Massimo Guidolin

Bocconi University - Department of Finance

Professor of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

78

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Scholarly Papers (78)

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

EFMA 2003 Helsinki Meetings
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 1,506 (11,338)
Citation 16

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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.
Downloads 1,226 ( 15,938)
Citation 22

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 1,226 (15,620)
Citation 22

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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

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 1,195 (16,274)
Citation 11

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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

EFMA 2003 Helsinki Meetings
Number of pages: 34 Posted: 15 Jun 2003
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 847 (27,496)
Citation 4

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Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

5.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
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 777 (30,951)
Citation 8

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

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 695 (35,545)
Citation 5

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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

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 528 (51,081)
Citation 7

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Angola, civil war, rent seeking, event studies

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

CEPR Discussion Paper No. 4668
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 (364,829)
Citation 2
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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.

Value at Risk and Expected Shortfall Under Regime Switching

EFA 2004 Maastricht Meetings Paper No. 2983
Number of pages: 44 Posted: 23 Jun 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 566 (47,377)
Citation 5

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9.

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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 563 (47,691)

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

10.

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 561 (47,906)
Citation 8

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

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 525 (51,473)

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

CEPR Discussion Paper No. 3005
Number of pages: 61 Posted: 01 Nov 2001
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 32 (469,727)
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Option prices, Black-Scholes option pricing model, Bayesian learning

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

Journal of Economic Dynamics and Control, Vol. 27, pp. 717-769, 2003
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

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 395 (73,177)

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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 157 (188,470)
Citation 1

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

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 535 (50,219)
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.
Downloads 525 ( 52,092)
Citation 13

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 338 (87,803)

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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 187 (161,512)
Citation 14

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analyst coverage, ratings, mutual funds

15.

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 509 (54,179)
Citation 3

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

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 498 (55,007)
Citation 28

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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

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 471 (59,746)
Citation 2

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

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 413 (69,407)
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 0
Citation 1
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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 274 (110,602)

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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 138 (209,793)

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expectations theory, random walk, time-varying risk premium

20.

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
Independent, Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Euromobiliare Asset Management SGR
Downloads 411 (70,488)
Citation 1

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predictability, Markov switching, economic value, optimal portfolio choice

21.

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 406 (71,558)

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

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 404 (71,308)
Citation 6

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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.

23.

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 396 (73,654)
Citation 3

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

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 University of Manchester - Manchester Business School
Downloads 225 (135,387)
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 University of Manchester - Manchester Business School
Downloads 170 (175,976)
Citation 1

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

25.

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
Number of pages: 44 Posted: 12 Nov 2013 Last Revised: 11 Jun 2015
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 Bolzano
Downloads 356 (83,329)
Citation 2

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

26.

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 (85,284)
Citation 1

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Option pricing, arbitrage, informational efficiency, MIB30 index

27.

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 338 (88,440)
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

28.

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 306 (98,651)
Citation 1

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Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

29.

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 301 (100,426)
Citation 2

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Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

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 204 (148,809)

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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 92 (281,981)

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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 (659,566)
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31.

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 281 (108,161)
Citation 4

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Conflict onset, Event study, Asset markets, Polarization

32.

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 262 (116,429)
Citation 1

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

High Equity Premia and Crash Fears: Rational Foundations

EFMA 2004 Basel Meetings Paper
Number of pages: 18 Posted: 09 May 2004
Massimo Guidolin
Bocconi University - Department of Finance
Downloads 257 (118,255)
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

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 216 (140,908)

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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 (474,791)
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35.

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 243 (125,837)
Citation 1

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

36.

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 234 (130,666)
Citation 1

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Forecast Combination, Predictability, Multivariate Regime Switching, Portfolio Performance

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 206 (147,438)
Citation 2

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Term structure of risk, nonlinear econometric models, simulation methods

Term Structure of Risk Under Alternative Econometric Specifications

CEPR Discussion Paper No. 4645
Number of pages: 28 Posted: 22 Nov 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 24 (514,742)
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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

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 226 (134,768)
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

39.

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
University of Manchester - Manchester Business School and Bocconi University - Department of Finance
Downloads 203 (149,657)
Citation 1

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

40.
Downloads 203 (149,657)
Citation 4

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 203 (149,450)
Citation 4

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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

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optimal asset allocation, real estate, predictability, parameter uncertainty

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 118 (237,150)
Citation 1

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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 84 (299,002)
Citation 1

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

42.

Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 59 Posted: 04 Jun 2018 Last Revised: 30 Aug 2019
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 194 (157,018)

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asset pricing; behavioral finance; financial markets; investor sentiment; sentiment risk premium

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 194 (156,248)

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

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 130 (220,138)
Citation 1

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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 (381,354)

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

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, University of Manchester - Manchester Business School, affiliation not provided to SSRN and Hiroshima University
Downloads 102 (263,311)

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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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 80 (308,056)

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

46.

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 177 (169,757)

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

47.

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 177 (169,757)

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

48.

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 University of Manchester - Manchester Business School
Downloads 166 (179,528)

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

49.

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
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 160 (185,219)

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

50.

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 156 (189,203)

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

51.

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 155 (190,264)

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

52.

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

Number of pages: 40 Posted: 12 Nov 2013 Last Revised: 06 Nov 2016
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 Bolzano
Downloads 154 (191,322)

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

53.

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 146 (200,998)

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

54.

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 146 (199,858)
Citation 1

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

55.

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 144 (202,137)

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

56.

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 138 (209,202)

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

57.

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
University of Manchester - Manchester Business School and Bocconi University - Department of Finance
Downloads 135 (213,016)

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multivariate regime switching; Sharpe ratio; time-varying predictability

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 134 (214,248)

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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
Baffi Carefin Centre, Bocconi University, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 134 (214,248)
Citation 1

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60.

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 126 (224,728)

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

61.

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 118 (236,079)
Citation 3

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Equity premium, rational learning, structural breaks, pessimism

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 115 (241,667)

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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

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

63.

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

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 111 (246,645)
Citation 2

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

64.

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 110 (248,325)
Citation 1

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

65.

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
Bocconi University - Department of Finance, Free University of Bolzano and Bocconi University
Downloads 96 (272,297)

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

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

Number of pages: 45 Posted: 24 Apr 2013
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University
Downloads 94 (278,163)

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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
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University

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

67.

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 90 (283,889)
Citation 1

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

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 80 (305,182)

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

69.

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 Baffi Carefin Centre, Bocconi University
Downloads 71 (326,843)

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

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 59 (364,829)

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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
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

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

71.

Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

Manchester School, Vol. 71, pp. 381-395, July 2003
Number of pages: 15 Posted: 03 Jul 2003
Massimo Guidolin and Allan Timmermann
Bocconi University - Department of Finance and UCSD
Downloads 35 (445,055)
Citation 1
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72.

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

Economic Notes, Vol. 33, No. 2, pp. 275-321, July 2004
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 (493,569)
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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: 05 Jul 2019
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 13 (586,507)

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

74.

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

Economic Journal, Vol. 115, No. 500, pp. 111-143, January 2005
Number of pages: 33 Posted: 28 Dec 2004
Allan Timmermann and Massimo Guidolin
UCSD and Bocconi University - Department of Finance
Downloads 15 (551,690)
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75.

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 (640,107)
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Forecast combinations, term structure of interest rates

76.

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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 0 (670,106)
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77.

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

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

78.

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