IDEAS home Printed from https://ideas.repec.org/e/pgu101.html
   My authors  Follow this author

Massimo Guidolin

Personal Details

First Name:Massimo
Middle Name:
Last Name:Guidolin
Suffix:
RePEc Short-ID:pgu101
[This author has chosen not to make the email address public]
Terminal Degree:2000 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy)

Affiliation

(60%) Dipartimento di Finanza
Università Commerciale Luigi Bocconi

Milano, Italy
http://www.unibocconi.it/wps/wcm/connect/Bocconi/SitoPubblico_IT/Albero+di+navigazione/Home/Docenti+e+Ricerca/Dipartimenti/Finanza/
RePEc:edi:iabocit (more details at EDIRC)

(40%) BAFFI Centre on Economics, Finance and Regulation
Università Commerciale Luigi Bocconi

Milano, Italy
http://www.bafficarefin.unibocconi.it/
RePEc:edi:cbbocit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Manuela Pedio & Massimo Guidolin & Giulia Panzeri, 2024. "Machine Learning in Portfolio Decisions," BAFFI CAREFIN Working Papers 24233, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  2. Massimo Guidolin & Giacomo Leonetti & Manuela Pedio, 2024. "Who should buy structured investment products and why?," BAFFI CAREFIN Working Papers 24222, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  3. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," BAFFI CAREFIN Working Papers 24220, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  4. Monica Billio & Massimo Guidolin & Francesco Rocciolo, 2024. "Responsible Investing under Climate Change Uncertainty," Working Papers 2024: 15, Department of Economics, University of Venice "Ca' Foscari".
  5. 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.
  6. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Juan Arismendi-Zambrano & Massimo Guidolin & Alessia Paccagnini, 2020. "Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery," CAMA Working Papers 2020-105, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  13. 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.
  14. 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.
  15. 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.
  16. Massimo Guidolin & Manuela Pedio, 2019. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 19117, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  42. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  43. 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.
  44. 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.
  45. 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.
  46. 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 Paper 2011/19, Norges Bank.
  47. 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.
  48. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  49. 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.
  50. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. 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.
  57. 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.
  58. 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.
  59. 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).
  60. 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.
  61. 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.
  62. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing in Mixed Asset Portfolios: the Ex-Post Performance," CeRP Working Papers 69, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  63. Massimo Guidolin & Simona Mola, 2007. "Affiliated mutual funds and analyst optimism," Working Papers 2007-017, Federal Reserve Bank of St. Louis.
  64. 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.
  65. 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.
  66. Massimo Guidolin & Giovanna Nicodano, 2007. "Small Caps in International Diversified Portfolios," CeRP Working Papers 68, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  67. 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.
  68. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
  69. Massimo Guidolin & Simona Mola, 2006. "Why do analysts continue to provide favorable coverage for seasoned stocks?," Working Papers 2006-034, Federal Reserve Bank of St. Louis.
  70. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  71. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
  72. 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.
  73. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.
  74. Massimo Guidolin & Eliana La Ferrara, 2005. "The economic effects of violent conflict: evidence from asset market reactions," Working Papers 2005-066, Federal Reserve Bank of St. Louis.
  75. 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).
  76. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
  77. 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.
  78. 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.
  79. 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).
  80. 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.
  81. 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.
  82. 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.
  83. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
  84. 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.
  85. 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.
  86. 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.
  87. 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.
  88. Timmermann, Allan & Guidolin, Massimo, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.
  89. Guidolin, Massimo & Allan Timmermann, 2003. "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003 95, Royal Economic Society.
  90. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis.
  91. 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.
  92. 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.
  93. Massimo Guidolin & Allan Timmermann, 2000. "Implied Learning Paths from Option Prices," Econometric Society World Congress 2000 Contributed Papers 0447, Econometric Society.
  94. Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
  95. 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.

Articles

  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. Massimo Guidolin & Giulia F. Panzeri, 2024. "Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models," Forecasting, MDPI, vol. 6(3), pages 1-33, September.
  3. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
  4. 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.
  5. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "New ESG rating drivers in the cross‐section of European stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 133-162, December.
  6. Massimo Guidolin & Manuela Pedio & Milena T. Petrova, 2023. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 108-149, July.
  7. 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.
  8. Prajakta Desai & Massimo Guidolin, 2022. "Performance persistence and optimal asset allocation strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 28(16), pages 1571-1598, November.
  9. 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.
  10. 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.
  11. 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.
  12. Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021. "Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 27(18), pages 1804-1833, December.
  13. Guidolin, Massimo & Pedio, Manuela & Tosi, Alessandra, 2021. "Time-varying price discovery in sovereign credit markets," Finance Research Letters, Elsevier, vol. 38(C).
  14. 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).
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  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. 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.
  29. 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.
  30. 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.
  31. 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.
  32. Massimo Guidolin & Erwin Hansen, 2016. "Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(3), pages 217-239, March.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Massimo Guidolin & Yu Man Tam, 2009. "Is the financial crisis over? a yield spread perspective," Economic Synopses, Federal Reserve Bank of St. Louis.
  56. 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.
  57. 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.
  58. Massimo Guidolin & Yu Man Tam, 2009. "Taming the long-term spreads," Economic Synopses, Federal Reserve Bank of St. Louis.
  59. Mola, Simona & Guidolin, Massimo, 2009. "Affiliated mutual funds and analyst optimism," Journal of Financial Economics, Elsevier, vol. 93(1), pages 108-137, July.
  60. 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.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Massimo Guidolin, 2007. "A Review of: “Book Review: Empirical Dynamic Asset Pricing”," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 597-604.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. 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.
  72. Massimo Guidolin, 2006. "The dollar U-turn," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb.
  73. 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.
  74. 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.
  75. 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.
  76. Massimo Guidolin & Elizabeth A. La Jeunesse, 2006. "Cross-country personal saving rates," National Economic Trends, Federal Reserve Bank of St. Louis, issue May.
  77. 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.
  78. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
  79. 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.
  80. 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.
  81. 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.
  82. Massimo Guidolin & Elizabeth A. La Jeunesse, 2005. "Bubbling (or just frothy) house prices?," National Economic Trends, Federal Reserve Bank of St. Louis, issue Nov.
  83. 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.
  84. Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul.
  85. 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.
  86. 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.
  87. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  88. 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.

    RePEc:taf:apfiec:v:19:y:2009:i:6:p:463-488 is not listed on IDEAS
    RePEc:bla:ecnote:v:33:y:2004:i:2:p:275-321 is not listed on IDEAS
    RePEc:taf:apfiec:v:20:y:2010:i:1-2:p:105-135 is not listed on IDEAS

Chapters

  1. Massimo Guidolin, 2024. "Machine Learning in Portfolio Decisions," World Scientific Book Chapters, in: Marco Corazza & René Garcia & Faisal Shah Khan & Davide La Torre & Hatem Masri (ed.), Artificial Intelligence and Beyond for Finance, chapter 1, pages 1-72, World Scientific Publishing Co. Pte. Ltd..
  2. 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.
  3. 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.
  4. Massimo Guidolin & Federica Ria, 2011. "Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 2, pages 21-48, Palgrave Macmillan.
  5. Massimo Guidolin, 2011. "Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 87-178, Emerald Group Publishing Limited.
  6. 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.

Books

  1. Viola Fabbrini & Massimo Guidolin & Manuela Pedio, 2016. "Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-56139-8, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Closeness measure in co-authorship network
  35. Betweenness measure in co-authorship network
  36. Breadth of citations across fields
  37. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 86 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (28) 2005-02-13 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-09-29 2006-01-01 2006-03-18 2006-03-18 2006-05-27 2006-05-27 2006-12-16 2007-09-16 2008-01-05 2008-01-05 2008-02-16 2010-09-25 2013-08-31 2015-06-20 2018-08-20 2018-10-15 2019-07-15 2020-07-27 2020-08-10 2022-02-14 2023-07-24 2023-07-24. Author is listed
  2. NEP-FMK: Financial Markets (23) 2005-11-05 2006-01-01 2006-03-18 2006-03-18 2006-05-27 2006-05-27 2006-07-09 2007-03-24 2007-06-23 2008-05-17 2012-02-15 2013-02-16 2017-01-08 2018-09-24 2019-06-10 2019-09-30 2019-11-11 2020-07-20 2020-07-27 2020-08-10 2023-07-24 2023-07-31 2024-06-17. Author is listed
  3. NEP-UPT: Utility Models and Prospect Theory (20) 2006-01-01 2006-03-18 2007-09-16 2009-08-02 2009-08-02 2009-08-08 2010-01-30 2010-09-25 2011-10-22 2013-06-16 2018-06-18 2018-10-15 2019-07-15 2019-09-30 2019-11-11 2019-12-02 2020-07-13 2022-03-21 2023-07-31 2024-06-17. Author is listed
  4. NEP-FOR: Forecasting (18) 2005-09-29 2005-09-29 2006-12-16 2007-03-24 2008-05-17 2010-06-04 2010-11-27 2011-10-22 2012-10-27 2017-01-08 2017-06-04 2018-09-24 2019-01-21 2019-07-22 2019-11-11 2020-07-27 2022-02-14 2022-03-21. Author is listed
  5. NEP-FIN: Finance (14) 2005-02-13 2005-02-13 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-11-05 2006-01-01 2006-03-18 2006-03-18 2006-05-27. Author is listed
  6. NEP-CBA: Central Banking (13) 2010-06-04 2010-09-25 2010-11-27 2011-10-22 2011-10-22 2012-02-15 2018-09-24 2019-01-21 2019-07-22 2019-09-30 2020-07-27 2021-01-25 2021-03-01. Author is listed
  7. NEP-MAC: Macroeconomics (10) 2005-09-29 2005-09-29 2007-03-24 2008-02-16 2010-06-04 2015-11-15 2019-07-22 2019-11-11 2020-08-10 2022-02-14. Author is listed
  8. NEP-MON: Monetary Economics (10) 2007-03-24 2010-06-04 2015-11-15 2018-09-24 2019-01-21 2019-07-22 2019-09-30 2020-07-27 2021-01-25 2021-03-01. Author is listed
  9. NEP-ORE: Operations Research (9) 2013-08-31 2015-06-20 2017-06-04 2019-09-30 2019-12-02 2020-07-13 2020-07-20 2020-07-27 2020-08-10. Author is listed
  10. NEP-ETS: Econometric Time Series (8) 2002-02-15 2005-05-23 2005-05-23 2005-09-29 2006-12-16 2007-03-24 2019-06-10 2022-02-14. Author is listed
  11. NEP-ECM: Econometrics (6) 2005-09-29 2006-12-16 2007-03-24 2011-10-22 2013-08-31 2018-08-20. Author is listed
  12. NEP-EEC: European Economics (5) 2006-03-18 2006-05-27 2008-02-16 2018-10-15 2019-11-11. Author is listed
  13. NEP-URE: Urban and Real Estate Economics (5) 2006-03-18 2006-05-27 2012-02-15 2013-10-02 2019-09-30. Author is listed
  14. NEP-CIS: Confederation of Independent States (4) 2011-10-22 2011-10-22 2011-10-22 2011-10-22
  15. NEP-BEC: Business Economics (3) 2011-02-05 2011-10-22 2012-02-15
  16. NEP-CFN: Corporate Finance (3) 2003-06-16 2006-03-18 2006-05-27
  17. NEP-IFN: International Finance (3) 2005-09-29 2010-11-27 2019-09-30
  18. NEP-BIG: Big Data (2) 2020-07-13 2020-07-27
  19. NEP-CMP: Computational Economics (2) 2005-05-23 2021-01-25
  20. NEP-FDG: Financial Development and Growth (2) 2012-02-15 2023-07-31
  21. NEP-AFR: Africa (1) 2005-02-13
  22. NEP-BAN: Banking (1) 2022-03-21
  23. NEP-CBE: Cognitive and Behavioural Economics (1) 2011-10-22
  24. NEP-CTA: Contract Theory and Applications (1) 2013-06-30
  25. NEP-CWA: Central and Western Asia (1) 2022-03-21
  26. NEP-DCM: Discrete Choice Models (1) 2017-06-04
  27. NEP-DGE: Dynamic General Equilibrium (1) 2009-08-02
  28. NEP-ENV: Environmental Economics (1) 2024-06-17
  29. NEP-EVO: Evolutionary Economics (1) 2005-05-23
  30. NEP-HIS: Business, Economic and Financial History (1) 2022-02-14
  31. NEP-MST: Market Microstructure (1) 2012-10-27
  32. NEP-NEU: Neuroeconomics (1) 2011-10-22
  33. NEP-PAY: Payment Systems and Financial Technology (1) 2020-08-10
  34. NEP-PBE: Public Economics (1) 2007-03-24

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Massimo Guidolin should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.