Author Page for Massimo Guidolin

School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance

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Citation 8

Abstract:

6.

Size and Value Anomalies under Regime Shifts

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2

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

Abstract:

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

Abstract:

7.

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

Downloads 587 ( 45,237)

Citation 34

3

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

Abstract:

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

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Citation 2

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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:

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

Abstract:

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)

Abstract:

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

Abstract:

11.

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

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Citation 24

3

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)

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 Timmermann and Massimo Guidolin

UCSD and Bocconi University - Department of Finance

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Abstract:

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

Abstract:

12.

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

Downloads 552 ( 48,903)

Citation 1

2

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)

Abstract:

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

Abstract:

13.

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

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Citation 1

2

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

Abstract:

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

Abstract:

14.

Affiliated Mutual Funds and Analyst Optimism

Downloads 525 ( 52,092)

Citation 13

2

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)

Abstract:

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

Abstract:

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

Abstract:

16.

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

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Citation 28

2

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

Abstract:

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

Abstract:

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

Abstract:

18.

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

Downloads 413 ( 70,061)

Citation 3

2

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

Abstract:

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

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Citation 1

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19.

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

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Citation 4

2

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

ECB Working Paper No. 977, FRB of St. Louis Working Paper No. 2004-010A

Number of pages: 29 Posted: 16 Mar 2005

Massimo Guidolin and Daniel L. Thornton

Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division

Downloads 274 (110,602)

Abstract:

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)

Abstract:

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

Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile

Independent, Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Euromobiliare Asset Management SGR

Downloads 411 (70,488)

Citation 1

Abstract:

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)

Abstract:

22.

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

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2

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

Abstract:

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

Abstract:

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

Abstract:

24.

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

Downloads 395 ( 73,858)

Citation 2

2

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

30.

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

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Citation 5

3

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)

Abstract:

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)

Abstract:

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

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Abstract:

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

Abstract:

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

Abstract:

33.

High Equity Premia and Crash Fears: Rational Foundations

Downloads 257 (118,816)

2

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

Abstract:

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:

34.

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

Downloads 247 (123,765)

Citation 3

2

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)

Abstract:

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

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Abstract:

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

Abstract:

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

Abstract:

37.

Term Structure of Risk Under Alternative Econometric Specifications

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Citation 34

3

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

Abstract:

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

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Abstract:

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

Abstract:

38.

Properties of Equilibrium Asset Prices Under Alternative Learning Schemes

Downloads 226 (135,202)

Citation 4

2

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

Abstract:

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

Abstract:

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

Abstract:

40.

Investing for the Long-Run in European Real Estate

Downloads 203 (149,657)

Citation 4

2

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

Abstract:

Investing for the Long-Run in European Real Estate

Journal of Real Estate Finance and Economics, Vol. 34, No. 1, 2007

Posted: 18 Aug 2006

Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS), University of Turin - Department ESOMAS and Bocconi University - Department of Finance

Abstract:

41.

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

Downloads 202 (150,404)

Citation 1

2

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

Number of pages: 42 Posted: 31 Aug 2010

Massimo Guidolin and Yu Man Tam

Bocconi University - Department of Finance and University of California, Berkeley - Haas School of Business

Downloads 118 (237,150)

Citation 1

Abstract:

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

Abstract:

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)

Abstract:

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)

Abstract:

44.

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

Downloads 184 (163,903)

Citation 4

2

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

Abstract:

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)

Abstract:

45.

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

Downloads 182 (165,569)

2

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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

Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora

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

Downloads 160 (185,219)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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)

Abstract:

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

Abstract:

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)

Abstract:

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)

Abstract:

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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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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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

Abstract:

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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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

Abstract:

62.

Diversifying in Public Real Estate: The Ex-Post Performance

Downloads 115 (240,510)

2

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)

Abstract:

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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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

Abstract:

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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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

Massimo Guidolin, Francesco Ravazzolo and Andrea Donato Tortora

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

Downloads 96 (272,297)

Abstract:

66.

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

Downloads 94 (276,096)

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

Number of pages: 45 Posted: 24 Apr 2013

Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora

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

Downloads 94 (278,163)

Abstract:

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

Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014

Posted: 31 Oct 2014

Francesco Ravazzolo, Massimo Guidolin and Andrea Donato Tortora

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

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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

Abstract:

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)

Abstract:

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)

Abstract:

70.

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

Downloads 59 (359,744)

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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)

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 School of Economics and Finance, Queen Mary University of London

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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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Abstract:

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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Abstract:

73.

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Downloads 13 (516,445)

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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)

Abstract:

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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Abstract:

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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Abstract:

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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Abstract:

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

Abstract:

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

Massimo Guidolin

Bocconi University - Department of Finance

Professor of Finance

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Scholarly Papers (78)

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

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

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

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

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

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Term Structure of Risk Under Alternative Econometric Specifications

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