammed, Yinka S., 2024. "Gold market volatility and REITs' returns during tranquil and turbulent episodes," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    22. Agyemang, Abraham & Chowdhury, Iftekhar & Balli, Faruk, 2021. "Quantifying Return Spillovers in Global Real Estate Markets," Journal of Housing Economics, Elsevier, vol. 52(C).

  41. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    3. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    4. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.

  42. Guidolin, Massimo & Thornton, Daniel L., 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 977, European Central Bank.

    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    2. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    3. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
    4. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    5. C.J.M. Kool & D.L. Thornton, 2012. "How Effective Is Central Bank Forward Guidance?," Working Papers 12-05, Utrecht School of Economics.
    6. Renato França & Raquel M. Gaspar, 2023. "On the Bias of the Unbiased Expectation Theory," Mathematics, MDPI, vol. 12(1), pages 1-20, December.
    7. Emanuel R. Leao & Sergio C. Lagoa & David McMillan, 2015. "A contribution to the study of the German treasury bills market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1024927-102, December.
    8. Hans Patrick Bidias-Menik & Simplice Gaël Tonmo, 2020. "Interest Rate Predictability In Some Selected African Countries," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 45-60.
    9. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
    10. Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
    11. Daniel L. Thornton, 2012. "How did we get to inflation targeting and where do we need to go to now? a perspective from the U.S. experience," Review, Federal Reserve Bank of St. Louis, vol. 94(Jan), pages 65-81.
    12. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    13. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    14. Daniel L. Thornton, 2009. "How did we get to inflation targeting and where do we go now? a perspective from the U.S. experience," Working Papers 2009-038, Federal Reserve Bank of St. Louis.
    15. K. Azim Özdemir & Özgür Özel, 2011. "Regime changes in monetary policy and the Expectation Hypothesis of the term structure in Turkey," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 261-274, May.
    16. Paul Francois Muzindutsi & Sinethemba Mposelwa, 2016. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in Brics Countries: A Multivariate Co-integration Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 289-304, October.

  43. Massimo Guidolin & Simona Mola, 2007. "Affiliated mutual funds and analyst optimism," Working Papers 2007-017, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Michael Firth & Chen Lin & Ping Liu & Yuhai Xuan, 2013. "The Client Is King: Do Mutual Fund Relationships Bias Analyst Recommendations?," Journal of Accounting Research, Wiley Blackwell, vol. 51(1), pages 165-200, March.
    2. Ben, Fang & Li, Zhe & Sun, Jing & Wang, Hongmei & Zhao, Xin, 2024. "Ecological product value accounting and analyst behavior," International Review of Financial Analysis, Elsevier, vol. 94(C).
    3. Cheolwoo Lee, 2013. "Analyst firm parent–subsidiary relationship and conflict of interest: evidence from IPO recommendations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 763-789, September.
    4. Meng, Yifan & Yang, Mo & Li, Weiping, 2024. "Skilled analysts and earnings management in Chinese listed companies," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 227-243.
    5. Luong, Thanh Son & Qiu, Buhui & Wu, Yi (Ava), 2021. "Does it pay to be socially connected with wall street brokerages? Evidence from cost of equity," Journal of Corporate Finance, Elsevier, vol. 68(C).
    6. Li, Qian & Liu, Shangqun, 2023. "Does alternative data reduce stock price crash risk? Evidence from third-party online sales disclosure in China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    7. Wu, Yanran & Liu, Tingting & Han, Liyan & Yin, Libo, 2018. "Optimistic bias of analysts' earnings forecasts: Does investor sentiment matter in China?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 147-163.
    8. Zeng, Yamin & Yuan, Qingbo & Zhang, Junsheng, 2015. "Blurred stars: Mutual fund ratings in the shadow of conflicts of interest," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 284-295.
    9. Chan, Jesse & Lin, Steve & Yu, Yong & Zhao, Wuyang, 2018. "Analysts’ stock ownership and stock recommendations," Journal of Accounting and Economics, Elsevier, vol. 66(2), pages 476-498.
    10. Zhao, Chen & Li, Yubin & Govindaraj, Suresh & Zhong, Zhaodong (Ken), 2022. "CDS trading and analyst optimism," The British Accounting Review, Elsevier, vol. 54(4).
    11. Mary J. Benner & Ram Ranganathan, 2013. "Divergent Reactions to Convergent Strategies: Investor Beliefs and Analyst Reactions During Technological Change," Organization Science, INFORMS, vol. 24(2), pages 378-394, April.
    12. Krolikowski, Marcin W. & Chen, Gaole & Mohr, Joseph E., 2016. "Optimism pattern of all-star analysts," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 222-228.
    13. William Baker & Gregory Dumont, 2014. "Equity Analyst Recommendations: A Case for Affirmative Disclosure?," Journal of Consumer Affairs, Wiley Blackwell, vol. 48(1), pages 96-123, March.
    14. Bagattini, Giulio & Fecht, Falko & Maddaloni, Angela, 2023. "Liquidity support and distress resilience in bank-affiliated mutual funds," SAFE Working Paper Series 385, Leibniz Institute for Financial Research SAFE.
    15. Benjamin Golez & José M. Marín, 2010. "Price support in the stock market," Working Papers 2010-16, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    16. Ayadi, Mohamed A. & Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2018. "Impact of sponsorship on fixed-income fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 121-137.
    17. Huang, Haozhi & Li, Mingsheng & Shi, Jing, 2016. "Which matters: “Paying to play” or stable business relationship? Evidence on analyst recommendation and mutual fund commission fee payment," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 403-423.
    18. Li, Shi & Wu, Chaopeng & Yang, Shijie, 2021. "Affiliated block shareholders and analyst optimism," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    19. Sun, Qian & Cheng, Xiaoke & Gao, Shenghao & Yang, Mingjing, 2020. "Are SEO investors misled by analyst optimism bias? Evidence from investor bids in SEO auctions," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 90-104.
    20. Zhang, Yuan-Yuan & Zhang, Yue-Jun, 2022. "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    21. David Hirshleifer & Yaron Levi & Ben Lourie & Siew Hong Teoh, 2018. "Decision Fatigue and Heuristic Analyst Forecasts," NBER Working Papers 24293, National Bureau of Economic Research, Inc.
    22. Chih-Hsiang Chang & Shan-Shan Chen & Song-Lin Hsieh, 2017. "Asymmetric Reinforcement Learning and Conditioned Responses During the 2007–2009 Global Financial Crisis: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, June.
    23. Sun, Lin & Teo, Melvyn, 2019. "Public hedge funds," Journal of Financial Economics, Elsevier, vol. 131(1), pages 44-60.
    24. Leilei Gu & Jinyu Liu & Yuchao Peng, 2022. "Locality Stereotype, CEO Trustworthiness and Stock Price Crash Risk: Evidence from China," Journal of Business Ethics, Springer, vol. 175(4), pages 773-797, February.
    25. Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei, 2019. "Do analyst recommendations matter for rival companies?," International Review of Financial Analysis, Elsevier, vol. 65(C).
    26. Zhang, Chaolin & Yu, Fangbo, 2024. "Can local fintech development improve analysts’ earnings forecast accuracy? Evidence from China," Finance Research Letters, Elsevier, vol. 63(C).
    27. Wang, Ying & Liu, Zisen, 2024. "Under the dome: Air pollution and analyst forecast optimism," Research in International Business and Finance, Elsevier, vol. 70(PA).
    28. Yury O. Kucheev & Felipe Ruiz & Tomas Sorensson, 2017. "Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine," Journal of Financial Services Research, Springer;Western Finance Association, vol. 52(3), pages 277-305, December.
    29. Jiao, Yawen, 2024. "Managing decision fatigue: Evidence from analysts’ earnings forecasts," Journal of Accounting and Economics, Elsevier, vol. 77(1).
    30. Gong, Xiao-Li & Liu, Jia, 2023. "Institutional investor information network, analyst forecasting and stock price crash risk," Research in International Business and Finance, Elsevier, vol. 65(C).
    31. Andreas Charitou & Irene Karamanou, 2020. "Sleeping with the enemy: should investment banks be allowed to engage in prop trading?," Review of Accounting Studies, Springer, vol. 25(2), pages 513-557, June.
    32. Juyoun Ryoo & Cheolwoo Lee & Jin Q Jeon, 2020. "Sustainability of Analyst Recommendations in Multiple Lead Underwriter IPOs," Sustainability, MDPI, vol. 12(5), pages 1-36, March.
    33. Golez, Benjamin & Marin, Jose M., 2015. "Price support by bank-affiliated mutual funds," Journal of Financial Economics, Elsevier, vol. 115(3), pages 614-638.
    34. Chen, Tao & Harford, Jarrad & Lin, Chen, 2015. "Do analysts matter for governance? Evidence from natural experiments," Journal of Financial Economics, Elsevier, vol. 115(2), pages 383-410.
    35. Jordan, Bradford D. & Liu, Mark H. & Wu, Qun, 2012. "Do investment banks listen to their own analysts?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1452-1463.
    36. An, Suwei, 2023. "Essays on incentive contracts, M&As, and firm risk," Other publications TiSEM dd97d2f5-1c9d-47c5-ba62-f, Tilburg University, School of Economics and Management.
    37. Huang, Lixin & Li, Wei & Wang, Hong & Wu, Liansheng, 2022. "Stock dividend and analyst optimistic bias in earnings forecast," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 643-659.
    38. Kam C. Chan & Xuanyu Jiang & Donghui Wu & Nianhang Xu & Hong Zeng, 2020. "When Is the Client King? Evidence from Affiliated‐Analyst Recommendations in China's Split‐Share Reform," Contemporary Accounting Research, John Wiley & Sons, vol. 37(2), pages 1044-1072, June.
    39. Kaplanski, Guy & Levy, Haim, 2017. "Analysts and sentiment: A causality study," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 315-327.
    40. Wu, Yanran & Wu, Shan & Xu, Fujia & Jiang, Jie, 2024. "Wisdom of crowds or awkward squad? Social interaction and the information efficiency of the Chinese capital market," Research in International Business and Finance, Elsevier, vol. 71(C).
    41. Prem G. Mathew & H. Semih Yildirim, 2015. "Does director affiliation lead to analyst bias?," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 272-287, January.
    42. Jeremy Burke & Angela A. Hung & Jack Clift & Steven Garber & Joanne K. Yoong, 2015. "Impacts of Conflicts of Interest in the Financial Services Industry," Working Papers WR-1076, RAND Corporation.
    43. Kong, Dongmin & Lin, Zhiyang & Wang, Yanan & Xiang, Junyi, 2021. "Natural disasters and analysts' earnings forecasts," Journal of Corporate Finance, Elsevier, vol. 66(C).
    44. Jose N. Uribe, 2020. "Multipoint contact without forbearance? How coverage synergies shape equity analysts' forecasting performance," Strategic Management Journal, Wiley Blackwell, vol. 41(10), pages 1901-1932, October.
    45. Li, Yi & Zhang, Wei & Wang, Pengfei, 2021. "Working online or offline: Which is more effective?," Research in International Business and Finance, Elsevier, vol. 58(C).
    46. Haozhi Huang & Mingsheng Li & Jing Shi, 2020. "Should Financial Gatekeepers be Publicly Traded?," Journal of Business Ethics, Springer, vol. 164(1), pages 175-200, June.
    47. Samie Ahmed Sayed, 2016. "Are Stars Worth Following? Measuring the Target Price Predictive Ability of Star Analysts in an Emerging Market," IIM Kozhikode Society & Management Review, , vol. 5(2), pages 173-185, July.
    48. Felipe Cortes & Francisco Marcet, 2023. "Analysts’ Connections and M&A Outcomes," Management Science, INFORMS, vol. 69(7), pages 4108-4133, July.
    49. Xu, Nianhang & Jiang, Xuanyu & Chan, Kam C. & Yi, Zhihong, 2013. "Analyst coverage, optimism, and stock price crash risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 217-239.
    50. Mo, Kyoungwon & Lee, Kyung Yun, 2021. "Affiliated Mutual Fund Investments and Discretionary Accruals: Evidence from Korea," Finance Research Letters, Elsevier, vol. 43(C).
    51. Armen Hovakimian & Ekkachai Saenyasiri, 2014. "US Analyst Regulation and the Earnings Forecast Bias around the World," European Financial Management, European Financial Management Association, vol. 20(3), pages 435-461, June.
    52. Tupper, Christina H. & Guldiken, Orhun & Benischke, Mirko, 2018. "Capital market liability of foreignness of IPO firms," Journal of World Business, Elsevier, vol. 53(4), pages 555-567.

  44. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
    2. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    4. Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018. "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 92-108.
    5. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    6. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
    7. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    8. Massimo Guidolin & Stuart Hyde, 2012. "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers 455, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

  45. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    2. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
    3. Gurudeo Anand Tularam & Rajibur Reza, 2016. "Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1139437-113, December.
    4. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    5. Managi, Shunsuke & Okimoto, Tatsuyoshi & Matsuda, Akimi, 2012. "Do Socially Responsible Investment Indexes Outperform Conventional Indexes?," MPRA Paper 36662, University Library of Munich, Germany.

  46. Timmermann, Allan & Guidolin, Massimo, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    2. Zi‐Yi Guo, 2021. "Out‐of‐sample performance of bias‐corrected estimators for diffusion processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 243-268, March.
    3. John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
    4. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
    6. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
    7. Audrino, Francesco & Serwart, Jan, 2024. "Yield curve trading strategies exploiting sentiment data," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    8. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
    9. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
    10. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    13. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    14. Daniel L. Thornton, 2005. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Papers 2004-010, Federal Reserve Bank of St. Louis.
    15. Safari, Ali & Davallou, Maryam, 2018. "Oil price forecasting using a hybrid model," Energy, Elsevier, vol. 148(C), pages 49-58.
    16. Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
    17. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    18. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
    19. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    20. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
    21. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
    22. Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    23. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    24. Benavides Guillermo & Capistrán Carlos, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
    25. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
    26. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    27. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
    28. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    29. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    30. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 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 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    31. Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
    32. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    33. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    34. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    35. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    36. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    37. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    38. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    39. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
    40. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
    41. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
    42. Hamid Baghestani & Mohammad Arzaghi & Ilker Kaya, 2015. "On the accuracy of Blue Chip forecasts of interest rates and country risk premiums," Applied Economics, Taylor & Francis Journals, vol. 47(2), pages 113-122, January.
    43. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    44. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    45. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    46. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.

  47. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Zhu, Dong-Mei & Lu, Jiejun & Ching, Wai-Ki & Siu, Tak-Kuen, 2017. "Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model," Economic Modelling, Elsevier, vol. 66(C), pages 223-232.
    2. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    3. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
    5. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
    6. Wu, Bo & Li, Lingfei, 2024. "Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    7. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    8. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
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  49. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Aekkachai NITTAYAGASETWAT & Jiroj BURANASIRI, 2016. "Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 3(1), pages 208-219, October.
    2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
    3. Diego Salzman, 2013. "Behavioural Real Estate," ERES eres2013_334, European Real Estate Society (ERES).
    4. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Gregory H. MacKinnon & Ashraf Al Zaman, 2009. "Real Estate for the Long Term: The Effect of Return Predictability on Long‐Horizon Allocations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 117-153, March.
    6. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    7. Marie Briere & Ombretta Signori, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," ULB Institutional Repository 2013/167772, ULB -- Universite Libre de Bruxelles.
    8. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    9. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
    10. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    11. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    12. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    13. Diego A. Salzman & Remco C.J. Zwinkels, 2013. "Behavioural Real Estate," Tinbergen Institute Discussion Papers 13-088/IV/DSF58, Tinbergen Institute.
    14. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago.
    15. Eli Beracha & David H. Downs & Greg MacKinnon, 2017. "The 4% rule: Does real estate make a difference?," Journal of Property Research, Taylor & Francis Journals, vol. 34(3), pages 181-210, July.
    16. Zhu Bing, 2018. "The Time-Varying Nature of Reits," Real Estate Management and Valuation, Sciendo, vol. 26(1), pages 26-38, March.
    17. Zaghum Umar & Dennis Olson, 2022. "Strategic asset allocation and the demand for real estate: international evidence," Empirical Economics, Springer, vol. 62(5), pages 2461-2513, May.
    18. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.
    19. Fabrice Barthélémy & Charles-Olivier Amédée-Manesme & Jean-Luc Prigent, 2015. "Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion," THEMA Working Papers 2015-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    20. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
    21. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
    22. Elias OIKARINEN & Martin HOESLI & Camilo SERRANO, 2009. "Linkages Between Direct and Securitized Real Estate," Swiss Finance Institute Research Paper Series 09-26, Swiss Finance Institute.
    23. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    24. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
    25. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
    26. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    27. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    28. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
    29. Giorgio Bellettini & Filippo Taddei, 2009. "Real Estate Prices and the Importance of Bequest Taxation," Carlo Alberto Notebooks 107, Collegio Carlo Alberto, revised 2011.
    30. Christian Rehring & Steffen Sebastian, 2010. "Dynamics Of Commercial Real Estate Asset Markets, Return Volatility, And The Investment Horizon," ERES eres2010_134, European Real Estate Society (ERES).
    31. Bellettini Giorgio & Taddei Filippo & Zanella Giulio, 2013. "Bequest taxes, donations, and house prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 355-379, October.

  50. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
    2. Argyropoulos, Christos & Candelon, Bertrand & Hasse, Jean-Baptiste & Panopoulou, Ekaterini, 2020. "Toward a macroprudential regulatory framework for mutual funds," LIDAM Discussion Papers LFIN 2020008, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
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    87. Hettihewa, Samanthala & Saha, Shrabani & Zhang, Hanxiong, 2018. "Does an aging population influence stock markets? Evidence from New Zealand," Economic Modelling, Elsevier, vol. 75(C), pages 142-158.
    88. Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
    89. Christos Kollias & Stephanos Papadamou & Vangelis Arvanitis, 2013. "Does Terrorism Affect the Stock‐Bond Covariance? Evidence from European Countries," Southern Economic Journal, John Wiley & Sons, vol. 79(4), pages 832-848, April.
    90. Abdelbaki, Hisham, 2013. "The Impact of Arab Spring on Stock Market Performance," MPRA Paper 54814, University Library of Munich, Germany.
    91. Chen, Junyi & Kibriya, Shahriar & Bessler, David & Price, Edwin, 2015. "A Causal Exploration of Conflict Events and Commodity Prices of Sudan," MPRA Paper 62461, University Library of Munich, Germany.

  52. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2005. "Investing for the Long-Run in European Real Estate. Does Predictability Matter?," CeRP Working Papers 40, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.

  53. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Sciubba, E., 1999. "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics 9909, Faculty of Economics, University of Cambridge.
    2. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    3. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
    4. Suda, J., 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
    5. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    6. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.

  54. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    2. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
    3. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    4. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    6. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    7. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    8. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    9. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    10. Schlosser, William E., 2020. "Real price appreciation forecast tool: Two delivered log market price cycles in the Puget Sound markets of western Washington, USA, from 1992 through 2019," Forest Policy and Economics, Elsevier, vol. 113(C).
    11. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
    12. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
    13. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    14. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    15. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    16. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    17. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).

  55. Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
    2. Amine Bouden, 2008. "The Behavior Of The Implied Volatility Surface: Evidence From Crude Oil Futures Options," World Scientific Book Chapters, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), Risk Management And Value Valuation and Asset Pricing, chapter 8, pages 151-175, World Scientific Publishing Co. Pte. Ltd..
    3. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.

  56. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    2. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    3. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
    5. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    6. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    7. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
    8. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    9. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    10. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    11. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    12. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    13. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.

  57. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, August.
    2. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    3. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.

  58. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
    2. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Leonard C. MacLean & Yonggan Zhao & William T. Ziemba, 2016. "Optimal capital growth with convex shortfall penalties," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 101-117, January.
    4. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
    5. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
    6. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
    7. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
    8. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    9. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    10. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
    11. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
    12. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    13. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    14. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    15. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    16. Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
    17. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
    18. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
    19. Urom, Christian & Onwuka, Kevin O. & Uma, Kalu E. & Yuni, Denis N., 2020. "Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns," International Economics, Elsevier, vol. 161(C), pages 10-29.
    20. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
    21. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
    22. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2013. "Investor herds and regime-switching: Evidence from Gulf Arab stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 295-321.
    23. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Downside risk reduction using regime-switching signals: a statistical jump model approach," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 493-507, September.
    24. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
    25. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    26. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    27. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
    28. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    29. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    30. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    31. Hammerschmid, Regina & Lohre, Harald, 2018. "Regime shifts and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 138-160.
    32. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
    33. Daniel de Almeida & Ana-Maria Fuertes & Luiz Koodi Hotta, 2025. "Out-of-Sample Predictability of the Equity Risk Premium," Mathematics, MDPI, vol. 13(2), pages 1-23, January.
    34. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    35. Eraslan, Sercan, 2016. "Safe-haven demand for housing in London," Economic Modelling, Elsevier, vol. 58(C), pages 482-493.
    36. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
    37. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
    38. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
    39. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
    40. Donatien Hainaut & Renaud MacGilchrist, 2012. "Strategic asset allocation with switching dependence," Annals of Finance, Springer, vol. 8(1), pages 75-96, February.
    41. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
    42. Mei, Dexiang & Ma, Feng & Liao, Yin & Wang, Lu, 2020. "Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models," Energy Economics, Elsevier, vol. 86(C).
    43. CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008. "Modeling international financial returns with a multivariate regime switching copula," LIDAM Discussion Papers CORE 2008013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    44. Chang, Kuang-Liang, 2022. "Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets?," Finance Research Letters, Elsevier, vol. 47(PA).
    45. John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
    46. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
    47. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
    48. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    49. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    50. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    51. Wu, Chih-Chiang & Liang, Shin-Shun, 2011. "The economic value of range-based covariance between stock and bond returns with dynamic copulas," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 711-727, September.
    52. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
    53. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
    54. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
    55. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    56. Dungey, Mardi H. & Flavin, Thomas & Sheenan, Lisa, 2020. "Banks and Sovereigns: Did Adversity Bring Them Closer?," QBS Working Paper Series 2020/05, Queen's University Belfast, Queen's Business School.
    57. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
    58. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, June.
    59. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
    60. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    61. Lee, Chia-Hao & Chou, Pei-I, 2020. "Structural breaks in the correlations between Asian and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    62. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
    63. Flavin, Thomas J. & Morley, Ciara E. & Panopoulou, Ekaterini, 2014. "Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 137-154.
    64. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    65. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.
    66. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    67. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    68. Arjan Berkelaar & Roy Kouwenberg, 2010. "A liability-relative drawdown approach to pension asset liability management," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 194-217, June.
    69. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    70. Gigante, Gimede & Guarniero, Pieralberto & Pasini, Simona, 2024. "Markovian analysis of U.S. Treasury volatility: Asymmetric responses to macroeconomic announcements," Economics Letters, Elsevier, vol. 239(C).
    71. Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas, 2013. "Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach," Working Papers 13-03, Office of Financial Research, US Department of the Treasury.
    72. Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
    73. Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.
    74. MacLean, Leonard C. & Zhao, Yonggan & Ziemba, William T., 2014. "Optimal capital growth with convex shortfall penalties," LSE Research Online Documents on Economics 59292, London School of Economics and Political Science, LSE Library.
    75. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
    76. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    77. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2010. "What does financial volatility tell us about macroeconomic fluctuations?," MPRA Paper 34104, University Library of Munich, Germany, revised Jun 2011.
    78. Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    79. Constantin Anghelache & Marius Popovici & Alina – Georgiana Solomon & Emilia Stanciu, 2017. "Aggregates in Real Expression and Price Indices by Deflation," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(6), pages 1053-1060, June.
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    84. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
    85. Zeynep Senyuz & Emre Yoldas, 2015. "Financial Stress and Equilibrium Dynamics in Money Markets," Finance and Economics Discussion Series 2015-91, Board of Governors of the Federal Reserve System (U.S.).
    86. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
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    92. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    93. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
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    95. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
    96. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
    97. Flavin, Thomas J. & Lagoa-Varela, Dolores, 2021. "On the stability of stock-bond comovements across market conditions in the Eurozone periphery," Global Finance Journal, Elsevier, vol. 49(C).
    98. Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022. "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, vol. 113(C).
    99. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
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    103. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    104. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
    105. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    106. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    107. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    108. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
    109. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    110. Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
    111. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
    112. Markus Hahn & Sylvia Frühwirth-Schnatter & Jörn Sass, 2009. "Estimating models based on Markov jump processes given fragmented observation series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 403-425, December.
    113. Piñeiro-Chousa, Juan & López-Cabarcos, M. Ángeles & Šević, Aleksandar, 2022. "Green bond market and Sentiment: Is there a switching Behaviour?," Journal of Business Research, Elsevier, vol. 141(C), pages 520-527.
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    117. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.
    118. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
    119. Yanlin Shi, 2023. "Long memory and regime switching in the stochastic volatility modelling," Annals of Operations Research, Springer, vol. 320(2), pages 999-1020, January.
    120. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    121. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    122. Feng, Lingbing & Rao, Haicheng & Lucey, Brian & Zhu, Yiying, 2024. "Volatility forecasting on China's oil futures: New evidence from interpretable ensemble boosting trees," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1595-1615.
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    124. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
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    126. Ayben Koy, 2017. "Modelling Nonlinear Dynamics of Oil Futures Market," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(1), pages 23-42, June.
    127. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
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    130. Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023. "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
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    135. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.
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  59. Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    3. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
    5. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    6. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
    7. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    8. Liu, Xialu & Xiao, Han & Chen, Rong, 2016. "Convolutional autoregressive models for functional time series," Journal of Econometrics, Elsevier, vol. 194(2), pages 263-282.
    9. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
    10. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
    11. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    12. Chunbo Liu & Cheng Zhang & Zhiping Zhou, 2018. "From funding liquidity to market liquidity: Evidence from the index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1189-1205, October.
    13. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    14. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
    15. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    16. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    17. Mihir Dash, 2019. "Modeling of implied volatility surfaces of nifty index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-11, September.
    18. Le, Van & Zurbruegg, Ralf, 2010. "The role of trading volume in volatility forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 533-555, December.
    19. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
    20. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
    21. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
    22. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    23. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
    24. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    25. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    26. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    27. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    28. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    29. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
    30. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    31. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
    32. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    33. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    34. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
    35. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
    36. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
    37. Jiayi Luo & Cindy Long Yu, 2023. "The Application of Symbolic Regression on Identifying Implied Volatility Surface," Mathematics, MDPI, vol. 11(9), pages 1-28, April.
    38. Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    39. Yue, Tian & Gehricke, Sebastian A. & Zhang, Jin E. & Pan, Zheyao, 2021. "The implied volatility smirk in the Chinese equity options market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    40. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.
    41. Chen, Si & Zhou, Zhen & Li, Shenghong, 2016. "An efficient estimate and forecast of the implied volatility surface: A nonlinear Kalman filter approach," Economic Modelling, Elsevier, vol. 58(C), pages 655-664.
    42. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    43. Jiahao Weng & Yan Xie, 2024. "Degree of Irrationality: Sentiment and Implied Volatility Surface," Papers 2405.11730, arXiv.org.
    44. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    45. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
    46. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
    47. Pham, Linh & Do, Hung Xuan, 2022. "Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management," Energy Economics, Elsevier, vol. 112(C).
    48. Zihao Chen & Yuyang Li & Cindy Long Yu, 2024. "Modeling Implied Volatility Surface Using B-Splines with Time-Dependent Coefficients Predicted by Tree-Based Machine Learning Methods," Mathematics, MDPI, vol. 12(7), pages 1-30, April.
    49. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    50. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    51. Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L., 2019. "Intraday information from S&P 500 Index futures options," Journal of Financial Markets, Elsevier, vol. 42(C), pages 29-55.

  60. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Volker Wieland & Christos Koulovatianos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," 2011 Meeting Papers 1417, Society for Economic Dynamics.
    2. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, August.
    3. Koulovatianos, Christos, 2010. "A Paradox of Environmental Awareness Campaigns," MPRA Paper 27260, University Library of Munich, Germany.
    4. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
    5. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    6. Subrahmanyam, Avanidhar, 2008. "Learning from experience and trading volume," Review of Financial Economics, Elsevier, vol. 17(4), pages 245-260, December.
    7. Hommes, C.H. & Zhu, M., 2012. "Behavioral Learning Equilibria," CeNDEF Working Papers 12-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    8. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    9. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    10. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll‐over Assumption for the Risk‐Free Asset," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 125-157, September.
    11. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
    12. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    13. Avanidhar Subrahmanyam, 2008. "Learning from experience and trading volume," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 245-260, December.
    14. Christos Koulovatianos, 2015. "Strategic Exploitation of a Common-Property Resource Under Rational Learning About its Reproduction," Dynamic Games and Applications, Springer, vol. 5(1), pages 94-119, March.
    15. Avanidhar Subrahmanyam, 2009. "Optimal financial education," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 1-9, January.
    16. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
    17. Bullard, J.B. & Suda, J., 2011. "The Stability of Macroeconomic Systems with Bayesian Learners," Working papers 332, Banque de France.
    18. Du, Kai, 2019. "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 134-157.
    19. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    20. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    21. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    22. Consiglio, Andrea & Russino, Annalisa, 2007. "How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1910-1937, June.
    23. Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
    24. Gandré, Pauline, 2020. "US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath," Journal of International Money and Finance, Elsevier, vol. 104(C).

  61. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019. "Investor experiences and international capital flows," Economics Working Papers 1710, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    3. Chan, Kalok & Covrig, Vicentiu, 2012. "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 793-817.
    4. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
    5. Warnock, Francis E., 2002. "Home bias and high turnover reconsidered," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 795-805, November.
    6. Francis E. Warnock & Chad Cleaver, 2003. "Financial Centres and the Geography of Capital Flows," International Finance, Wiley Blackwell, vol. 6(1), pages 27-59, March.
    7. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    8. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers 1016, Board of Governors of the Federal Reserve System (U.S.).
    9. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," Risks, MDPI, vol. 12(2), pages 1-26, February.
    10. Geoffrey J. Warren, 2010. "Equity home bias in Australian superannuation funds," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 69-93, April.
    11. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).

  62. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
    2. Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, University Library of Munich, Germany.
    3. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    4. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    5. Marie Briere & Alexandre Burgues & Ombretta Signori, 2008. "Volatility Exposure for Strategic Asset Allocation," Working Papers CEB 08-034.RS, ULB -- Universite Libre de Bruxelles.
    6. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
    7. Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
    9. Takahiro Komatsu & Naoki Makimoto, 2015. "Dynamic Investment Strategy with Factor Models Under Regime Switches," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 209-237, May.
    10. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
    11. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    12. Julian, Inchauspe & Helen, Cabalu, 2013. "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper 93049, University Library of Munich, Germany.
    13. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    14. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    15. Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc.
    16. Rihab Bedoui & Houda BenMabrouk, 2017. "CAPM with various utility functions: Theoretical developments and application to international data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343230-134, January.

  63. Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.

    Cited by:

    1. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
    2. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    3. Bernd Scherer, 2009. "A note on portfolio choice for sovereign wealth funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 315-327, September.
    4. John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
    5. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    6. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    7. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    8. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
    9. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
    10. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
    11. J. Sa‐Aadu & James Shilling & Ashish Tiwari, 2010. "On the Portfolio Properties of Real Estate in Good Times and Bad Times1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 529-565, September.
    12. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
    13. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
    14. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.

  64. La Ferrara, Eliana & Guidolin, Massimo, 2004. "Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?," CEPR Discussion Papers 4668, C.E.P.R. Discussion Papers.

    Cited by:

    1. Seitz William Hutchins, 2016. "Stock market reactions to conflict diamond trading restrictions and controversies," Business and Politics, De Gruyter, vol. 18(1), pages 63-84, April.
    2. Richard Akresh & Leonardo Lucchetti & Harsha Thirumurthy, 2010. "Wars and Child Health: Evidence from the Eritrean-Ethiopian Conflict," HiCN Working Papers 89, Households in Conflict Network.
    3. Claude Berrebi & Esteban F. Klor, 2008. "The Impact of Terrorism on the Defense Industry," Working Papers WR-597, RAND Corporation.
    4. Arinze Nwokolo, 2018. "Oil Price Shocks and Civil Conflict: Evidence from Nigeria," HiCN Working Papers 274, Households in Conflict Network.
    5. Kyle Hyndman, 2005. "Status Quo Effects in Bargaining: An Empirical Analysis of OPEC," Industrial Organization 0511016, University Library of Munich, Germany.
    6. Hartwell, Christopher A. & Zadorozhna, Olha, 2024. "The connections that bind: Political connectivity in the face of geopolitical disruption," Journal of International Management, Elsevier, vol. 30(3).
    7. Arindrajit Dube & Ethan Kaplan & Suresh Naidu, 2011. "Coups, Corporations, and Classified Information," NBER Working Papers 16952, National Bureau of Economic Research, Inc.
    8. Florence Kondylis & Mattea Stein, 2023. "The Speed of Justice," The Review of Economics and Statistics, MIT Press, vol. 105(3), pages 596-613, May.
    9. Byung-Yeon Kim & Gerard Roland, 2011. "Are the Markets Afraid of Kim Jong-Il?," KIER Working Papers 789, Kyoto University, Institute of Economic Research.
    10. Monica Martinez-Bravo & Leonard Wantchekon, 2021. "Political Economy and Structural Transformation: Democracy, Regulation and Public Investment," Working Papers wp2021_2110, CEMFI.
    11. Hönig, Tillman, 2017. "The Impact of Peace: Evidence from Nigeria," MPRA Paper 83302, University Library of Munich, Germany.
    12. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
    13. Burger, Martijn & Ianchovichina, Elena & Rijkers, Bob, 2013. "Risky business : political instability and greenfield foreign direct investment in the Arab world," Policy Research Working Paper Series 6716, The World Bank.
    14. Mr. Philip Barrett & Sophia Chen & Miss Mali Chivakul & Ms. Deniz O Igan, 2021. "Pricing Protest: The Response of Financial Markets to Social Unrest," IMF Working Papers 2021/079, International Monetary Fund.
    15. Marc Rockmore, 2011. "The Cost of Fear: The Welfare Effects of the Risk of Violence in Northern Uganda," HiCN Working Papers 109, Households in Conflict Network.
    16. Suphi Sen & Marie-Theres von Schickfus, 2017. "Will Assets be Stranded or Bailed Out? Expectations of Investors in the Face of Climate Policy," ifo Working Paper Series 238, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    17. Claudia Custodio & Bernardo Mendes & Diogo Mendes, 2021. "Firm responses to violent conflicts," NOVAFRICA Working Paper Series wp2106, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
    18. Raddatz, Claudio, 2009. "Multilateral debt relief through the eyes of financial markets," Policy Research Working Paper Series 4872, The World Bank.
    19. Giulia Lamattina, 2008. "Conflict Migration and Social Networks: Empirical Evidence from Sri Lanka," Rivista di Politica Economica, SIPI Spa, vol. 98(6), pages 161-194, November-.
    20. Timothy Besley & Hannes Mueller, 2009. "Estimating the Peace Dividend:The Impact of Violence on HousePrices in Northern Ireland," STICERD - Economic Organisation and Public Policy Discussion Papers Series 011, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    21. Galasso, Vincenzo, 2020. "Market Reactions to Quest for Decentralization and Independence: Evidence from Catalonia," CEPR Discussion Papers 14641, C.E.P.R. Discussion Papers.
    22. Carlos Castro & Diego A. Agudelo & Sergio Preciado, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16988, Universidad EAFIT.
    23. Kien Le & My Nguyen, 2023. "Armed conflicts and women's authority in intra‐household decision making," Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(3), pages 249-267, July.
    24. Bundervoet, Tom & Verwimp, Philip & Akresh, Richard, 2008. "Health and civil war in rural Burundi," Policy Research Working Paper Series 4500, The World Bank.
    25. Saeed Ghasseminejad & Mohammad R. Jahan-Parvar, 2020. "The Impact of Financial Sanctions: The Case of Iran 2011-2016," International Finance Discussion Papers 1281, Board of Governors of the Federal Reserve System (U.S.).
    26. Bernal, C & Ortiz, M & Prem, M & Vargas, J. F, 2022. "Peaceful Entry: Entrepreneurship Dynamics During Colombia s Peace Agreement," Documentos de Trabajo 19938, Universidad del Rosario.
    27. Zhang, Wenwen & Chiu, Yi-Bin & Hsiao, Cody Yu-Ling, 2022. "Effects of country risks and government subsidies on renewable energy firms’ performance: Evidence from China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 158(C).
    28. Juan F. Vargas, 2011. "The persistent colombian conflict bubnational analysis of the duration of violence," Documentos de Trabajo 7934, Universidad del Rosario.
    29. Christopher Ksoll & Rocco Macchiavello & Ameet Morjaria, 2010. "The Effect of Ethnic Violence on an Export- Oriented Industry," CID Working Papers 48, Center for International Development at Harvard University.
    30. Burger, Martijn & Ianchovichina, Elena & Rijkers, Bob, 2015. "Risky Business: Political Instability and Sectoral Greenfield Foreign Direct Investment in the Arab World," Conference papers 332623, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    31. Lei, Yu-Hsiang & Michaels, Guy, 2014. "Do giant oilfield discoveries fuel internal armed conflicts?," LSE Research Online Documents on Economics 57562, London School of Economics and Political Science, LSE Library.
    32. Fenske, James & Wang, Shizhou, 2020. "Tradition and mortality: Evidence from twin infanticide in Africa," The Warwick Economics Research Paper Series (TWERPS) 1317, University of Warwick, Department of Economics.
    33. Francesco Amodio & Leonardo Baccini & Giorgio Chiovelli & Michele Di Maio, 2024. "Trade liberalization, economic activity and political violence in the Global South: evidence from PTAs," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 39(118), pages 275-322.
    34. Hale Utar, 2020. "Firms and Labor in Times of Violence: Evidence from the Mexican Drug War," Documentos de Trabajo 17937, The Latin American and Caribbean Economic Association (LACEA).
    35. Verwimp, Philip & Van Bavel, Jan, 2013. "Schooling, violent conflict, and gender in Burundi," Policy Research Working Paper Series 6418, The World Bank.
    36. Michael Callen & Jonathan Weigel & Noam Yuchtman & Michael J. Callen, 2023. "Experiments about Institutions," CESifo Working Paper Series 10833, CESifo.
    37. Ksoll, Christopher & Macchiavello, Rocco & Morjaria, Ameet, 2023. "Electoral violence and supply chain disruptions in Kenya's floriculture industry," LSE Research Online Documents on Economics 112128, London School of Economics and Political Science, LSE Library.
    38. Joshua D. Angrist & Adriana D. Kugler, 2008. "Rural Windfall or a New Resource Curse? Coca, Income, and Civil Conflict in Colombia," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 191-215, May.
    39. Le, Kien & Nguyen, My, 2022. "War and Intimate Partner Violence in Africa," MPRA Paper 114507, University Library of Munich, Germany.
    40. Manuel Hoffmann & Matthias Neuenkirch, 2015. "The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine," Research Papers in Economics 2015-01, University of Trier, Department of Economics.
    41. Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer, 2014. "Trend and Fractality Assessment of Mexico's Stock Exchange," Papers 1411.3399, arXiv.org.
    42. William Seitz, 2012. "Trade Restrictions and Conflict Commodities: Market reactions to regulations on conflict minerals from the Democratic Republic of the Congo," OxCarre Working Papers 102, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    43. Giordano Mion & Luca David Opromolla & Alessandro Sforza, 2017. "The Diffusion of Knowledge via Managers’ Mobility," GEE Papers 0087, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Nov 2017.
    44. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    45. Reshad N. Ahsan & Kazi Iqbal, 2020. "How does violence affect exporters? Evidence from political strikes in Bangladesh," Review of International Economics, Wiley Blackwell, vol. 28(3), pages 599-625, August.
    46. Klor, Esteban & Saiegh, Sebastian & Satyanath, Shanker, 2016. "Crony Capitalism and the Targeting of Violence: Labor Repression During Argentina's Last Dictatorship," CEPR Discussion Papers 11650, C.E.P.R. Discussion Papers.
    47. Federle, Jonathan & Meier, André & Müller, Gernot J. & Mutschler, Willi & Schularick, Moritz, 2024. "The price of war," Kiel Working Papers 2262, Kiel Institute for the World Economy (IfW Kiel).
      • Federle, Jonathan & Meier, André & Müller, Gernot J. & Mutschler, Willi & Schularick, Moritz, 2024. "The price of war," Kiel Policy Brief 171, Kiel Institute for the World Economy (IfW Kiel).
      • Federle, Jonathan & Meier, André & Müller, Gernot & Schularick, Moritz, 2024. "The Price of War," CEPR Discussion Papers 18834, C.E.P.R. Discussion Papers.
    48. Babet Hogetoorn & Michiel Gerritse, 2021. "The impact of terrorism on international mergers and acquisitions: Evidence from firm-level decisions," Journal of Peace Research, Peace Research Institute Oslo, vol. 58(3), pages 523-538, May.
    49. Jo Thori Lind & Karl Ove Moene & Fredik Willumsen, 2014. "Opium for the Masses? Conflict-Induced Narcotics Production in Afghanistan," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 949-966, December.
    50. Ran S. Lyng & Jie Zhou, 2019. "Household Portfolio Choice Before and After a House Purchase," Departmental Working Papers 2019-04, The University of Winnipeg, Department of Economics.
    51. Stefano DellaVigna & Eliana La Ferrara, 2010. "Detecting Illegal Arms Trade," American Economic Journal: Economic Policy, American Economic Association, vol. 2(4), pages 26-57, November.
    52. Ramos Maqueda,Manuel & Chen,Daniel Li, 2021. "The Role of Justice in Development : The Data Revolution," Policy Research Working Paper Series 9720, The World Bank.
    53. Sen, Suphi & von Schickfus, Marie-Theres, 2020. "Climate policy, stranded assets, and investors’ expectations," Journal of Environmental Economics and Management, Elsevier, vol. 100(C).
    54. Gölgeci, Ismail & Arslan, Ahmad & Khan, Zaheer & Kontkanen, Minnie, 2021. "Foreign firm operations and skills development of local employees in violence-hit countries," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    55. Panel, Sophie & Pietri, Antoine, 2022. "God did not save the kings: Environmental consequences of the 1982 Falklands War," Ecological Economics, Elsevier, vol. 201(C).
    56. Rehman, Faiz Ur & Vanin, Paolo, 2017. "Terrorism risk and democratic preferences in Pakistan," Journal of Development Economics, Elsevier, vol. 124(C), pages 95-106.
    57. Leopoldo Fergusson, 2017. "Who wants violence? The political economy of conflict and state building in Colombia," Documentos CEDE 15890, Universidad de los Andes, Facultad de Economía, CEDE.
    58. Christoph Eder & Martin Halla & Philipp Hilmbauer-Hofmarcher, 2024. "The Long-Term Effects of Military Occupations: Evidence from Post-World War II Austria," Department of Economics Working Papers wuwp366, Vienna University of Economics and Business, Department of Economics.
    59. Kreitmeir, David & Lane, Nathaniel & Raschky, Paul A, 2020. "The Value of Names - Civil Society, Information, and Governing Multinationals on the Global Periphery," SocArXiv aw7sq, Center for Open Science.
    60. Alberto Alesina & Sebastian Hohmann & Stelios Michalopoulos & Elias Papaioannou, 2021. "Intergenerational Mobility in Africa," Econometrica, Econometric Society, vol. 89(1), pages 1-35, January.
    61. Le, Kien & Nguyen, My, 2018. "Aerial Bombardment and Educational Attainment," MPRA Paper 90766, University Library of Munich, Germany.
    62. Abdelaziz Eissa, Mohamed & Al Refai, Hisham, 2024. "Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study," International Review of Economics & Finance, Elsevier, vol. 94(C).
    63. García, Juana & Rettberg, Angelika & Dupont, Federico, 2024. "Unpacking the peace dividend: A subnational analysis of the relationship between business, peace, and economic growth in nine Colombian cities," Business Horizons, Elsevier, vol. 67(6), pages 755-768.
    64. Léonce Ndikumana & Mare Sarr, 2016. "Capital flight and foreign direct investment in Africa: An investigation of the role of natural resource endowment," WIDER Working Paper Series wp-2016-58, World Institute for Development Economic Research (UNU-WIDER).
    65. Francesco Amodio & Michele Di Maio, 2014. "Making Do with What You Have: Conflict, Firm Performance and Input Misallocation in Palestine," HiCN Working Papers 179, Households in Conflict Network.
    66. Guilhem Cassan & Marc Sangnier, 2020. "Liberte, Egalite, Fraternite...Contamine? Estimating the impact of French municipal elections on COVID-19 spread in France," CAGE Online Working Paper Series 524, Competitive Advantage in the Global Economy (CAGE).
    67. Olsson, Ola, 2004. "Diamonds Are a Rebel’s Best Friend," Working Papers in Economics 156, University of Gothenburg, Department of Economics.
    68. Stel, Nora & Naudé, Wim, 2016. "Business in Genocide: Understanding and Avoiding Complicity," IZA Discussion Papers 9743, Institute of Labor Economics (IZA).
    69. Zadorozhna Olha & Zaderey Natalia, 2013. "Impact of Political Regime Shift on Stock Returns of Oligarch Firms," EERC Working Paper Series 13/06e, EERC Research Network, Russia and CIS.
    70. Guilhem Cassan & Marc Sangnier, 2022. "The impact of 2020 French municipal elections on the spread of COVID-19," Journal of Population Economics, Springer;European Society for Population Economics, vol. 35(3), pages 963-988, July.
    71. Richard Akresh & Philip Verwimp & Tom Bundervoet, 2011. "Civil War, Crop Failure, and Child Stunting in Rwanda," Economic Development and Cultural Change, University of Chicago Press, vol. 59(4), pages 777-810.
    72. Bocar A. Ba & Abdoulaye Ndiaye & Roman G. Rivera & Alexander Whitefield, 2024. "Mispricing Narratives after Social Unrest," Opportunity and Inclusive Growth Institute Working Papers 096, Federal Reserve Bank of Minneapolis.
    73. Nadav Ben Itzhak, 2018. "The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem," Bank of Israel Working Papers 2018.08, Bank of Israel.
    74. Galasso, Vincenzo, 2022. "The cost of political uncertainty: Evidence from Catalonia," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 250-259.
    75. Wiig, Arne & Kolstad, Ivar, 2010. "Multinational corporations and host country institutions: A case study of CSR activities in Angola," International Business Review, Elsevier, vol. 19(2), pages 178-190, April.
    76. Merrouche Ouarda, 2008. "Landmines and Poverty: IV Evidence from Mozambique," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 14(1), pages 23-38, April.
    77. Schneider, Anselm & Hinton, Jennifer & Collste, David & González, Tais Sonetti & Cortes-Calderon, Sofia Valeria & Aguiar, Ana Paula, 2019. "Matters arising: Can transnational corporations leverage systemic change towards a "sustainable" future?," SocArXiv c4ak5, Center for Open Science.
    78. Massimo Guidolin & Eliana La Ferrara, 2010. "The economic effects of violent conflict: Evidence from asset market reactions," Journal of Peace Research, Peace Research Institute Oslo, vol. 47(6), pages 671-684, November.
    79. Draca, Mirko & Garred, Jason & Stickland, Leanne & Warrinnier, Nele, 2018. "On Target? The Incidence of Sanctions Across Listed Firms in Iran," CAGE Online Working Paper Series 372, Competitive Advantage in the Global Economy (CAGE).
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    92. Mirko Draca & Jason Garred & Leanne Stickland & Nele Warrinnier, 2023. "On Target? Sanctions and the Economic Interests of Elite Policymakers in Iran," The Economic Journal, Royal Economic Society, vol. 133(649), pages 159-200.
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    95. Ofir D. Rubin & Rico Ihle, 2017. "Measuring Temporal Dimensions of the Intensity of Violent Political Conflict," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 132(2), pages 621-642, June.
    96. Carol Reade & Mark McKenna & Jennifer Oetzel, 2019. "Unmanaged migration and the role of MNEs in reducing push factors and promoting peace: A strategic HRM perspective," Journal of International Business Policy, Palgrave Macmillan, vol. 2(4), pages 377-396, December.
    97. Elster, Yael & Zussman, Asaf & Zussman, Noam, 2017. "Rockets: The housing market effects of a credible terrorist threat," Journal of Urban Economics, Elsevier, vol. 99(C), pages 136-147.
    98. He, Yinghua & Nielsson, Ulf & Wang, Yonglei, 2014. "Hurting without Hitting: The Economic Cost of Political Tension," TSE Working Papers 14-484, Toulouse School of Economics (TSE), revised Jul 2015.
    99. Elisa Giuliani, 2010. "Multinational Corporations, Technology Spillovers and Human Rights's Impacts on Developing Countries," LEM Papers Series 2010/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    100. Christensen, Love & Enlund, Jakob, 2021. "Echoes of Violent Conflict: The Effect of the Israeli-Palestinian Conflict on Hate Crimes in the U.S," Working Papers in Economics 805, University of Gothenburg, Department of Economics.
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    102. Libman, Alexander & Stone, Randall W. & Vinokurov, Evgeny, 2022. "Russian power and the state-owned enterprise," European Journal of Political Economy, Elsevier, vol. 73(C).
    103. Singh, Prakarsh, 2011. "Impact of terrorism on investment decisions of farmers: evidence from the Punjab insurgency," MPRA Paper 33328, University Library of Munich, Germany.
    104. Roxana Guti'errez-Romero, 2024. "Femicide Laws, Unilateral Divorce, and Abortion Decriminalization Fail to Stop Women's Killings in Mexico," Papers 2407.06722, arXiv.org.
    105. Ouarda Merrouche, 2006. "Economic Consequences of Wars: Evidence from Landmine Contamination in Mozambique," Economics Working Papers ECO2006/22, European University Institute.
    106. Leonce Ndikumana & Mare Sarr, 2019. "Capital Flight, Foreign Direct Investment and Natural Resources in Africa," UMASS Amherst Economics Working Papers 2019-12, University of Massachusetts Amherst, Department of Economics.
    107. Ouarda Merrouche, 2007. "Landmines, Poverty and Recovery: Instrumental Variables Evidence from Mozambique," Working Papers 200709, Geary Institute, University College Dublin.
    108. PatriÌ cia Justino & Wolfgang Stojetz, 2018. "On the Legacies of Wartime Governance," HiCN Working Papers 263, Households in Conflict Network.
    109. Xiuping Ji & Naipeng (Tom) Bu & Chen Zheng & Honggen Xiao & Caixia Liu & Xuesheng Chen & Kangping Wang, 2024. "Stock market reaction to the COVID-19 pandemic: an event study," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 167-186, January.
    110. Haber, Stephen H & Weidenmier, Marc & Oosterlinck, Kim & Mitchener, Kris, 2014. "Predicting Winners in Civil Wars," CEPR Discussion Papers 10109, C.E.P.R. Discussion Papers.
    111. Vasily Korovkin & Alexey Makarin, 2020. "Production Networks and War," Papers 2011.14756, arXiv.org, revised Aug 2022.
    112. Bocar A. Ba & Abdoulaye Ndiaye & Roman G. Rivera & Alexander Whitefield, 2024. "Mispricing Narratives after Social Unrest," CESifo Working Paper Series 11264, CESifo.
    113. Castro, Carlos & Agudelo, Diego A. & Preciado, Sergio, 2020. "Measuring the effectiveness of volatility auctions," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 566-581.
    114. Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
    115. Dominic Rohner, 2022. "Conflict, Civil Wars and Human Development," Cahiers de Recherches Economiques du Département d'économie 22.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    116. Marcus Biermann & Elsa Leromain, 2023. "The indirect effect of the Russian-Ukrainian war through international linkages: early evidence from the stock market," CEP Discussion Papers dp1899, Centre for Economic Performance, LSE.
    117. Ricci, Ornella & Santilli, Gianluca & Scardozzi, Giulia & Stentella Lopes, Francesco Saverio, 2024. "ESG resilience in conflictual times," Research in International Business and Finance, Elsevier, vol. 71(C).
    118. Reshad N. Ahsan & Kazi Iqbal, 2016. "How Do Exporters Cope With Violence? Evidence from Political Strikes in Bangladesh," Department of Economics - Working Papers Series 2025, The University of Melbourne.
    119. Piffaretti, Nadia F., 2010. "From Rent-seeking to Profit-creation: Private Sector Development and Economic Turnaround in Fragile States," MPRA Paper 26558, University Library of Munich, Germany.
    120. Mr. Philip Barrett, 2018. "The Fiscal Cost of Conflict: Evidence from Afghanistan 2005-2016," IMF Working Papers 2018/204, International Monetary Fund.
    121. Wolfgang Stojetz & Tilman Brück, 2023. "Exposure to collective gender-based violence causes intimate partner violence," HiCN Working Papers 389, Households in Conflict Network.
    122. Ndikumana, Léonce & Sarr, Mare, 2019. "Capital flight, foreign direct investment and natural resources in Africa," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    123. Armand Mboutchouang Kountchou & Soazic Elise Wang Sonne & Gadom Djal Gadom, 2019. "The Local Impact of Armed Conflict on Children’s Nutrition and Health Outcomes: Evidence from Chad," HiCN Working Papers 301, Households in Conflict Network.
    124. Klapper, Leora & Richmond, Christine & Tran, Trang, 2013. "Civil conflict and firm performance : evidence from Cote d'Ivoire," Policy Research Working Paper Series 6640, The World Bank.
    125. Nora Stel, 2014. "Business in Genocide – Understanding the how and why of corporate complicity in genocides," Working Papers 2014/28, Maastricht School of Management.
    126. Kamin, Katrin, 2022. "Bilateral trade and conflict heterogeneity: The impact of conflict on trade revisited," Kiel Working Papers 2222, Kiel Institute for the World Economy (IfW Kiel).
    127. Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16943, Universidad EAFIT.
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    129. Tillman Hönig, 2019. "The Impact of Peace: Evidence from Nigeria," HiCN Working Papers 293, Households in Conflict Network.
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    131. Mitchener, Kris James & Oosterlinck, Kim & Weidenmier, Marc D. & Haber, Stephen, 2015. "Victory or repudiation? Predicting winners in civil wars using international financial markets," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 310-319.
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    135. François Libois, 2016. "Households in Times of War : Adaptation Strategies during the Nepal Civil War," Working Papers 1603, University of Namur, Department of Economics.
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    137. Morales, Javier & Tercero, Víctor & Camacho-Vallejo, José-Fernando & Cordero, Alvaro E. & López Nerio, Luis E. & Almaguer, F-Javier, 2016. "Trend and fractality assessment of Mexico’s stock exchange," Applied Mathematics and Computation, Elsevier, vol. 285(C), pages 103-113.
    138. Witte, Caroline T. & Burger, Martijn J. & Pennings, Enrico, 2020. "When political instability devaluates home-host ties," Journal of World Business, Elsevier, vol. 55(4).
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  65. Timmermann, Allan & Guidolin, Massimo, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.

    Cited by:

    1. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
    2. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    3. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    4. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
    5. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    6. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    7. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    8. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
    9. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Daniel de Almeida & Ana-Maria Fuertes & Luiz Koodi Hotta, 2025. "Out-of-Sample Predictability of the Equity Risk Premium," Mathematics, MDPI, vol. 13(2), pages 1-23, January.
    11. Henryk Gurgul & Robert Syrek, 2010. "Polish stock market and some foreign markets - dependence analysis by regime-switching copulas," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 8, pages 21-39.
    12. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    13. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    14. Tatsuyoshi Okimoto, 2014. "Asymmetric Increasing Trends in Dependence in International Equity Markets," CAMA Working Papers 2014-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    16. CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008. "Modeling international financial returns with a multivariate regime switching copula," LIDAM Discussion Papers CORE 2008013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Solange Berstein & Rómulo Chumacero, 2008. "VaR Limits for Pension Funds: An Evaluation," Working Papers 26, Superintendencia de Pensiones, revised May 2008.
    18. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    19. Xu, Yanyan & Liu, Jing & Ma, Feng & Chu, Jielei, 2024. "Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 543-560.
    20. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    21. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
    22. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    23. Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
    24. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
    25. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
    26. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
    27. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    28. Mike K. P. So & Chi-Ming Wong, 2012. "Estimation of multiple period expected shortfall and median shortfall for risk management," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 739-754, March.
    29. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    30. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    31. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
    32. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    33. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
    34. BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007. "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE 2007097, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    35. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    36. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    37. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    38. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    39. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
    40. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    41. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
    42. Bec, Frédérique & Gollier, Christian, 2014. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," IDEI Working Papers 835, Institut d'Économie Industrielle (IDEI), Toulouse.
    43. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
    44. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
    45. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    46. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
    47. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
    48. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    49. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.

  66. Timmermann, Allan & Guidolin, Massimo, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    3. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    4. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    5. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
    6. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, August.
    7. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," FRU Working Papers 2008/01, University of Copenhagen. Department of Economics. Finance Research Unit.
    8. Moritz Duembgen & L. C. G. Rogers, 2014. "Estimate nothing," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2065-2072, December.
    9. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
    10. Carsten Krabbe Nielsen, 2004. "Rational overconfidence and excess volatility in General Equilibrium," Econometric Society 2004 Australasian Meetings 279, Econometric Society.
    11. Shu Ling Chiang & Ming Shann Tsai, 2019. "Valuation of an option using non-parametric methods," Review of Derivatives Research, Springer, vol. 22(3), pages 419-447, October.
    12. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    13. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
    14. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    15. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    16. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
    17. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    18. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    19. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
    20. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
    21. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    22. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    23. Rainer Baule & Bart Frijns & Milena E. Tieves, 2018. "Volatility discovery and volatility quoting on markets for options and warrants," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 758-774, July.
    24. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    25. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
    26. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    27. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    28. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    29. Anais Maillet, 2015. "Food price volatility and farmers' production decisions under imperfect information," FOODSECURE Technical papers 8, LEI Wageningen UR.
    30. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    31. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    32. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay, 2014. "Crude oil moments and PNG stock returns," Energy Economics, Elsevier, vol. 44(C), pages 222-235.
    33. Massimo Guidolin & Kai Wang, 2022. "The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios," BAFFI CAREFIN Working Papers 22190, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    34. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.
    35. Élise PAYZAN LE NESTOUR, 2010. "Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem," Swiss Finance Institute Research Paper Series 10-28, Swiss Finance Institute.
    36. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    37. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    38. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria.
    39. Tao Li, 2013. "Investors' Heterogeneity and Implied Volatility Smiles," Management Science, INFORMS, vol. 59(10), pages 2392-2412, October.
    40. Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).
    41. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    42. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    43. Liu, Yi-Fang & Zhang, Wei & Xu, Hai-Chuan, 2014. "Collective behavior and options volatility smile: An agent-based explanation," Economic Modelling, Elsevier, vol. 39(C), pages 232-239.
    44. Nielsen, Carsten Krabbe, 2008. "On rationally confident beliefs and rational overconfidence," Mathematical Social Sciences, Elsevier, vol. 55(3), pages 381-404, May.

  67. Allan Timmerman & Massimo Guidolin, 2001. "Option prices and implied volatility dynamics under Bayesian learning," CeNDEF Workshop Papers, January 2001 P3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

    Cited by:

    1. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    2. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
    3. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    4. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    5. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    6. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria.
    7. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

  68. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.

    Cited by:

    1. Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
    2. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

Articles

  1. Monia Magnani & Massimo Guidolin & Ian Berk, 2024. "Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital," Journal of Asset Management, Palgrave Macmillan, vol. 25(7), pages 666-699, December.
    See citations under working paper version above.
  2. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2023. "The dynamics of returns predictability in cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 29(6), pages 583-611, April.

    Cited by:

    1. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Fallah, Mir Feiz & Pourmansouri, Rezvan & Ahmadpour, Bahador, 2024. "Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 95(PC).

  3. Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
    See citations under working paper version above.
  4. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    See citations under working paper version above.
  5. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.

    Cited by:

    1. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    2. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    3. Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
    4. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    5. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    6. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
    7. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    8. Cerqueti, Roy & Ficcadenti, Valerio & Mattera, Raffaele, 2024. "Investors’ attention and network spillover for commodity market forecasting," Socio-Economic Planning Sciences, Elsevier, vol. 95(C).
    9. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    10. Yue-Jun Zhang & Han Zhang & Rangan Gupta, 2023. "A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    11. Xiu Wu & Jinting Zhang & Daojun Zhang, 2021. "Explore Associations between Subjective Well-Being and Eco-Logical Footprints with Fixed Effects Panel Regressions," Land, MDPI, vol. 10(9), pages 1-15, September.

  6. Guidolin, Massimo & Pedio, Manuela & Tosi, Alessandra, 2021. "Time-varying price discovery in sovereign credit markets," Finance Research Letters, Elsevier, vol. 38(C).
    See citations under working paper version above.
  7. Guidolin, Massimo & Pedio, Manuela, 2021. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, vol. 42(C).
    See citations under working paper version above.
  8. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
    See citations under working paper version above.
  9. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.

    Cited by:

    1. Aiken, Adam L. & Kang, Minjeong, 2023. "Hedge fund manager timing and selectivity skill over time. A holdings-based estimate," Finance Research Letters, Elsevier, vol. 58(PB).

  10. Guidolin, Massimo & Ricci, Andrea, 2020. "Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 1-11.

    Cited by:

    1. Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    2. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).

  11. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
    See citations under working paper version above.
  12. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.

    Cited by:

    1. Audrino, Francesco & Serwart, Jan, 2024. "Yield curve trading strategies exploiting sentiment data," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    2. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    4. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    5. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    6. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    7. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  13. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.

    Cited by:

    1. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Prashant Sharma & Geetika Arora & Sushil Kalyani & Hanna Olasiuk & Padmini Jindal, 2024. "Sectoral Performance of ESG Enabled Stocks during COVID-19 Pandemic in the Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 232-238, October.
    3. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    4. Elżbieta Kacperska & Jakub Kraciuk, 2021. "Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany," Energies, MDPI, vol. 14(23), pages 1-17, November.
    5. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    6. Wan, Xiaoyuan & Zhang, Jiachen, 2024. "Systematic COVID risk, idiosyncratic COVID risk and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    7. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    8. Shen, Junjie & Huang, Shupei, 2022. "Copper cross-market volatility transition based on a coupled hidden Markov model and the complex network method," Resources Policy, Elsevier, vol. 75(C).
    9. Polyzos, Stathis & Samitas, Aristeidis & Katsaiti, Marina-Selini, 2020. "Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability," International Review of Financial Analysis, Elsevier, vol. 72(C).
    10. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Yuntong Liu & Yu Wei & Yi Liu & Wenjuan Li, 2020. "Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2020, pages 1-12, December.
    12. Si, Deng-Kui & Li, Xiao-Lin & Xu, XuChuan & Fang, Yi, 2021. "The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China," Energy Economics, Elsevier, vol. 102(C).
    13. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    14. Alexandr Patalaha & Maria A. Shchepeleva, 2023. "Bank Crisis Management Policies and the New Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 43-60, December.
    15. Chibane, Messaoud & Gabriel, Amadeus & Giménez Roche, Gabriel A., 2022. "Credit booms and crisis-emergent asset comovement: The problem of latent correlation," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 270-279.
    16. Hadhri, Sinda, 2023. "News-based economic policy uncertainty and financial contagion: An international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 63-76.
    17. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    18. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    19. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    20. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

  14. Berwart, Erik & Guidolin, Massimo & Milidonis, Andreas, 2019. "An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 88-118.
    See citations under working paper version above.
  15. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.

    Cited by:

    1. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
    2. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Lee, Chien-Chiang & Chen, Mei-Ping, 2021. "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 830-852.
    4. Hartvig, Áron Dénes & Pap, Áron & Pálos, Péter, 2023. "EU Climate Change News Index: Forecasting EU ETS prices with online news," Finance Research Letters, Elsevier, vol. 54(C).

  16. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
    See citations under working paper version above.
  17. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
    See citations under working paper version above.
  18. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    See citations under working paper version above.
  19. Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
    See citations under working paper version above.
  20. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    See citations under working paper version above.
  21. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Marina Yu. Malkina & Anton O. Ovcharov, 2022. "Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 8-28, August.
    3. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    4. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    5. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    6. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    7. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
    8. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    9. Marina Yu. Malkina, 2024. "Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(2), pages 452-475.
    10. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    11. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    12. Jiang, Hai & Tang, Shenfeng & Li, Lifang & Xu, Fangming & Di, Qian, 2022. "Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis," Research in International Business and Finance, Elsevier, vol. 60(C).

  22. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 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, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
    See citations under working paper version above.
  23. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
    See citations under working paper version above.
  24. Guidolin, Massimo & Liu, Hening, 2016. "Ambiguity Aversion and Underdiversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(4), pages 1297-1323, August.
    See citations under working paper version above.
  25. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.

    Cited by:

    1. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
    2. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
    3. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    4. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    5. Gelmini, Matteo & Uberti, Pierpaolo, 2024. "The equally weighted portfolio still remains a challenging benchmark," International Economics, Elsevier, vol. 179(C).
    6. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, vol. 4(1), pages 1-27, January.
    7. Jaydip Sen & Sidra Mehtab, 2021. "Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market," Papers 2107.11371, arXiv.org.
    8. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    9. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    10. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).

  26. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    See citations under working paper version above.
  27. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    See citations under working paper version above.
  28. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    See citations under working paper version above.
  29. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.

    Cited by:

    1. Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
    2. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.
    4. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    5. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    6. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    7. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    8. Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
    9. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.

  30. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    3. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    4. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
    5. Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.

  31. Massimo Guidolin & Stuart Hyde, 2014. "Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2135-2153, December.

    Cited by:

    1. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).

  32. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2014. "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, vol. 76(4), pages 510-535, August.
    See citations under working paper version above.
  33. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2014. "Unconventional monetary policies and the corporate bond market," Finance Research Letters, Elsevier, vol. 11(3), pages 203-212.

    Cited by:

    1. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    3. Österholm, Pär, 2018. "The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs," Finance Research Letters, Elsevier, vol. 24(C), pages 186-192.
    4. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
    5. Dai, Haiyan & Dong, Xueqin & Xue, Fang, 2024. "Corporate credit risk and bond yield spreads: Market reactions to the spreads," Finance Research Letters, Elsevier, vol. 67(PB).

  34. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.

    Cited by:

    1. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
    2. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2019. "What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data," Working Papers 201974, University of Pretoria, Department of Economics.
    4. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    5. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    6. Vasilios Plakandaras & Ioannis Pragidis & Paris Karypidis, 2024. "Deciphering the U.S. metropolitan house price dynamics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 52(2), pages 434-485, March.

  35. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.

    Cited by:

    1. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    2. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    3. Leirvik, Thomas, 2014. "The bond–stock mix under time-varying interest rates and predictable stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 231-237.
    4. Christos Floros & Emilios Galariotis & Konstantinos Gkillas & Efstathios Magerakis & Constantin Zopounidis, 2024. "Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach," Annals of Operations Research, Springer, vol. 341(2), pages 859-895, October.
    5. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
    6. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    7. Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
    8. Önder, Ali Sina & Yilmazkuday, Hakan, 2016. "Trade partner diversification and growth: How trade links matter," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 241-258.
    9. Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
    10. Mikihito Nishi, 2023. "Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions," Papers 2309.04926, arXiv.org, revised May 2024.
    11. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    12. David G. McMillan, 2021. "Forecasting sector stock market returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 291-300, July.
    13. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.

  36. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    See citations under working paper version above.
  37. Guidolin, Massimo & Tam, Yu Man, 2013. "A yield spread perspective on the great financial crisis: Break-point test evidence," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 18-39.
    See citations under working paper version above.
  38. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.

    Cited by:

    1. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction Between Financial and Business Cycles," Working Papers 2017:24, Department of Economics, University of Venice "Ca' Foscari".
    2. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
    3. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 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 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.

  39. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.

    Cited by:

    1. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.

  40. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    See citations under working paper version above.
  41. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.

    Cited by:

    1. Bouaddi, Mohammed & Taamouti, Abderrahim, 2013. "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2943-2962.
    2. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    3. Daniele Bianchi & Massimo Guidolin, 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, Springer, vol. 49(1), pages 116-164, July.
    4. Pagnottoni, Paolo & Spelta, Alessandro, 2023. "The motifs of risk transmission in multivariate time series: Application to commodity prices," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
    5. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
    6. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.

  42. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    See citations under working paper version above.
  43. Massimo Guidolin & Eliana La Ferrara, 2010. "The economic effects of violent conflict: Evidence from asset market reactions," Journal of Peace Research, Peace Research Institute Oslo, vol. 47(6), pages 671-684, November.
    See citations under working paper version above.
  44. Massimo Guidolin & Christopher J. Neely, 2010. "The effects of large-scale asset purchases on TIPS inflation expectations," Economic Synopses, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," SciencePo Working papers Main hal-03554141, HAL.
    2. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    3. Tatom, John A., 2014. "U.S. monetary policy in disarray," Journal of Financial Stability, Elsevier, vol. 12(C), pages 47-58.
    4. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    5. Kawai, Masahiro, 2015. "International Spillovers of Monetary Policy: US Federal Reserve's Quantitative Easing and Bank of Japan's Quantitative and Qualitative Easing," ADBI Working Papers 512, Asian Development Bank Institute.
    6. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
    7. Dupor, Bill & Li, Rong, 2015. "The expected inflation channel of government spending in the postwar U.S," European Economic Review, Elsevier, vol. 74(C), pages 36-56.
    8. Diego Moccero & Shingo Watanabe & Boris Cournède, 2011. "What Drives Inflation in the Major OECD Economies?," OECD Economics Department Working Papers 854, OECD Publishing.
    9. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    10. Georgiadis, Georgios & Gräb, Johannes, 2016. "Global financial market impact of the announcement of the ECB's asset purchase programme," Journal of Financial Stability, Elsevier, vol. 26(C), pages 257-265.
    11. Boris Hofmann & Feng Zhu, 2013. "Central bank asset purchases and inflation expectations," BIS Quarterly Review, Bank for International Settlements, March.
    12. Tatjana Dahlhaus & Kristina Hess & Abeer Reza, 2014. "International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada," Staff Working Papers 14-43, Bank of Canada.
    13. Hubert, Paul & Blot, Christophe & Bozou, Caroline & Creel, Jérôme, 2024. "Same actions, different effects: The conditionality of monetary policy instruments," Journal of Monetary Economics, Elsevier, vol. 147(S).

  45. Massimo Guidolin & Francesca Rinaldi, 2010. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 105-135.
    See citations under working paper version above.
  46. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
    See citations under working paper version above.
  47. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    See citations under working paper version above.
  48. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
    See citations under working paper version above.
  49. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
    See citations under working paper version above.
  50. Mola, Simona & Guidolin, Massimo, 2009. "Affiliated mutual funds and analyst optimism," Journal of Financial Economics, Elsevier, vol. 93(1), pages 108-137, July.
    See citations under working paper version above.
  51. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
    See citations under working paper version above.
  52. Massimo Guidolin & Allison K. Rodean, 2008. "No volatility, no forecasting power for the term spread," Monetary Trends, Federal Reserve Bank of St. Louis, issue Apr.

    Cited by:

    1. Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
    2. Hamid Baghestani, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 156-162, August.

  53. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    3. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    4. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    5. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
    6. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.

  54. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 1-48, Winter.
    See citations under working paper version above.
  55. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    See citations under working paper version above.
  56. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.

    Cited by:

    1. Schindler, Felix, 2009. "Long-term benefits from investing in international real estate," ZEW Discussion Papers 09-023, ZEW - Leibniz Centre for European Economic Research.
    2. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  57. Massimo Guidolin & Elizabeth A. La Jeunesse, 2007. "The decline in the U.S. personal saving rate: is it real and is it a puzzle?," Review, Federal Reserve Bank of St. Louis, vol. 89(Nov), pages 491-514.

    Cited by:

    1. Bunting, David, 2009. "The saving decline: Macro-facts, micro-behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 282-295, May.
    2. Doepke, M. & Tertilt, M., 2016. "Families in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1789-1891, Elsevier.
    3. Hans-Joachim Dübel, 2014. "Transatlantic mortgage credit boom and bust - the impact of market structure and regulation," Chapters, in: Susan Wachter & Man Cho & Moon Joong Tcha (ed.), The Global Financial Crisis and Housing, chapter 6, pages 112-146, Edward Elgar Publishing.
    4. Anja Koebrich Leon, 2013. "Religion and Economic Outcomes – Household Savings Behavior in the USA," Working Paper Series in Economics 268, University of Lüneburg, Institute of Economics.
    5. Tam, Leona & Dholakia, Utpal M., 2011. "Delay and duration effects of time frames on personal savings estimates and behavior," Organizational Behavior and Human Decision Processes, Elsevier, vol. 114(2), pages 142-152, March.
    6. Shoshana Amyra Grossbard & Alfredo Marvão Pereira, 2013. "Savings and Economies of Marriage: Intra-Marriage Financial Distributions as Determinants of Savings," Working Papers 95, Department of Economics, College of William and Mary.
    7. Shoshana Amyra Grossbard & Alfredo Marvao Pereira & Shoshana Grossbard, 2010. "Will Women Save more than Men? A Theoretical Model of Savings and Marriage," CESifo Working Paper Series 3146, CESifo.
    8. Till Treeck, 2014. "Did Inequality Cause The U.S. Financial Crisis?," Journal of Economic Surveys, Wiley Blackwell, vol. 28(3), pages 421-448, July.
    9. Fernando Rugitsky, 2015. "Financialization, Housing Bubble, and the Great Recession: an interpretation based on a circuit of capital model," Working Papers, Department of Economics 2015_24, University of São Paulo (FEA-USP).
    10. Till van Treeck, 2008. "The political economy debate on ‘financialisation’ – a macroeconomic perspective," IMK Working Paper 01-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    11. Jon D. Wisman, 2013. "Wage stagnation, rising inequality and the financial crisis of 2008," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 37(4), pages 921-945.
    12. Aronsson, Thomas & Sjögren, Tomas, 2011. "Tax Policy and Present-Biased Preferences: Paternalism under International Capital Mobility," Umeå Economic Studies 833, Umeå University, Department of Economics.
    13. Guibaud, Stéphane & Coeurdacier, Nicolas & Jin, Keyu, 2012. "Credit Constraints and Growth in a Global Economy," CEPR Discussion Papers 9109, C.E.P.R. Discussion Papers.
    14. Alessandro Vercelli, 2014. "Nuclear and financial meltdowns; The impact of the Fukushima accident on the transition to a low-carbon economy," Working papers wpaper76, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    15. J. M. Applegate & Marco A. Janssen, 2022. "Job Mobility and Wealth Inequality," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 1-25, January.
    16. Till van Treeck, 2012. "Did inequality cause the U.S. financial crisis?," IMK Working Paper 91-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    17. Rishabh Kumar, 2015. "Savings from top incomes and accumulation in the United States context: Results from disaggregated national accounts," Working Papers 1524, New School for Social Research, Department of Economics.
    18. Stein, Jerome L., 2009. "A tale of two debt crises: a stochastic optimal control analysis," Economics Discussion Papers 2009-44, Kiel Institute for the World Economy (IfW Kiel).
    19. Douglas, R & MacCulloch, Robert, 2016. "Welfare: Savings not Taxation," Working Papers 31890, Department of Economics, The University of Auckland.
    20. Nicolas Canry, 2020. "Why and How Should Human Capital be Measured in National Accounts?," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 517-518-5, pages 61-79.
    21. Riccardo Fiorentini, 2011. "Global Imbalances, the International Crisis and the Role of the Dollar," Working Papers 18/2011, University of Verona, Department of Economics.
    22. Bela Szemely, 2013. "Explaining the Decline of the U.S. Saving Rate: the Joint Role of Health Expenditure and Employer Contributions," 2013 Meeting Papers 93, Society for Economic Dynamics.
    23. Barry Z. Cynamon & Steven M. Fazzari, 2017. "Household Income, Demand, and Saving: Deriving Macro Data With Micro Data Concepts," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 63(1), pages 53-69, March.
    24. Bing Han & David Hirshleifer & Johan Walden, 2023. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," Journal of Finance, American Finance Association, vol. 78(3), pages 1647-1704, June.
    25. Riccardo Fiorentini & Guido Montani, 2012. "The New Global Political Economy," Books, Edward Elgar Publishing, number 14443, March.
    26. Michael Walden, 2012. "Will Households Change Their Saving Behaviour After the “Great Recession”? The Role of Human Capital," Journal of Consumer Policy, Springer, vol. 35(2), pages 237-254, June.
    27. Alessandro Vercelli, 2014. "Financial and nuclear meltdowns: the fragility of chain-reaction critical processes," Chapters, in: Riccardo Bellofiore & Giovanna Vertova (ed.), The Great Recession and the Contradictions of Contemporary Capitalism, chapter 12, pages 208-220, Edward Elgar Publishing.
    28. Jon D. Wisman & Barton Baker, 2009. "Increasing Inequality, Status Insecurity, Ideology, and the Financial Crisis of 2008," Working Papers 2009-14 JEL classificatio, American University, Department of Economics.
    29. Santiago José Gahn & Alejandro González, 2022. "On the empirical content of the convergence debate: Cross‐country evidence on growth and capacity utilisation," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 825-855, July.
    30. Michler Albrecht F. & Thieme H. Jörg, 2009. "Finanzmarktkrise: Marktversagen oder Staatsversagen? / Financial crisis: Failure of markets or politics?," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 60(1), pages 185-222, January.
    31. Barry Z. Cynamon & Steven M. Fazzari, 2013. "Inequality and Household Finance during the Consumer Age," Economics Working Paper Archive wp_752, Levy Economics Institute.
    32. Olivier Allain, 2021. "A supermultiplier model of the natural rate of growth," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03218410, HAL.
    33. Antonio, Paradiso, 2010. "Long-term interest rates, asset prices, and personal saving ratio: Evidence from the 1990s," MPRA Paper 26754, University Library of Munich, Germany.
    34. Riccardo Bellofiore & Giovanna Vertova (ed.), 2014. "The Great Recession and the Contradictions of Contemporary Capitalism," Books, Edward Elgar Publishing, number 14637, March.
    35. Tomoo Kikuchi & George Vachadze, 2018. "Minimum investment requirement, financial market imperfection and self-fulfilling belief," Journal of Evolutionary Economics, Springer, vol. 28(2), pages 305-332, April.
    36. Elizabeth Whitaker & Janet Bokemeiner & Scott Loveridge, 2013. "Interactional Associations of Gender on Savings Behavior: Showing Gender’s Continued Influence on Economic Action," Journal of Family and Economic Issues, Springer, vol. 34(1), pages 105-119, March.
    37. Liu, Taoxiong & Liu, Zhuohao, 2022. "A growth model with endogenous technological revolutions and cycles," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    38. van Treeck, Till. & Sturn, Simon., 2012. "Income inequality as a cause of the Great Recession? : A survey of current debates," ILO Working Papers 994709343402676, International Labour Organization.
    39. Paradiso, Antonio & Rao, B. Bhaskara, 2011. "What Caused the Decline in the US Saving Ratio?," MPRA Paper 28023, University Library of Munich, Germany.
    40. Trofimov, Ivan D., 2022. "Determinants of the profit rates in the OECD economies: A panel data analysis of the Kalecki's profit equation," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 380-397.
    41. Zeynep Copur & Michael S. Gutter, 2019. "Economic, Sociological, and Psychological Factors of the Saving Behavior: Turkey Case," Journal of Family and Economic Issues, Springer, vol. 40(2), pages 305-322, June.
    42. Till van Treeck, 2008. "Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending," IMK Working Paper 06-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    43. Jon D. Wisman & Barton Baker, 2011. "Increasing Inequality and the Financial Crises of 1929 and 2008," Working Papers 2011-01 JEL classificatio, American University, Department of Economics.

  58. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    See citations under working paper version above.
  59. Massimo Guidolin & Eliana La Ferrara, 2007. "Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?," American Economic Review, American Economic Association, vol. 97(5), pages 1978-1993, December.
    See citations under working paper version above.
  60. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
    See citations under working paper version above.
  61. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    See citations under working paper version above.
  62. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
    See citations under working paper version above.
  63. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, August.
    See citations under working paper version above.
  64. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
    See citations under working paper version above.
  65. Massimo Guidolin & Elizabeth A. La Jeunesse, 2006. "Cross-country personal saving rates," National Economic Trends, Federal Reserve Bank of St. Louis, issue May.

    Cited by:

    1. Shim, Soyeon & Serido, Joyce & Tang, Chuanyi, 2012. "The ant and the grasshopper revisited: The present psychological benefits of saving and future oriented financial behaviors," Journal of Economic Psychology, Elsevier, vol. 33(1), pages 155-165.

  66. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
    See citations under working paper version above.
  67. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    See citations under working paper version above.
  68. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
    See citations under working paper version above.
  69. Cassese, Gianluca & Guidolin, Massimo, 2006. "Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 145-178.

    Cited by:

    1. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
    2. Mihir Dash, 2019. "Modeling of implied volatility surfaces of nifty index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-11, September.
    3. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.

  70. Massimo Guidolin, 2005. "Home Bias and High Turnover in an Overlapping‐generations Model with Learning," Review of International Economics, Wiley Blackwell, vol. 13(4), pages 725-756, September.
    See citations under working paper version above.
  71. Massimo Guidolin & Allan Timmermann, 2005. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, vol. 115(500), pages 111-143, January.

    Cited by:

    1. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    2. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
    3. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
    4. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    5. Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
    6. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    7. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    8. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    9. Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
    10. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    11. Syed Jawad Hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Post-Print hal-02013740, HAL.
    12. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    13. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
    14. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    15. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    16. John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
    17. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
    18. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    19. Donatien Hainaut & Yang Shen & Yan Zeng, 2018. "How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?," Annals of Operations Research, Springer, vol. 262(2), pages 519-545, March.
    20. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
    21. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    22. Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
    23. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
    24. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    25. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    26. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 523-536.
    27. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
    28. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    29. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    30. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
    31. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    32. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
    33. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2015. "Asset prices regime-switching and the role of inflation targeting monetary policy," MPRA Paper 68666, University Library of Munich, Germany.
    34. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
    35. Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2013. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," NCID Working Papers 12/2013, Navarra Center for International Development, University of Navarra.
    36. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    37. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
    38. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    39. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
    40. Shahzad, Syed Jawad Hussain & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States," MPRA Paper 78595, University Library of Munich, Germany, revised 15 Apr 2017.
    41. Olivier Courtois & Xiaoshan Su, 2020. "Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 477-520, December.
    42. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
    43. Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    44. Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012. "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    45. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    46. Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016. "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers 201617, University of Pretoria, Department of Economics.
    47. Hainaut, Donatien & Moraux, Franck, 2019. "A switching self-exciting jump diffusion process for stock prices," LIDAM Reprints ISBA 2019017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    48. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
    49. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
    50. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS.
    51. Jian Yang & Yinggang Zhou & Zijun Wang, 2010. "Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence," Management Science, INFORMS, vol. 56(11), pages 2031-2049, November.
    52. Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.
    53. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    54. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    55. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    56. Afsaneh Bahrami & Abul Shamsuddin & Katherine Uylangco, 2018. "Out‐of‐sample stock return predictability in emerging markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 727-750, September.
    57. Jan Bulla & Sascha Mergner & Ingo Bulla & André Sesboüé & Christophe Chesneau, 2011. "Markov-switching asset allocation: Do profitable strategies exist?," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 310-321, November.
    58. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    59. Li, Dakai, 2024. "Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 115-122.
    60. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    61. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics Department Working Paper Series n1801007.pdf, Department of Economics, National University of Ireland - Maynooth.
    62. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    63. Zegadło, Piotr, 2022. "Identifying bull and bear market regimes with a robust rule-based method," Research in International Business and Finance, Elsevier, vol. 60(C).
    64. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
    65. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
    66. Mamadou Cisse & Mamadou Konte & Mohamed Toure & Smael Afolabi Assani, 2019. "Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach," JRFM, MDPI, vol. 12(1), pages 1-15, February.
    67. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    68. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
    69. Jilber Urbina & Miguel Santolino & Montserrat Guillen, 2021. "Covariance Principle for Capital Allocation: A Time-Varying Approach," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
    70. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
    71. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    72. Hadhri, Sinda, 2021. "The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis," Energy Economics, Elsevier, vol. 101(C).
    73. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
    74. Thomas Flavin & Dolores Lagoa-Varela, 2016. "Do long-term bonds hedge equity risk? Evidence from Spain," Economics Department Working Paper Series n275-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    75. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.
    76. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    77. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    78. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," MPRA Paper 80436, University Library of Munich, Germany.
    79. Flavin, Thomas J. & Lagoa-Varela, Dolores, 2021. "On the stability of stock-bond comovements across market conditions in the Eurozone periphery," Global Finance Journal, Elsevier, vol. 49(C).
    80. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
    81. Misheck Mutize & Sean J. Gossel, 2019. "Sovereign Credit Rating Announcement Effects on Foreign Currency Denominated Bond and Equity Markets in Africa," Journal of African Business, Taylor & Francis Journals, vol. 20(1), pages 135-152, January.
    82. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
    83. Muhl, Stefan & Talpsepp, Tõnn, 2018. "Faster learning in troubled times: How market conditions affect the disposition effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 226-236.
    84. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
    85. Yao Zheng & Peihwang Wei & Eric Osmer, 2022. "The relation between earnings and price momentum: Does it vary across regimes?," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1145-1213, April.
    86. Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
    87. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
    88. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    89. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
    90. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
    91. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
    92. John Fender, 2015. "Towards a General Theory of the Stock Market," Discussion Papers 15-15, Department of Economics, University of Birmingham.
    93. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    94. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
    95. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    96. Joe Brocato & Kenneth Smith, 2012. "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 712-727, July.
    97. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
    98. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(2), pages 111-127, April.
    99. Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
    100. Simmons-Süer, Banu, 2018. "“How relevant is capital structure for aggregate investment? a regime-switching approach”," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 109-117.
    101. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    102. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    103. Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
    104. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
    105. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
    106. Marika Křepelová & Josef Jablonský, 2013. "Analýza státních dluhopisů jako indikátoru pro akciový trh [Analysis of Government Bonds as an Indicator for Stock Market]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(5), pages 605-622.
    107. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, vol. 39(C), pages 159-168.
    108. Christos Kollias & Stephanos Papadamou & Vangelis Arvanitis, 2013. "Does Terrorism Affect the Stock‐Bond Covariance? Evidence from European Countries," Southern Economic Journal, John Wiley & Sons, vol. 79(4), pages 832-848, April.
    109. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
    110. Hanna, Alan J., 2018. "A top-down approach to identifying bull and bear market states," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 93-110.
    111. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    112. Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.

  72. Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul.

    Cited by:

    1. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  73. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2004. "Subjective probabilities: psychological theories and economic applications," Review, Federal Reserve Bank of St. Louis, vol. 86(Jan), pages 33-48.

    Cited by:

    1. Berlemann, Michael, 2016. "Does hurricane risk affect individual well-being? Empirical evidence on the indirect effects of natural disasters," Ecological Economics, Elsevier, vol. 124(C), pages 99-113.

  74. Massimo Guidolin & Allan Timmermann, 2003. "Recursive Modeling of Nonlinear Dynamics in UK Stock Returns," Manchester School, University of Manchester, vol. 71(4), pages 381-395, July.

    Cited by:

    1. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    2. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    3. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    4. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," Economics Discussion Paper Series 0305, Economics, The University of Manchester.
    5. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
    6. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," Economics Discussion Paper Series 0805, Economics, The University of Manchester.
    7. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
    8. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    9. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
    10. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.

  75. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.

    Cited by:

    1. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.

  76. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
    See citations under working paper version above.

Chapters

  1. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.

    Cited by:

    1. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.

  2. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
    See citations under working paper version above.
  3. Massimo Guidolin & Carrie Fangzhou Na, 2008. "Chapter 16 The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 595-655, Emerald Group Publishing Limited.

    Cited by:

    1. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

Books

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