Massimo Guidolin

University of Liverpool Management School

Department of Accounting and Finance

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti 25

Milan, 20136

Italy

  • University of Liverpool Management School

SCHOLARLY PAPERS

89

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334

CROSSREF CITATIONS

245

Scholarly Papers (89)

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1.

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

Downloads 1,719 ( 14,438)
Citation 19

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 University of Liverpool Management School
Downloads 1,719 (14,205)
Citation 19

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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 University of Liverpool Management School

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Implied volatility surface, predictability, trading rules

2.

Asset Allocation Under Multivariate Regime Switching

Downloads 1,568 ( 16,600)
Citation 37

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
University of Liverpool Management School and UCSD
Downloads 1,568 (16,334)
Citation 37

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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 University of Liverpool Management School

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Regime switching, Portfolio choice, Predictability

3.

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Downloads 1,301 ( 21,973)
Citation 32

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 University of Liverpool Management School
Downloads 1,301 (21,617)
Citation 32

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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
University of Liverpool Management School and UCSD

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G12, F30, C32

4.

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, Monica Billio, Roberto Casarin and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University of Liverpool Management School
Downloads 908 (36,930)
Citation 19

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

5.

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 University of Liverpool Management School
Downloads 879 (38,672)
Citation 5

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Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

6.

Size and Value Anomalies under Regime Shifts

Downloads 730 ( 49,591)

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
University of Liverpool Management School and UCSD
Downloads 730 (48,947)
Citation 8

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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
University of Liverpool Management School and UCSD

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

7.

Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

Number of pages: 55 Posted: 04 Nov 2004
Massimo Guidolin and Allan Timmermann
University of Liverpool Management School and UCSD
Downloads 659 (56,928)
Citation 9

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

8.

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

Downloads 641 ( 58,757)
Citation 45

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
University of Liverpool Management School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 582 (65,703)
Citation 13

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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 University of Liverpool Management School
Downloads 59 (495,293)
Citation 10
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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 University of Liverpool Management School

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Civil war, event studies, rent-seeking, Angola

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 University of Liverpool Management School
Downloads 597 (64,318)
Citation 7

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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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 595 (64,585)
Citation 1

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

11.

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: 71 Posted: 28 May 2020 Last Revised: 02 Oct 2020
Roland Füss, Massimo Guidolin and Christian Koeppel
Swiss Finance Institute, University of Liverpool Management School and University of St. Gallen
Downloads 593 (64,850)

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

12.

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

Downloads 582 ( 66,431)
Citation 28

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
University of Liverpool Management School and UCSD
Downloads 550 (70,611)
Citation 2

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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 University of Liverpool Management School
Downloads 32 (633,944)
Citation 2
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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 University of Liverpool Management School

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Rational learning, Black-Scholes biases, option pricing

13.

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

Downloads 581 ( 66,579)
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
University of Liverpool Management School and Kataris Capital Advisors SA
Downloads 414 (99,447)

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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
University of Liverpool Management School and University of Manchester - Manchester Business School
Downloads 167 (247,879)
Citation 1

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

14.

Dynamic Portfolio Management with Machine Learning

Number of pages: 81 Posted: 17 Mar 2021
Xinyu Huang, Massimo Guidolin, Emmanouil Platanakis and David Newton
University of Bath - School of Management, University of Liverpool Management School, University of Bath - School of Management and University of Bath - School of Management
Downloads 579 (67,020)
Citation 2

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Investment analysis, portfolio management, machine learning, deep learning, parameter uncertainty

15.

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

Downloads 568 ( 68,545)

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
University of Liverpool Management School and UCSD
Downloads 568 (67,792)
Citation 35

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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
University of Liverpool Management School and UCSD

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Regime switching, stock and bond return predictability, nonlinear modeling

16.

Affiliated Mutual Funds and Analyst Optimism

Downloads 556 ( 70,399)
Citation 19

Affiliated Mutual Funds and Analyst Optimism

Number of pages: 49 Posted: 04 Dec 2006
Massimo Guidolin, Simona Mola and Simona Mola
University of Liverpool Management School and U.S. Securities and Exchange CommissionArizona State University (ASU) - Finance Department
Downloads 356 (118,207)

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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, Simona Mola and Massimo Guidolin
U.S. Securities and Exchange CommissionArizona State University (ASU) - Finance Department and University of Liverpool Management School
Downloads 200 (211,745)
Citation 20

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analyst coverage, ratings, mutual funds

17.

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

Downloads 552 ( 71,043)

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 University of Liverpool Management School
Downloads 552 (70,281)
Citation 2

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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 University of Liverpool Management School

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

18.

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
University of Liverpool Management School and Banque de France
Downloads 549 (71,532)
Citation 13

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

19.

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
University of Liverpool Management School and Commodity Futures Trading Commission (CFTC)
Downloads 536 (73,719)

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

20.

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 University of Liverpool Management School
Downloads 531 (74,557)
Citation 3

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

21.

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
University of Liverpool Management School and Commodity Futures Trading Commission (CFTC)
Downloads 513 (77,804)

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

22.

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 University of Liverpool Management School
Downloads 498 (80,706)
Citation 7

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

23.

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

Downloads 471 ( 86,236)
Citation 2

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
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 287 (148,874)

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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
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 184 (228,047)
Citation 3

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expectations theory, random walk, time-varying risk premium

24.

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: 18 Dec 2020
Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile
Independent, University of Liverpool Management School, University of Bristol and Euromobiliare Asset Management SGR
Downloads 463 (88,092)
Citation 2

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predictability, Markov switching, economic value, optimal portfolio choice

25.

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

Downloads 447 ( 91,744)
Citation 4

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, University of Liverpool Management School and Zicklin School of Business, Baruch College - The City University of New York
Downloads 439 (92,915)
Citation 3

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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, University of Liverpool Management School and Zicklin School of Business, Baruch College - The City University of New York
Downloads 8 (842,805)
Citation 2

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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, University of Liverpool Management School and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 445 (92,220)
Citation 7

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

27.

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
University of Liverpool Management School and University of Bristol
Downloads 443 (92,688)
Citation 1

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

28.

The Dynamics of Returns Predictability in Cryptocurrency Markets

BAFFI CAREFIN Centre Research Paper No. 2020-143
Number of pages: 50 Posted: 30 May 2020 Last Revised: 05 May 2022
Daniele Bianchi, Massimo Guidolin and Manuela Pedio
School of Economics and Finance, Queen Mary University of London, University of Liverpool Management School and University of Bristol
Downloads 433 (95,206)
Citation 5

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Bitcoin, cryptocurrencies, returns predictability, investments, dynamic model averaging.

29.

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

Downloads 423 ( 97,815)
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
University of Liverpool Management School and Alliance Manchester Business School - University of Manchester
Downloads 235 (181,742)
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
University of Liverpool Management School and Alliance Manchester Business School - University of Manchester
Downloads 188 (223,760)
Citation 2

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

30.

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

Downloads 421 ( 98,299)

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
University of Liverpool Management School and UCSD
Downloads 421 (97,509)
Citation 9

Abstract:

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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 University of Liverpool Management School

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

31.

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
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 360 (117,531)
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

32.

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 University of Liverpool Management School
Downloads 355 (119,332)
Citation 1

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Option pricing, arbitrage, informational efficiency, MIB30 index

33.

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
University of Liverpool Management School and University of Manchester - Alliance Manchester Business School
Downloads 347 (122,399)
Citation 3

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

34.

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

Downloads 327 (130,489)
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
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 228 (187,063)

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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
University of Liverpool Management School, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS
Downloads 95 (378,038)
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
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 4 (888,252)

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35.

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 University of Liverpool Management School
Downloads 318 (134,246)
Citation 1

Abstract:

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

36.

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
University of Liverpool Management School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 316 (135,154)
Citation 9

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Conflict onset, Event study, Asset markets, Polarization

37.

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
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 316 (135,154)

Abstract:

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Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

38.

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
University of Liverpool Management School and University of Bristol
Downloads 304 (140,831)

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

39.

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
University of Liverpool Management School, Commodity Futures Trading Commission (CFTC) and University of Bristol
Downloads 266 (161,398)

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

40.

High Equity Premia and Crash Fears: Rational Foundations

Downloads 261 (164,508)
Citation 2

High Equity Premia and Crash Fears: Rational Foundations

Number of pages: 18 Posted: 09 May 2004
Massimo Guidolin
University of Liverpool Management School
Downloads 261 (163,980)
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
University of Liverpool Management School

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Rational learning, equity premium, structural breaks

41.

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 University of Liverpool Management School
Downloads 258 (166,443)

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

42.

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

Downloads 255 (168,370)
Citation 4

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

Number of pages: 32 Posted: 23 Nov 2003
Massimo Guidolin
University of Liverpool Management School
Downloads 223 (191,119)

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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
University of Liverpool Management School
Downloads 32 (633,944)
Citation 1

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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 University of Liverpool Management School
Downloads 249 (172,235)

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

44.

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 University of Liverpool Management School
Downloads 240 (178,532)
Citation 1

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Forecast Combination, Predictability, Multivariate Regime Switching, Portfolio Performance

45.

Term Structure of Risk Under Alternative Econometric Specifications

Downloads 238 (179,963)
Citation 34

Term Structure of Risk Under Alternative Econometric Specifications

Number of pages: 25 Posted: 04 May 2004
Massimo Guidolin and Allan Timmermann
University of Liverpool Management School and UCSD
Downloads 214 (198,792)
Citation 2

Abstract:

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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 University of Liverpool Management School
Downloads 24 (692,483)
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
University of Liverpool Management School and UCSD

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Term structure of risk, nonlinear econometric models, simulation methods

46.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

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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 University of Liverpool Management School
Downloads 235 (181,742)
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
University of Liverpool Management School and UCSD

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

47.

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, University of Liverpool Management School and University of Bristol
Downloads 226 (188,936)

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

48.

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

Downloads 217 (196,458)
Citation 2

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
University of Liverpool Management School and University of California, Berkeley - Haas School of Business
Downloads 125 (312,545)

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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
University of Liverpool Management School and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 92 (385,904)
Citation 2

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

49.

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 University of Liverpool Management School
Downloads 213 (199,822)
Citation 1

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

50.

Investing for the Long-Run in European Real Estate

Downloads 213 (199,822)
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
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 213 (199,671)
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
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School

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optimal asset allocation, real estate, predictability, parameter uncertainty

51.

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), University of Liverpool Management School and University of Cyprus - Department of Accounting and Finance
Downloads 204 (208,010)
Citation 2

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

52.

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

Downloads 198 (213,677)
Citation 5

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
University of Liverpool Management School and Banque de France
Downloads 142 (283,471)
Citation 2

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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
University of Liverpool Management School and Banque de France
Downloads 56 (507,730)
Citation 2

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

53.

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, University of Liverpool Management School and University of Bristol
Downloads 194 (217,687)
Citation 2

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54.

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, University of Liverpool Management School and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 194 (217,687)

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

55.

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
University of Liverpool Management School, Commodity Futures Trading Commission (CFTC) and University of Bristol
Downloads 192 (219,667)
Citation 1

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

56.

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
University of Liverpool Management School and University of Bristol
Downloads 190 (221,674)
Citation 2

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

57.

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

Downloads 188 (223,708)

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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, affiliation not provided to SSRN and Hiroshima University
Downloads 105 (353,868)

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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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 83 (411,126)

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

58.

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 University of Liverpool Management School
Downloads 187 (224,722)
Citation 1

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

59.

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
University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 179 (233,345)

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

60.

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
University of Liverpool Management School and Alliance Manchester Business School - University of Manchester
Downloads 176 (236,786)

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

61.

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
University of Liverpool Management School, Bocconi University and University of Bristol
Downloads 174 (239,096)

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

62.

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
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 171 (242,643)
Citation 1

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

63.

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
University of Liverpool Management School, Free University of Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 168 (246,204)

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

64.

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
University of Liverpool Management School, University of Chile - Department of Business Administration and University of Monterrey - UDEM
Downloads 164 (251,287)

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

65.

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, Simona Mola and Simona Mola
University of Liverpool Management School and U.S. Securities and Exchange CommissionArizona State University (ASU) - Finance Department
Downloads 161 (255,293)

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

66.

Managing International Portfolios With Small Capitalization Stocks

Number of pages: 48 Posted: 31 Aug 2007
Massimo Guidolin and Giovanna Nicodano
University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 155 (263,371)

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

67.

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 University of Liverpool Management School
Downloads 142 (282,364)

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multivariate regime switching; Sharpe ratio; time-varying predictability

68.

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 Last Revised: 05 Jan 2021
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 129 (304,004)

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

69.

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 University of Liverpool Management School
Downloads 123 (314,927)
Citation 2

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

70.

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

Number of pages: 33 Posted: 09 Aug 2004
Massimo Guidolin
University of Liverpool Management School
Downloads 121 (318,671)
Citation 3

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Equity premium, rational learning, structural breaks, pessimism

71.

Diversifying in Public Real Estate: The Ex-Post Performance

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Diversifying in Public Real Estate: The Ex-Post Performance

Number of pages: 22 Posted: 16 Jan 2008
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 120 (322,068)

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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
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School

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

72.

Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks

BAFFI CAREFIN Centre Research Paper No. 2021-169
Number of pages: 25 Posted: 27 Dec 2021
Massimo Guidolin, Davide La Cara and Massimiliano Giuseppe Marcellino
University of Liverpool Management School, Bocconi University and Bocconi University - Department of Economics
Downloads 119 (322,362)

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Conditionally heteroskedastic models, Covid-19, volatility forecasting

73.

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 University of Liverpool Management School
Downloads 118 (324,288)
Citation 4

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

74.

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: 23 Dec 2021
Massimo Guidolin and Manuela Pedio
University of Liverpool Management School and University of Bristol
Downloads 111 (338,575)
Citation 1

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

75.

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: 18 Dec 2020
Massimo Guidolin and Andrea Ricci
University of Liverpool Management School and Bocconi University - Baffi Carefin Centre
Downloads 110 (340,630)

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

76.

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

Downloads 101 (360,572)

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, University of Liverpool Management School and Bocconi University
Downloads 101 (363,251)

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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, University of Liverpool Management School and Bocconi University

Abstract:

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

77.

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
University of Liverpool Management School, Free University of Bozen-Bolzano - Faculty of Economics and Management and Bocconi University
Downloads 99 (365,326)

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

78.

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 Petrova
University of Liverpool Management School, University of Bristol and Syracuse University - Whitman School of Management
Downloads 95 (374,848)
Citation 1

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

79.

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
University of Liverpool Management School, University of Bristol and Bocconi University - Baffi Carefin Centre
Downloads 78 (422,009)

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

80.

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

Downloads 75 (431,315)

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
University of Liverpool Management School
Downloads 75 (436,286)

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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
University of Liverpool Management School and School of Economics and Finance, Queen Mary University of London

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

81.

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
University of Liverpool Management School, University of Bristol and Bocconi University
Downloads 51 (520,752)

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

82.

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Number of pages: 60 Posted: 08 Nov 2021 Last Revised: 15 Aug 2022
Juan Arismendi-Zambrano, Massimo Guidolin and Martin Lozano
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, University of Liverpool Management School and University of Monterrey - UDEM
Downloads 40 (573,287)

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Empirical asset pricing, Factor models, Higher order moments, Generalized Method of Moments, Stochastic discount factor, Beta pricing, Estimation efficiency

83.

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

Number of pages: 15 Posted: 03 Jul 2003
Massimo Guidolin and Allan Timmermann
University of Liverpool Management School and UCSD
Downloads 37 (589,175)
Citation 1

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84.

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Globalization 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 University of Liverpool Management School
Downloads 33 (612,192)

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

85.

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
University of Liverpool Management School and Department of Economics, Statistics and Management
Downloads 26 (657,505)

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86.

Equally Weighted vs. Long‐Run Optimal Portfolios

Downloads 5 (842,255)

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
University of Torino - Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 5 (875,975)

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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, University of Torino - Department of Economics ESOMAS and University of Liverpool Management School

Abstract:

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

87.

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
University of Liverpool Management School and UCSD
Downloads 2 (878,396)
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Forecast combinations, term structure of interest rates

88.

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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 0 (909,419)

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89.

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, University of Liverpool Management School 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