Massimo Guidolin

Bocconi University - Department of Finance

Professor of Finance

Via Roentgen 1

Milano, MI 20136

Italy

  • Bocconi University - Department of Finance

SCHOLARLY PAPERS

87

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Top 2,179

in Total Papers Citations

263

CROSSREF CITATIONS

282

Scholarly Papers (87)

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1.

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

Downloads 1,551 ( 12,272)
Citation 17

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

Number of pages: 42 Posted: 16 Jun 2003
Sílvia Gonçalves and Massimo Guidolin
University of Montreal - Department of Economics and Bocconi University - Department of Finance
Downloads 1,551 (12,040)
Citation 17

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Implied volatility surface, predictability, trading strategies

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

Journal of Business, Vol. 79, No. 3, pp. 1591-1635, May 2006
Posted: 21 Jan 2005
Sílvia Gonçalves and Massimo Guidolin
University of Montreal - Department of Economics and Bocconi University - Department of Finance

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Implied volatility surface, predictability, trading rules

2.

Asset Allocation Under Multivariate Regime Switching

Downloads 1,345 ( 15,397)

Asset Allocation Under Multivariate Regime Switching

FRB of St. Louis Working Paper No. 2005-002C
Number of pages: 41 Posted: 28 Oct 2006
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 1,345 (15,078)
Citation 31

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regime switching, portfolio choice, predictability

Asset Allocation Under Multivariate Regime Switching

Journal of Economic Dynamics and Control, Vol. 31, No. 11, pp. 3503-3544, 2007
Posted: 16 Jan 2008
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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Regime switching, Portfolio choice, Predictability

3.

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Downloads 1,227 ( 17,683)
Citation 22

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

FRB of St. Louis, Research Division Working Paper No. 2005-034C
Number of pages: 51 Posted: 07 Mar 2005
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 1,227 (17,362)
Citation 22

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International asset allocation, regime switching, return predictability, skew and kurtosis preferences, home bias

International Asset Allocation Under Regime Switching, Skew, and Kurtosis Preferences

The Review of Financial Studies, Vol. 21, Issue 2, pp. 889-935, 2008
Posted: 26 Jun 2008
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD

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G12, F30, C32

4.

Optimal Portfolio Choice Under Regime Switching, Skew and Kurtosis Preferences

Number of pages: 34 Posted: 15 Jun 2003
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 855 (30,055)
Citation 5

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Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

5.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 815 (32,152)
Citation 10

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Markov Regime-Switching, Weighted Eigenvector Centrality, Graphical Models, MCMC, Systemic Risk, Network Connectivity

6.

Size and Value Anomalies under Regime Shifts

Downloads 701 ( 39,453)

Size and Value Anomalies under Regime Shifts

FRB of St. Louis Working Paper No. 2005-007B
Number of pages: 47 Posted: 15 Mar 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 701 (38,874)
Citation 7

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optimal portfolio choice, regimes, hedging demands, size and value portfolios

Size and Value Anomalies Under Regime Shifts

Journal of Financial Econometrics, Vol. 6, Issue 1, pp. 1-48, 2008
Posted: 10 Jul 2008
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD

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G12, G11, C32, hedging demands, optimal portfolio choice, regimes, size and value portfolios

7.

Diamonds are Forever, Wars are Not. Is Conflict Bad for Private Firms?

Downloads 605 ( 48,019)
Citation 40

Diamonds are Forever, Wars are Not. Is Conflict Bad for Private Firms?

Number of pages: 35 Posted: 07 Sep 2004
Massimo Guidolin and Eliana La Ferrara
Bocconi University - Department of Finance and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 546 (54,060)
Citation 12

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Angola, civil war, rent seeking, event studies

Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?

Number of pages: 44 Posted: 08 Dec 2004
Eliana La Ferrara and Massimo Guidolin
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Finance
Downloads 59 (396,588)
Citation 6
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Civil war, event studies, rent-seeking, Angola

Diamonds are Forever, Wars are Not - Is Conflict Bad for Private Firms?

American Economic Review, Vol. 97, No. 5, pp. 1978-1993, 2007
Posted: 14 Apr 2007 Last Revised: 15 Jan 2008
Eliana La Ferrara and Massimo Guidolin
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Finance

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Civil war, event studies, rent-seeking, Angola

8.

Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

Number of pages: 55 Posted: 04 Nov 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 577 (51,050)
Citation 9

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Asset allocation, regime wwitching, bull and bear, optimal consumption, portfolio choice

9.

Value at Risk and Expected Shortfall Under Regime Switching

Number of pages: 44 Posted: 23 Jun 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 577 (51,050)
Citation 6

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10.

Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable?

Federal Reserve Bank of St. Louis Working Paper No. 2008-010A
Number of pages: 74 Posted: 30 Apr 2008 Last Revised: 15 Jan 2009
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 570 (51,826)

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Non-linearities, regime switching, threshold predictive regressions, forecasting, predictability in financial returns

11.

Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Downloads 568 ( 52,038)
Citation 25

Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

EFMA 2001 Lugano Meetings
Number of pages: 58 Posted: 24 Mar 2001
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 536 (55,370)

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Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Number of pages: 61 Posted: 01 Nov 2001
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 32 (510,267)
Citation 1
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Option prices, Black-Scholes option pricing model, Bayesian learning

Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Posted: 25 May 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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Rational learning, Black-Scholes biases, option pricing

12.

Regime Shifts in Mean-Variance Efficient Frontiers: Some International Evidence

Downloads 565 ( 52,382)
Citation 1

Regime Shifts in Mean-Variance Efficient Frontiers: Some International Evidence

Manchester Business School Research Paper No. 609
Number of pages: 48 Posted: 13 Dec 2010
Massimo Guidolin and Federica Ria
Bocconi University - Department of Finance and Kataris Capital Advisors SA
Downloads 405 (78,217)

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Multivariate Markov Switching, Mean-Variance Optimization, Asset Allocation, International Portfolio Diversification

Regime Shifts in Mean-Variance Efficient Frontiers: Some International Evidence

Federal Reserve Bank of St. Louis Working Paper No. 2010-040B
Number of pages: 47 Posted: 27 Oct 2010 Last Revised: 24 Nov 2010
Massimo Guidolin and Federica Ria
Bocconi University - Department of Finance and University of Manchester - Manchester Business School
Downloads 160 (202,415)
Citation 1

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Multivariate Markov Switching, Mean-Variance Optimization, Asset Allocation, International Portfolio Diversification

13.

Small Caps in International Equity Portfolios: The Effects of Variance Risk

Downloads 543 ( 55,115)

Small Caps in International Equity Portfolios: The Effects of Variance Risk

AFA 2006 Boston Meetings Paper
Number of pages: 54 Posted: 19 Mar 2005
Giovanna Nicodano and Massimo Guidolin
University of Turin - Department ESOMAS and Bocconi University - Department of Finance
Downloads 543 (54,473)
Citation 1

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intertemporal portfolio choice, return predictability, co-skewness and co-kurtosis, international portfolio diversification

Small Caps in International Equity Portfolios: The Effects of Variance Risk

Annals of Finance, Forthcoming
Posted: 16 Jan 2008
Giovanna Nicodano and Massimo Guidolin
University of Turin - Department ESOMAS and Bocconi University - Department of Finance

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Intertemporal portfolio choice, Return predictability, Co-skewness and co-kurtosis, International portfolio diversification

14.

Affiliated Mutual Funds and Analyst Optimism

Downloads 532 ( 56,563)
Citation 15

Affiliated Mutual Funds and Analyst Optimism

Number of pages: 49 Posted: 04 Dec 2006
Massimo Guidolin and Simona Mola
Bocconi University - Department of Finance and U.S. Securities and Exchange Commission
Downloads 341 (95,488)

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analyst coverage, ratings, mutual funds

Affiliated Mutual Funds and Analyst Optimism

Number of pages: 51 Posted: 14 Apr 2007
Simona Mola and Massimo Guidolin
U.S. Securities and Exchange Commission and Bocconi University - Department of Finance
Downloads 191 (173,011)
Citation 16

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analyst coverage, ratings, mutual funds

15.

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Downloads 523 ( 57,810)

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Number of pages: 37 Posted: 27 Aug 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 523 (57,158)
Citation 34

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Regime switching, stock and bond return predictability, nonlinear modeling

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Journal of Applied Econometrics, Vol. 21, pp. 1-22, January 2006
Posted: 04 Jan 2005
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD

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Regime switching, stock and bond return predictability, nonlinear modeling

16.

Modelling the Implied Volatility Surface: Does Market Efficiency Matter? An Application to Mib30 Index Options

Number of pages: 37 Posted: 25 Apr 2004
Gianluca Cassese and Massimo Guidolin
Department of Economics, Statistics and Management and Bocconi University - Department of Finance
Downloads 517 (58,639)
Citation 4

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Implied volatility, option pricing, no-arbitrage conditions, volatility models

17.

Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature

Federal Reserve Bank of St. Louis Working Paper No. 2010-028A
Number of pages: 100 Posted: 09 Sep 2010
Massimo Guidolin and Francesca Rinaldi
Bocconi University - Department of Finance and Banque de France
Downloads 484 (63,652)
Citation 8

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ambiguity, ambiguity-aversion, participation, liquidity, asset pricing

18.

Can Investors Benefit from Hedge Fund Strategies? Utility‐Based, Out‐of‐Sample Evidence

BAFFI CAREFIN Centre Research Paper No. 2018-90
Number of pages: 62 Posted: 10 Oct 2018
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Securities and Exchange Commission
Downloads 457 (68,310)

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Strategic asset allocation, hedge fund strategies, predictive regressions, out-of sample performance, certainty equivalent return

19.

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Number of pages: 40 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University - Department of Finance
Downloads 433 (72,923)
Citation 6

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Equity options, Index options, Implied volatility surface, Predictability, Trading strategies

20.

Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates

Downloads 431 ( 73,329)
Citation 5

Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates

ECB Working Paper No. 977, FRB of St. Louis Working Paper No. 2004-010A
Number of pages: 29 Posted: 16 Mar 2005
Massimo Guidolin and Daniel L. Thornton
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 281 (118,148)

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Expectations theory, Random walk hypothesis, Time-varying risk premium

Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates

ECB Working Paper No. 977
Number of pages: 32 Posted: 23 Dec 2008
Massimo Guidolin and Daniel L. Thornton
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 150 (213,857)
Citation 1

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expectations theory, random walk, time-varying risk premium

21.

Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis

BAFFI CAREFIN Centre Research Paper No. 2016-37
Number of pages: 39 Posted: 15 Oct 2016 Last Revised: 14 May 2018
Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
Independent, Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Euromobiliare Asset Management SGR
Downloads 429 (73,728)
Citation 2

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predictability, Markov switching, economic value, optimal portfolio choice

22.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Downloads 425 ( 74,587)
Citation 3

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Number of pages: 66 Posted: 30 Aug 2012
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York
Downloads 423 (74,310)
Citation 1

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REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Real Estate Economics, Vol. 42, Issue 2, pp. 279-342, 2014
Number of pages: 64 Posted: 20 May 2014
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York
Downloads 2 (728,017)
Citation 1
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23.

Sentiment Risk Premia in the Cross-Section of Global Equity

University of St.Gallen, School of Finance Research Paper No. 2019/13
Number of pages: 72 Posted: 28 May 2020
Roland Füss, Massimo Guidolin and Christian Koeppel
University of St. Gallen - School of Finance, Bocconi University - Department of Finance and University of St. Gallen
Downloads 419 (75,861)

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Asset pricing, behavioral finance, financial markets, investor sentiment, sentiment risk premium

24.

Forecasts of Us Short-Term Interest Rates: A Flexible Forecast Combination Approach

Downloads 410 ( 77,819)
Citation 8

Forecasts of Us Short-Term Interest Rates: A Flexible Forecast Combination Approach

Number of pages: 30 Posted: 13 Oct 2005
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 410 (77,124)
Citation 8

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forecast combinations, regime switching, interest rates

Forecasts of Us Short-Term Interest Rates: a Flexible Forecast Combination Approach

Journal of Econometrics, FORTHCOMING.
Posted: 14 Apr 2007
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance

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Forecast combinations, regime switches, short term interest rates, expectations hypothesis.

25.

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Downloads 408 ( 78,268)
Citation 3

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Federal Reserve Bank of St. Louis Working Paper No. 2010-002B
Number of pages: 68 Posted: 09 Jan 2010 Last Revised: 01 Sep 2010
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 231 (144,465)
Citation 2

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Manchester Business School Research Paper No. 608
Number of pages: 69 Posted: 13 Oct 2010
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 177 (185,339)
Citation 2

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

26.

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, Forthcoming, WBS Finance Group Research Paper No. 209
Number of pages: 44 Posted: 12 Nov 2013 Last Revised: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 390 (82,422)
Citation 5

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Structural breaks, Change-point model, Stochastic volatility, Multi-factor linear models, Asset pricing

27.

Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?

BAFFI CAREFIN Centre Research Paper No. 2020-146
Number of pages: 60 Posted: 15 Jul 2020
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Securities and Exchange Commission
Downloads 369 (87,942)

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Hedge fund strategies, unconventional monetary policy, risk factors, modified event studies, Markov switching models, breakpoints tests

28.

Pricing and Informational Efficiency of the Mib30 Index Options Market. An Analysis with High Frequency Data

Number of pages: 32 Posted: 02 Sep 2003
Gianluca Cassese and Massimo Guidolin
Department of Economics, Statistics and Management and Bocconi University - Department of Finance
Downloads 349 (93,740)
Citation 1

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Option pricing, arbitrage, informational efficiency, MIB30 index

29.

1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus

Federal Reserve Bank of St, Louis, Working Paper No. 2010-003A
Number of pages: 47 Posted: 09 Jan 2010 Last Revised: 19 May 2014
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), Bocconi University - Department of Finance and University of Turin - Department ESOMAS
Downloads 346 (94,620)
Citation 1

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equally weighted portfolios, long investment horizon, real-time strategic asset allocation, public real estate vehicles, ex post performance, predictability, parameter uncertainty

30.

Ambiguity Aversion and Under-diversification

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 25 Jan 2014 Last Revised: 27 Aug 2014
Massimo Guidolin and Hening Liu
Bocconi University - Department of Finance and University of Manchester - Alliance Manchester Business School
Downloads 318 (103,967)
Citation 4

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

31.

Investing for the Long-Run in European Real Estate: Does Predictability Matter?

Number of pages: 43 Posted: 28 Jan 2005
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance
Downloads 313 (105,696)
Citation 1

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Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

32.

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Downloads 312 (106,049)
Citation 6

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Federal Reserve Bank of St. Louis Working Paper No. 2009-001A
Number of pages: 35 Posted: 15 Jan 2009
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), Bocconi University - Department of Finance and University of Turin - Department ESOMAS
Downloads 215 (154,841)

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real time asset allocation, real estate, ex post performance, predictability, parameter uncertainty

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Manchester Business School Research Paper No. 581
Number of pages: 45 Posted: 01 Dec 2009
Massimo Guidolin, Carolina Fugazza and Giovanna Nicodano
Bocconi University - Department of Finance, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and University of Turin - Department ESOMAS
Downloads 94 (302,760)
Citation 1

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real time asset allocation, real estate, ex post performance, predictability, parameter uncertainty

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Real Estate Economics, Vol. 37, Issue 3, pp. 341-381, Fall 2009
Number of pages: 41 Posted: 13 Oct 2009
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), Bocconi University - Department of Finance and University of Turin - Department ESOMAS
Downloads 3 (716,504)
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33.

The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions

Number of pages: 30 Posted: 25 Oct 2005
Massimo Guidolin and Eliana La Ferrara
Bocconi University - Department of Finance and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 289 (115,231)
Citation 6

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Conflict onset, Event study, Asset markets, Polarization

34.

Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence

BAFFI CAREFIN Centre Research Paper No. 2017-54
Number of pages: 47 Posted: 03 May 2017 Last Revised: 18 Jan 2018
Francesco Chincoli and Massimo Guidolin
Independent and Bocconi University - Department of Finance
Downloads 287 (116,109)
Citation 1

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factor mimicking portfolios, forecasting, Markov regime switching models, equal predictive accuracy tests

35.

How Smart Is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs

BAFFI CAREFIN Centre Research Paper No. 2019-117
Number of pages: 41 Posted: 24 Sep 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 262 (127,823)

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REITs, real estate factors, factor investing, smart beta strategies

36.

High Equity Premia and Crash Fears: Rational Foundations

Downloads 259 (129,384)

High Equity Premia and Crash Fears: Rational Foundations

Number of pages: 18 Posted: 09 May 2004
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 259 (128,774)
Citation 2

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Rational learning, equilibrium asset returns, structural breaks

High Equity Premia and Crash Fears - Rational Foundations

Economic Theory, Vol. 28, pp. 693-708, October 2006
Posted: 24 May 2005
Massimo Guidolin
Bocconi University - Department of Finance

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Rational learning, equity premium, structural breaks

37.

Home Bias and High Turnover in an Overlapping Generations Model with Learning

Downloads 249 (134,645)
Citation 4

Home Bias and High Turnover in an Overlapping Generations Model with Learning

Number of pages: 32 Posted: 23 Nov 2003
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 218 (152,848)

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Home country bias, International Asset Allocation, Bayesian learning

Home Bias and High Turnover in an Overlapping-Generations Model with Learning

Review of International Economics, Vol. 13, No. 4, pp. 725-756, September 2005
Number of pages: 32 Posted: 01 Nov 2005
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 31 (515,505)
Citation 1
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38.

Are the Dynamic Linkages between the Macroeconomy and Asset Prices Time-Varying?

Number of pages: 40 Posted: 28 Jul 2005
Sadayuki Ono and Massimo Guidolin
Hiroshima University and Bocconi University - Department of Finance
Downloads 246 (136,280)

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Predictability, Multivariate Regime Switching, Predictive Density Tests, Sharpe Ratios

39.

The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable Us Returns

Number of pages: 46 Posted: 03 Nov 2006
Carrie Fangzhou Na and Massimo Guidolin
Federal National Mortgage Association (Fannie Mae) and Bocconi University - Department of Finance
Downloads 236 (141,938)
Citation 1

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Forecast Combination, Predictability, Multivariate Regime Switching, Portfolio Performance

40.

Term Structure of Risk Under Alternative Econometric Specifications

Downloads 232 (144,353)
Citation 34

Term Structure of Risk Under Alternative Econometric Specifications

Number of pages: 25 Posted: 04 May 2004
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 208 (159,801)
Citation 2

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Term structure of risk, nonlinear econometric models, simulation methods

Term Structure of Risk Under Alternative Econometric Specifications

Number of pages: 28 Posted: 22 Nov 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 24 (558,558)
Citation 1
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Term structure of risk, nonlinear econometric models, simulation models

Term Structure of Risk Under Alternative Econometric Specifications

Journal of Econometrics, Vol. 131, pp. 285-308, March-April 2006
Posted: 29 Mar 2005
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD

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Term structure of risk, nonlinear econometric models, simulation methods

41.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Downloads 229 (146,126)
Citation 4

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Number of pages: 50 Posted: 17 Nov 2003
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 229 (145,662)
Citation 4

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Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Journal of Economic Dynamics and Control, Vol. 31, No. 1, pp. 161-217, January 2007
Posted: 14 Nov 2005
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD

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Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices

42.

Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors

BAFFI CAREFIN Centre Research Paper No. 2018-86
Number of pages: 37 Posted: 03 Aug 2018 Last Revised: 14 Nov 2018
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 228 (146,767)

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stepwise regression, commodity returns, predictability, portfolio back-testing

43.

Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance?

BAFFI CAREFIN Centre Research Paper No. 2017-63
Number of pages: 46 Posted: 27 Nov 2017 Last Revised: 18 Jan 2018
Elvira Caloiero and Massimo Guidolin
Bocconi University and Bocconi University - Department of Finance
Downloads 211 (157,923)

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Volatility, VIX, Exchange-Traded Products, Exchange-Traded Notes, Optimal Asset Allocation

44.

Investing for the Long-Run in European Real Estate

Downloads 210 (158,616)
Citation 8

Investing for the Long-Run in European Real Estate

FRB of St. Louis Working Paper No. 2006-028A
Number of pages: 44 Posted: 04 May 2006
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance
Downloads 210 (158,336)
Citation 8

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optimal asset allocation, real estate, predictability, parameter uncertainty

Investing for the Long-Run in European Real Estate

Journal of Real Estate Finance and Economics, Vol. 34, No. 1, 2007
Posted: 18 Aug 2006
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance

Abstract:

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optimal asset allocation, real estate, predictability, parameter uncertainty

45.

What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model

EFA 2006 Zurich Meetings Paper, FRB of St. Louis Working Paper No. 2006-029A
Number of pages: 36 Posted: 14 Jun 2006
Stuart Hyde and Massimo Guidolin
Alliance Manchester Business School - University of Manchester and Bocconi University - Department of Finance
Downloads 208 (160,080)
Citation 1

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international portfolio diversification, multivariate regime switching, national stock markets comovements, Sharpe ratios

46.

A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence

Downloads 206 (161,496)
Citation 3

A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence

Number of pages: 42 Posted: 31 Aug 2010
Massimo Guidolin and Yu Man Tam
Bocconi University - Department of Finance and University of California, Berkeley - Haas School of Business
Downloads 119 (256,799)

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yield spreads, credit risk, liquidity risk, break-point tests, partial adjustment models

A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence

Manchester Business School Research Paper No. 610
Number of pages: 43 Posted: 10 Dec 2010
Massimo Guidolin and YuMan Tam
Bocconi University - Department of Finance and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 87 (318,261)
Citation 3

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Yield Spreads, Credit Risk, Liquidity Risk, Break-Point Tests, Partial Adjustment Models

47.

A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?

Downloads 190 (173,986)
Citation 6

A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?

Number of pages: 56 Posted: 25 Apr 2009
Massimo Guidolin and Francesca Rinaldi
Bocconi University - Department of Finance and Banque de France
Downloads 136 (231,531)
Citation 3

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ambiguity, ambiguity-aversion, participation, liquidity, asset pricing

A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?

Manchester Business School Research Paper No. 580
Number of pages: 47 Posted: 30 Nov 2009
Massimo Guidolin and Francesca Rinaldi
Bocconi University - Department of Finance and Banque de France
Downloads 54 (414,216)
Citation 2

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ambiguity, ambiguity-aversion, participation, liquidity, asset pricing

48.

An Empirical Analysis of Changes in the Relative Timeliness of Issuer‐Paid vs. Investor‐Paid Ratings

Number of pages: 61 Posted: 23 May 2014 Last Revised: 13 Aug 2016
Erik Berwart, Massimo Guidolin and Andreas Milidonis
Superintendence of Banks and Financial Institutions of Chile (SBIF), Bocconi University - Department of Finance and University of Cyprus - Department of Accounting and Finance
Downloads 185 (178,217)

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credit rating agencies, timeliness, issuer‐paid agencies, investor‐paid agencies, NRSRO

49.

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Downloads 183 (179,983)

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Manchester Business School Research Paper No. 607
Number of pages: 39 Posted: 15 Oct 2010
Massimo Guidolin, Stuart Hyde, David McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, affiliation not provided to SSRN and Hiroshima University
Downloads 103 (284,904)

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regime switching, threshold, smooth transition, predictive regressions, forecasting

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Federal Reserve Bank of St. Louis Working Paper No. 2010-039A
Number of pages: 38 Posted: 25 Oct 2010
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 80 (335,282)

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regime switching, threshold, smooth transition, predictive regressions, forecasting

50.

Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?

BAFFI CAREFIN Centre Research Paper No. 2018-84
Number of pages: 39 Posted: 03 Aug 2018
Alexander Berglund, Massimo Guidolin and Manuela Pedio
Stockholm School of Economics, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 174 (188,143)

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monetary policy announcements, hedge fund alpha, abnormal returns, financial

51.

Linear Predictability vs. Bull and Bear Market Models in Strategic Asset Allocation Decisions: Evidence from UK Data

Manchester Business School Research Paper No. 631
Number of pages: 48 Posted: 17 Jan 2013
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 170 (192,003)

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

52.

Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?

WBS Finance Group Research Paper No. 210
Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 26 Dec 2019
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 169 (192,955)

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I-CAPM, Mispricing, REIT, Model Uncertainty, Stochastic Breaks, Bayesian Econometrics

53.

Predictions of Short-Term Rates and the Expectations Hypothesis

Federal Reserve Bank of St. Louis Working Paper Series No. 2010-013B
Number of pages: 53 Posted: 21 May 2010 Last Revised: 15 Jan 2011
Massimo Guidolin and Daniel L. Thornton
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 163 (198,952)
Citation 1

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expectations hypothesis, random walk, time-varying risk premium, predictability

54.

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 Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 161 (201,085)

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

55.

Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?

Number of pages: 57 Posted: 07 Nov 2013
Alejandro Bernales and Massimo Guidolin
Universidad de Chile and Bocconi University - Department of Finance
Downloads 159 (203,243)
Citation 1

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option pricing, rational learning, Bayesian updating, implied volatility, predictability.

56.

Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?

EFA 2006 Zurich Meetings
Number of pages: 52 Posted: 16 Mar 2006
Massimo Guidolin and Simona Mola
Bocconi University - Department of Finance and U.S. Securities and Exchange Commission
Downloads 157 (205,415)

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Universal banks, analyst coverage, ratings, analyst coverage, analyst ratings, mutual funds

57.

How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns

Number of pages: 92 Posted: 22 Jul 2014 Last Revised: 26 Jun 2017
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 151 (212,258)

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predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts

58.

Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model

BAFFI CAREFIN Centre Research Paper No. 2016-23
Number of pages: 63 Posted: 24 Jun 2016
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
Bocconi University - Department of Finance, Securities and Exchange Commission and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 149 (214,589)
Citation 1

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Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.

59.

Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 37 Posted: 06 May 2016 Last Revised: 19 Dec 2016
Marta Giampietro, Massimo Guidolin and Manuela Pedio
Bocconi University - Baffi Carefin Centre, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 149 (214,589)
Citation 2

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60.

Managing International Portfolios With Small Capitalization Stocks

Number of pages: 48 Posted: 31 Aug 2007
Massimo Guidolin and Giovanna Nicodano
Bocconi University - Department of Finance and University of Turin - Department ESOMAS
Downloads 148 (215,738)

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intertemporal portfolio choice, return predictability, co-skewness and co-kurtosis, international portfolio diversification

61.

The Economic Value of Timing Higher Order (Co-)Moments in Bull and Bear Markets

Number of pages: 58 Posted: 28 Feb 2014
Massimo Guidolin and Giovanna Nicodano
Bocconi University - Department of Finance and University of Turin - Department ESOMAS
Downloads 136 (230,878)

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equity market regimes, bull and bear states, return predictability, skewness and kurtosis, equity portfolio diversification.

62.

Equity Portfolio Diversification Under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK

Number of pages: 35 Posted: 31 Jan 2008
Stuart Hyde and Massimo Guidolin
Alliance Manchester Business School - University of Manchester and Bocconi University - Department of Finance
Downloads 136 (230,878)

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multivariate regime switching; Sharpe ratio; time-varying predictability

63.

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

BAFFI CAREFIN Centre Research Paper No. 2019-106
Number of pages: 67 Posted: 10 Jan 2019 Last Revised: 23 Jan 2019
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 128 (242,097)

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Term structure of interest rates, Dynamic Nelson-Siegel factors, regime switching, butterfly strategies, unconventional monetary policy.

64.

Pessimistic Beliefs Under Rational Learning: Quantitative Implications for the Equity Premium Puzzle

Number of pages: 33 Posted: 09 Aug 2004
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 119 (255,723)
Citation 3

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Equity premium, rational learning, structural breaks, pessimism

65.

Diversifying in Public Real Estate: The Ex-Post Performance

Downloads 118 (257,355)

Diversifying in Public Real Estate: The Ex-Post Performance

Number of pages: 22 Posted: 16 Jan 2008
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance
Downloads 118 (258,467)

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Optimal asset allocation, Real estate, Parameter uncertainty, Out-of-sample performance

Diversifying in Public Real Estate: The Ex-Post Performance

Journal of Asset Management, Forthcoming
Posted: 16 Jan 2008
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance

Abstract:

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Optimal asset allocation; Real estate; Parameter uncertainty; Out-of-sample performance

66.

Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets

WBS Finance Group Research Paper No. 211
Number of pages: 30 Posted: 13 Nov 2013
Daniele Bianchi and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London and Bocconi University - Department of Finance
Downloads 114 (263,649)
Citation 2

Abstract:

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Finance, Investment analysis, Portfolio choice, Predictability, Vector autoregressive models, Out-of-sample performance

67.

How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads?

FRB of St. Louis Working Paper No. 2013-005D
Number of pages: 50 Posted: 01 Feb 2013 Last Revised: 06 Mar 2014
Silvio Contessi, Pierangelo De Pace and Massimo Guidolin
Monash Business School - Department of Banking and Finance, Pomona College - Department of Economics and Bocconi University - Department of Finance
Downloads 114 (263,649)
Citation 3

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economic research; yield spreads; correlations; breakpoint tests; nonparametric bootstrap; credit; risk; liquidity risk

68.

Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment

BAFFI CAREFIN Centre Research Paper No. 2018-85
Number of pages: 37 Posted: 03 Aug 2018
Massimo Guidolin, Erwin Hansen and Martin Lozano
Bocconi University - Department of Finance, University of Chile - Department of Business Administration and Independent
Downloads 107 (275,665)

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Linear asset pricing models, Stochastic discount factor, Portfolio selection, Out-of-sample performance

69.

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

Downloads 98 (292,593)

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 Bozen-Bolzano - Faculty of Economics and Management, Bocconi University - Department of Finance and Bocconi University
Downloads 98 (294,601)

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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 Bozen-Bolzano - Faculty of Economics and Management, Bocconi University - Department of Finance and Bocconi University

Abstract:

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

70.

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 Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 96 (296,508)

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

71.

Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: The European Evidence

BAFFI CAREFIN Centre Research Paper No. 2018-89
Number of pages: 32 Posted: 10 Oct 2018 Last Revised: 03 Nov 2018
Massimo Guidolin and Andrea Ricci
Bocconi University - Department of Finance and Bocconi University - Baffi Carefin Centre
Downloads 88 (313,360)

Abstract:

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Arbitrage risk, arbitrage asymmetries, idiosyncratic volatility, cross section of stock returns, large caps

72.

A Markov Switching Cointegration Analysis of the CDS‐Bond Basis Puzzle

BAFFI CAREFIN Centre Research Paper No. 2019-121
Number of pages: 45 Posted: 30 Oct 2019
Massimo Guidolin, Francesco Melloni and Manuela Pedio
Bocconi University - Department of Finance, Bocconi University and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 81 (329,694)

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credit risk, credit default swap, bond spreads, Markov switching, vector error correction models, price discovery

73.

Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 67 Posted: 30 May 2020 Last Revised: 05 Jun 2020
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 72 (352,625)
Citation 2

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Cryptocurrencies, predictability, portfolio diversification, dynamic model averaging, time-varying parameter regressions

74.

Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

Downloads 71 (355,339)

Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 55 Posted: 18 Mar 2016
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 71 (359,405)

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Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014, WBS Finance Group Research Paper No. 221
Posted: 25 Jun 2014
Massimo Guidolin and Daniele Bianchi
Bocconi University - Department of Finance and School of Economics and Finance, Queen Mary University of London

Abstract:

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REIT returns; Predictability; Strategic asset allocation; Markov switching; Vector autoregressive models; Out-of-sample performance

75.

The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis

BAFFI CAREFIN Centre Research Paper No. 2019-122
Number of pages: 45 Posted: 31 Oct 2019 Last Revised: 05 Jun 2020
Massimo Guidolin, Manuela Pedio and Milena T. Petrova
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 59 (391,001)

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public real estate, REITs, private real estate, predictability, mean-variance portfolios

76.

Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes

BAFFI CAREFIN Centre Research Paper No. 2019-118
Number of pages: 45 Posted: 24 Sep 2019
Massimo Guidolin, Manuela Pedio and Valentina Massagli
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University - Baffi Carefin Centre
Downloads 43 (448,729)

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unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields

77.

Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or Hidden Markov Models?

BAFFI CAREFIN Centre Research Paper No. 2020-140
Number of pages: 55 Posted: 26 May 2020 Last Revised: 05 Jun 2020
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 37 (474,236)

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Backward and forward stepwise regressions; hidden Markov models, out-of-sample forecasting; commodity futures returns; mean-variance portfolios.

78.

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

Number of pages: 15 Posted: 03 Jul 2003
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 35 (483,262)
Citation 1
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79.

Time‐Varying Price Discovery in Sovereign Credit Markets

BAFFI CAREFIN Centre Research Paper No. 2019-120
Number of pages: 24 Posted: 30 Oct 2019
Massimo Guidolin, Manuela Pedio and Alessandra Tosi
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 29 (513,058)

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Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery

80.

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Globalization and Monetary Policy Institute Working Paper No. 324
Number of pages: 32 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Silvio Contessi, Pierangelo De Pace and Massimo Guidolin
Monash Business School - Department of Banking and Finance, Pomona College - Department of Economics and Bocconi University - Department of Finance
Downloads 26 (529,866)

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Finance, investment analysis, fixed income markets, yield spreads, mildly explosive behavior

81.

Pricing and Informational Efficiency of the Mib30 Index Options Market: An Analysis with High-Frequency Data

Number of pages: 48 Posted: 07 Oct 2004
Massimo Guidolin and Gianluca Cassese
Bocconi University - Department of Finance and Department of Economics, Statistics and Management
Downloads 25 (535,848)
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82.

Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit

BAFFI CAREFIN Centre Research Paper No. 2020-145
Number of pages: 34 Posted: 15 Jul 2020
Massimo Guidolin and Manuela Pedio
Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 21 (560,596)

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tTention, Sentiment, Text Mining, Forecasting, Conditional Variance, GARCH Model, Brexit

83.

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns

Number of pages: 33 Posted: 28 Dec 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 15 (599,366)
Citation 1
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84.

Forecasts of U.S. Short-Term Interest Rates: A Flexible Forecast Combination Approach

CEPR Discussion Paper No. DP6188
Number of pages: 32 Posted: 20 May 2008
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 2 (695,756)
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Forecast combinations, term structure of interest rates

85.

Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out‐Of‐Sample Evidence

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 4, pp. 510-535, 2014
Number of pages: 26 Posted: 03 Jul 2014
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 0 (726,205)
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86.

Equally Weighted vs. Long‐Run Optimal Portfolios

Downloads 0 (726,205)

Equally Weighted vs. Long‐Run Optimal Portfolios

European Financial Management, Vol. 21, Issue 4, pp. 742-789, 2015
Number of pages: 48 Posted: 19 May 2020
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), Bocconi University - Department of Finance and University of Turin - Department ESOMAS
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equally weighted portfolios, strategic asset allocation, Real Estate Investment Trusts (REITs), return predictability, parameter uncertainty

Equally Weighted vs. Long-Run Optimal Portfolios

Forthcoming, European Financial Management
Posted: 28 Feb 2014
Giovanna Nicodano, Carolina Fugazza and Massimo Guidolin
University of Turin - Department ESOMAS, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and Bocconi University - Department of Finance

Abstract:

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asset allocation, return predictability, parameter uncertainty, REITs, portfolio performance

87.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Brad Case, Massimo Guidolin and Yildiray Yildirim
Fannie Mae, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

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REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations