Massimo Guidolin

Bocconi University - Department of Finance

Professor of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

70

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CITATIONS
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445

Scholarly Papers (70)

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 1,398 (9,972)
Citation 8

Abstract:

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

Abstract:

Implied volatility surface, predictability, trading rules

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 1,114 (14,325)
Citation 53

Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

G12, F30, C32

3.
Downloads 1,094 ( 15,039)
Citation 45

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,094 (14,731)
Citation 45

Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

Regime switching, Portfolio choice, Predictability

4.

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

EFMA 2003 Helsinki Meetings
Number of pages: 34 Posted: 15 Jun 2003
Allan G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 782 (23,527)
Citation 14

Abstract:

Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference

5.
Downloads 663 ( 31,239)
Citation 25

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 663 (30,735)
Citation 25

Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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 470 (48,279)
Citation 22

Abstract:

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 (308,031)
Citation 22
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Abstract:

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

Abstract:

Civil war, event studies, rent-seeking, Angola

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 497 (44,961)
Citation 18

Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 32 (399,004)
Citation 18
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Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

Rational learning, Black-Scholes biases, option pricing

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 of Economics and Statistics and Bocconi University - Department of Finance
Downloads 517 (42,819)
Citation 6

Abstract:

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 of Economics and Statistics and Bocconi University - Department of Finance

Abstract:

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

9.

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 517 (40,316)
Citation 5

Abstract:

10.
Downloads 506 ( 44,531)
Citation 4

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 324 (75,639)
Citation 4

Abstract:

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 182 (137,986)
Citation 4

Abstract:

analyst coverage, ratings, mutual funds

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 349 (69,344)

Abstract:

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 152 (161,864)

Abstract:

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

12.

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 492 (41,493)
Citation 5

Abstract:

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

13.

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 487 (45,303)
Citation 1

Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 470 (48,279)
Citation 30

Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

Regime switching, stock and bond return predictability, nonlinear modeling

15.

Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching

Number of pages: 55 Posted: 04 Nov 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 466 (44,642)
Citation 21

Abstract:

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

16.

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 388 (55,447)
Citation 4

Abstract:

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

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 257 (97,862)
Citation 5

Abstract:

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 128 (186,564)
Citation 5

Abstract:

expectations theory, random walk, time-varying risk premium

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

Number of pages: 30 Posted: 13 Oct 2005
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 381 (62,522)
Citation 12

Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Abstract:

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

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

Number of pages: 66 Posted: 30 Aug 2012
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business
Downloads 380 (62,719)

Abstract:

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
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business
Downloads 0
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Abstract:

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 219 (115,303)
Citation 2

Abstract:

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 152 (161,864)
Citation 2

Abstract:

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

21.

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 331 (72,099)
Citation 5

Abstract:

Option pricing, arbitrage, informational efficiency, MIB30 index

22.

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, Quantitative Methods and Business Strategies (DEMS), Bocconi University - Department of Finance and University of Turin - Department of Economics and Statistics
Downloads 296 (78,302)

Abstract:

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

23.

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, Quantitative Methods and Business Strategies (DEMS), University of Turin - Department of Economics and Statistics and Bocconi University - Department of Finance
Downloads 292 (82,981)
Citation 3

Abstract:

Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

24.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
University of Warwick, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 289 (35,896)

Abstract:

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

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, Quantitative Methods and Business Strategies (DEMS), Bocconi University - Department of Finance and University of Turin - Department of Economics and Statistics
Downloads 194 (129,835)
Citation 2

Abstract:

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, Quantitative Methods and Business Strategies (DEMS) and University of Turin - Department of Economics and Statistics
Downloads 90 (240,884)
Citation 2

Abstract:

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, Quantitative Methods and Business Strategies (DEMS), Bocconi University - Department of Finance and University of Turin - Department of Economics and Statistics
Downloads 3 (556,719)
Citation 2
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Abstract:

26.

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 257 (94,123)
Citation 7

Abstract:

Conflict onset, Event study, Asset markets, Polarization

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 252 (99,913)
Citation 4

Abstract:

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

Abstract:

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 213 (118,642)
Citation 5

Abstract:

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 (403,470)
Citation 5
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Abstract:

29.

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
Banque de France and Bocconi University - Department of Finance
Downloads 241 (81,140)

Abstract:

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

Term Structure of Risk under Alternative Econometric Specifications

Number of pages: 25 Posted: 04 May 2004
Massimo Guidolin and Allan G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 201 (125,530)
Citation 25

Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 24 (438,810)
Citation 25
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Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 223 (113,280)
Citation 8

Abstract:

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics

Abstract:

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

32.

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 221 (109,417)
Citation 7

Abstract:

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

33.

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 217 (111,243)
Citation 2

Abstract:

Forecast Combination, Predictability, Multivariate Regime Switching, Portfolio Performance

34.
Downloads 192 (131,289)
Citation 17

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, Quantitative Methods and Business Strategies (DEMS), University of Turin - Department of Economics and Statistics and Bocconi University - Department of Finance
Downloads 192 (131,117)
Citation 17

Abstract:

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, Quantitative Methods and Business Strategies (DEMS), University of Turin - Department of Economics and Statistics and Bocconi University - Department of Finance

Abstract:

optimal asset allocation, real estate, predictability, parameter uncertainty

35.

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 190 (127,094)
Citation 4

Abstract:

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

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 111 (208,038)
Citation 3

Abstract:

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 75 (270,037)
Citation 3

Abstract:

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

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 99 (225,917)
Citation 1

Abstract:

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 75 (270,037)
Citation 1

Abstract:

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

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 120 (196,230)
Citation 3

Abstract:

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 52 (328,014)
Citation 3

Abstract:

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

39.

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
Downloads 148 (95,653)

Abstract:

Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity

40.

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
University of Warwick, Warwick Business School, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 146 (95,653)

Abstract:

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

41.

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 144 (160,788)
Citation 1

Abstract:

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

42.

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 135 (160,788)
Citation 1

Abstract:

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

43.

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 of Economics and Statistics
Downloads 131 (176,158)

Abstract:

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

44.

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 128 (157,268)

Abstract:

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

45.

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 127 (181,451)
Citation 1

Abstract:

multivariate regime switching; Sharpe ratio; time-varying predictability

46.

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 122 (178,246)
Citation 7

Abstract:

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

47.

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 113 (201,786)
Citation 3

Abstract:

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, Quantitative Methods and Business Strategies (DEMS), University of Turin - Department of Economics and Statistics and Bocconi University - Department of Finance
Downloads 111 (208,038)
Citation 2

Abstract:

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, Quantitative Methods and Business Strategies (DEMS), University of Turin - Department of Economics and Statistics and Bocconi University - Department of Finance

Abstract:

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

49.

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 100 (217,025)

Abstract:

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

50.

The Success of Option Listings

Number of pages: 59 Posted: 07 Nov 2013 Last Revised: 07 Dec 2014
Alejandro Bernales and Massimo Guidolin
Banque de France and Bocconi University - Department of Finance
Downloads 94 (232,448)

Abstract:

stock options, option listings, asymmetric information, adoption rates, option volume, open interest

51.

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
Banque de France and Bocconi University - Department of Finance
Downloads 93 (195,472)

Abstract:

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

52.

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 of Economics and Statistics
Downloads 78 (220,019)

Abstract:

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

53.

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 76 (249,694)
Citation 1

Abstract:

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

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

Number of pages: 45 Posted: 24 Apr 2013
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University
Downloads 75 (270,037)

Abstract:

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

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

Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014
Posted: 31 Oct 2014
Free University of Bolzano, Bocconi University - Department of Finance and Bocconi University

Abstract:

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

55.

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 68 (171,179)
Citation 1

Abstract:

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

56.

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
University of Warwick, Warwick Business School and Bocconi University - Department of Finance
Downloads 62 (242,499)

Abstract:

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

57.

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
University of Warwick, Warwick Business School, Bocconi University - Department of Finance and Free University of Bolzano
Downloads 61 (208,439)

Abstract:

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

58.

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 Baffi Carefin Centre, Bocconi University
Downloads 50 (226,049)

Abstract:

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

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 43 (356,870)

Abstract:

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 University of Warwick, Warwick Business School

Abstract:

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

60.

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 35 (377,990)
Citation 8
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Abstract:

61.

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 (420,832)
Citation 3
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Abstract:

62.

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 G. Timmermann and Massimo Guidolin
University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance
Downloads 15 (472,433)
Citation 30
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Abstract:

63.

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 G. Timmermann
Bocconi University - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 2 (537,749)
Citation 11
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Abstract:

Forecast combinations, term structure of interest rates

64.

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
Francesco Chincoli and Massimo Guidolin
Independent and Bocconi University - Department of Finance
Downloads 0 (150,644)

Abstract:

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

65.

Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

BAFFI CAREFIN Centre Research Paper No. 2016-37
Number of pages: 39 Posted: 15 Oct 2016
Independent, Bocconi University - Department of Finance, Baffi Carefin Centre, Bocconi University and Euromobiliare Asset Management SGR
Downloads 0 (224,539)

Abstract:

predictability, Markov switching, economic value, optimal portfolio choice

66.

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 Baffi Carefin Centre, Bocconi University
Downloads 0 (247,887)

Abstract:

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

67.

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 Baffi Carefin Centre, Bocconi University
Downloads 0 (249,694)

Abstract:

68.

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 (561,459)
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Abstract:

69.

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 of Economics and Statistics, Università degli Studi di Milano-Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) and Bocconi University - Department of Finance

Abstract:

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

70.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Bradford Case, Massimo Guidolin and Yildiray Yildirim
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and CUNY Baruch College - Zicklin School of Business

Abstract:

REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations