Andrea Donato Tortora

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

308

CITATIONS

2

Scholarly Papers (3)

1.

A Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

Federal Reserve Bank of Saint Louis Working Paper No. 2011-003A
Number of pages: 51 Posted: 20 Jan 2011
Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 135 (160,238)
Citation 1

Abstract:

Bayesian Estimation, Latent Jumps, Stochastic Volatility, Linear Factor Models

2.

Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

Manchester Business School Research Paper No. 619, Bocconi Legal Studies Research Paper No. 1980190
Number of pages: 51 Posted: 06 Jan 2012
Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 76 (244,737)
Citation 1

Abstract:

Bayesian estimation, Latent jumps, Stochastic volatility, Linear factor models

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Number of pages: 45 Posted: 24 Apr 2013
Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University
Downloads 74 (266,725)

Abstract:

REIT returns, Bayesian estimation, Structural instability, Stochastic volatility, Linear factor models

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate: Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014
Posted: 31 Oct 2014
Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University

Abstract:

REIT returns; Bayesian estimation; Structural instability; Stochastic volatility; Linear factor models