Access Statistics for Massimo Guidolin

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus 0 0 0 78 0 0 2 210
1/N and long run optimal portfolios: results for mixed asset menus 0 0 1 129 1 4 8 317
A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets 0 0 2 123 0 0 8 229
A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle 1 6 24 53 1 7 36 87
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 0 0 1 124 0 0 7 253
A yield spread perspective on the great financial crisis: break-point test evidence 0 1 3 144 1 2 11 274
Affiliated mutual funds and analyst optimism 0 0 2 248 2 10 19 404
Ambiguity Aversion and Under-diversification 0 0 5 192 0 1 12 369
Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature 0 0 2 297 0 1 16 747
Ambiguity in asset pricing and portfolio choice: a review of the literature 0 0 2 147 0 0 9 248
An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings 0 0 2 107 0 1 7 273
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 2 289 1 2 7 551
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 1 1 4 40 1 3 13 87
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 0 0 3 14 0 1 12 35
Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? 2 10 67 67 5 18 79 79
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 0 0 0 212 0 0 5 458
Asset allocation under multivariate regime switching 0 0 3 619 0 2 19 1,216
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 0 1 4 37 3 5 28 64
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 1 2 10 82 1 4 16 106
Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? 0 1 4 57 0 1 8 78
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective 0 0 2 184 0 1 7 416
Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective 0 0 0 216 0 0 3 450
Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests 0 0 3 453 2 3 19 1,120
Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms? 0 1 1 239 6 10 41 1,005
Diamonds are forever, wars are not. Is conflict bad for private firms? 0 1 3 462 5 8 23 1,145
Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets 3 9 64 64 5 12 119 119
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 0 0 2 75 0 1 6 128
Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? 0 0 1 57 0 3 9 147
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? 3 5 39 41 3 6 49 51
Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis 0 0 6 132 0 1 13 159
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 1 3 22 67 2 4 33 80
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 3 9 24 24 3 11 24 24
Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence 0 1 2 123 0 1 5 334
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 2 129 0 0 5 331
Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK 0 0 0 131 0 0 1 345
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing 2 5 18 81 3 10 36 139
Ex Post Portfolio Performance with Predictable Skewness and Kurtosis 0 8 8 140 0 12 21 376
Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery 1 2 13 13 1 4 12 12
Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors 2 5 21 92 3 6 30 119
Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models 2 5 25 113 3 7 38 153
Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models 3 6 18 73 3 7 25 83
Forecasts of U.S. short-term interest rates: a flexible forecast combination approach 0 0 1 884 0 0 7 2,471
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 277 0 1 4 738
High equity premia and crash fears. Rational foundations 0 0 1 114 0 0 2 292
Home bias and high turnover in an overlapping generations model with learning 0 0 2 213 0 0 5 516
How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs 2 2 23 65 2 4 40 90
How did the financial crisis alter the correlations of U.S. yield spreads? 1 2 9 207 4 11 44 519
Identifying and Measuring the Contagion Channels at Work in the European Financial Crises 0 0 3 85 0 0 10 125
Implied Learning Paths from Option Prices 0 1 1 139 0 1 2 292
International asset allocation under regime switching, skew and kurtosis preferences 0 1 4 481 1 3 13 911
Investing for the Long-Run in European Real Estate. Does Predictability Matter? 0 0 1 178 0 0 1 429
Investing for the long-run in European real estate 0 0 0 382 0 0 7 1,302
Investing in Mixed Asset Portfolios: the Ex-Post Performance 0 0 2 110 0 2 8 372
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? 0 1 8 103 0 2 12 244
Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* 0 1 5 123 0 1 16 187
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 0 0 6 93 0 0 10 140
Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section 0 0 1 60 2 4 17 312
Managing international portfolios with small capitalization stocks 0 0 0 64 0 0 2 251
Markov Switching Models in Empirical Finance 9 23 84 2,198 18 46 159 4,187
Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit 1 5 42 42 3 9 58 58
Mildly Explosive Dynamics in U.S. Fixed Income Markets 1 4 8 8 2 7 19 19
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 0 0 17 2 6 19 78
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 0 3 21 1 6 18 65
Modeling Systemic Risk with Markov Switching Graphical SUR Models 1 7 17 117 1 8 33 174
Modelling the MIB30 implied volatility surface. Does market efficiency matter? 0 0 1 225 0 1 2 752
Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? 1 3 15 96 1 4 22 105
Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations 0 1 20 24 3 5 52 64
Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns 0 0 2 117 2 6 17 272
Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns 0 0 1 71 0 0 5 135
Non-linear predictability in stock and bond returns: when and where is it exploitable? 0 0 4 451 0 5 22 873
Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value 0 0 0 100 1 1 1 212
Optimal portfolio choice under regime switching, skew and kurtosis preferences 0 1 3 432 0 2 8 1,258
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 4 14 883
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 0 0 6 950
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 0 0 3 648
Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle 0 0 0 143 0 0 3 443
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment 0 2 10 40 0 3 19 85
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment 2 2 5 16 3 3 12 37
Predictable dynamics in the S&P 500 index options implied volatility surface 0 0 1 601 0 0 4 1,490
Predictions of short-term rates and the expectations hypothesis 0 0 1 136 0 2 5 312
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates 0 1 4 152 2 8 38 430
Properties of equilibrium asset prices under alternative learning schemes 0 0 0 175 0 1 5 447
Regime shifts in mean-variance efficient frontiers: some international evidence 0 0 0 121 0 0 5 207
Sentiment Risk Premia In The Cross-Section of Global Equity 1 2 12 34 1 4 24 48
Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns 1 1 20 69 2 3 44 95
Size and value anomalies under regime shifts 0 0 0 258 0 0 3 559
Small Caps in International Diversified Portfolios 0 0 0 73 1 3 8 245
Small Caps in International Equity Portfolios: The Effects of Variance Risk 1 1 1 155 1 5 13 490
Small caps in international equity portfolios: the effects of variance risk 0 0 2 170 0 3 9 512
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 1 11 768
Subjective probabilities: psychological evidence and economic applications 0 0 1 256 0 0 9 820
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 113 0 0 4 334
Term structure of risk under alternative econometric specifications 0 0 0 218 0 0 5 517
The Effects of Information Asymmetries on the Success of Stock Option Listings 0 0 3 110 0 0 14 417
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts 0 0 7 155 1 5 31 307
The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis 0 0 21 63 0 1 33 62
The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns 0 0 3 242 0 1 9 619
The economic effects of violent conflict: evidence from asset market reactions 1 1 3 221 2 3 8 697
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 0 103 0 1 3 417
Time and risk diversification in real estate investments: assessing the ex post economic value 0 0 1 127 0 2 5 290
Time-Varying Price Discovery in Sovereign Credit Markets 0 2 12 36 1 3 20 47
Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model 0 0 2 50 1 4 14 103
Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? 0 1 7 44 0 2 10 72
What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model 0 0 0 170 0 0 1 537
Why do analysts continue to provide favorable coverage for seasoned stocks? 0 0 0 87 0 2 8 254
Total Working Papers 47 147 798 18,294 113 368 1,876 44,406


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Review of: “Book Review: Empirical Dynamic Asset Pricing” 0 0 0 39 0 0 2 115
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 0 0 0 84 0 0 1 219
A yield spread perspective on the great financial crisis: Break-point test evidence 0 0 3 44 2 2 11 138
Affiliated mutual funds and analyst optimism 0 0 3 128 3 5 16 369
Alternative econometric implementations of multi-factor models of the U.S. financial markets 0 0 0 35 0 1 5 119
Ambiguity Aversion and Underdiversification 0 1 4 33 1 2 9 76
Ambiguity in asset pricing and portfolio choice: a review of the literature 0 0 1 65 3 4 10 150
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 0 0 2 4 4 4
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 4 364 1 2 13 853
An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings 0 0 1 1 0 3 7 7
Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence 0 1 10 10 0 2 17 17
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 0 0 0 94 0 0 3 241
Asset allocation under multivariate regime switching 1 4 27 451 2 10 72 963
Bubbling (or just frothy) house prices? 0 0 0 32 0 1 3 145
Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios 0 0 1 36 1 4 18 132
Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective 0 0 3 92 0 0 5 230
Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets 0 0 2 33 1 2 8 96
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests 1 3 9 65 9 19 57 237
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach 0 0 7 14 0 1 14 33
Cross-country personal saving rates 0 1 2 83 0 2 4 226
Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? 1 2 6 428 9 24 102 1,611
Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 0 0 3 27 0 2 12 54
Diversifying in public real estate: The ex-post performance 0 0 0 0 1 3 5 5
Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence 0 0 2 16 0 0 3 71
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 4 343 0 1 10 701
Equally Weighted vs. Long†Run Optimal Portfolios 0 0 1 6 1 1 6 18
Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK 0 0 0 41 0 0 1 117
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing 0 0 1 16 0 0 5 31
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models 0 1 6 15 3 5 35 72
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? 0 1 1 1 1 6 6 6
Forecasting yield spreads under crisis-induced multiple breakpoints 0 0 0 12 0 0 1 38
Forecasts of US short-term interest rates: A flexible forecast combination approach 0 0 1 233 0 2 10 602
High equity premia and crash fears - Rational foundations 0 0 0 94 0 0 1 234
Home Bias and High Turnover in an Overlapping‐generations Model with Learning 0 0 1 85 0 0 5 237
How did the financial crisis alter the correlations of U.S. yield spreads? 0 0 2 25 1 3 10 108
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns 0 0 5 15 0 0 14 41
Identifying and measuring the contagion channels at work in the European financial crises 0 2 8 45 1 4 22 118
International asset allocation under regime switching, skew, and kurtosis preferences 0 1 7 212 0 2 22 535
International asset prices and portfolio choices under Bayesian learning 0 0 2 100 0 0 7 223
Investing for the Long-run in European Real Estate 0 0 0 117 0 1 4 298
Is the bond market irrational? 0 0 1 44 0 0 4 131
Is the financial crisis over? a yield spread perspective 0 0 0 16 0 0 1 63
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? 0 1 2 40 0 2 11 97
Linear and nonlinear predictability in investment style factors: multivariate evidence 0 0 5 17 1 1 13 55
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data 0 0 0 15 0 0 1 35
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 0 0 3 13 2 4 23 79
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance 1 2 4 36 2 3 14 88
Mildly explosive dynamics in U.S. fixed income markets 0 1 9 9 0 3 23 23
Modeling systemic risk with Markov Switching Graphical SUR models 0 0 9 34 0 4 41 129
Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options 1 1 1 89 1 1 2 230
Monetary policy after the crisis: A threat to hedge funds' alphas? 1 2 14 15 2 4 27 32
Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate 0 0 0 24 0 1 10 106
No volatility, no forecasting power for the term spread 0 0 0 29 0 1 3 97
Non-linear predictability in stock and bond returns: When and where is it exploitable? 0 0 1 147 3 3 7 361
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 0 306 0 0 5 640
Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle 0 0 0 75 0 0 1 217
Portfolio performance of linear SDF models: an out-of-sample assessment 0 0 3 8 1 1 9 38
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface 1 2 8 339 1 6 31 950
Predictions of short-term rates and the expectations hypothesis 1 2 4 12 3 5 14 56
Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach 0 0 0 9 0 0 1 33
Properties of equilibrium asset prices under alternative learning schemes 0 0 0 115 0 0 2 269
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 84 0 0 1 226
Regime shifts in mean-variance efficient frontiers: Some international evidence 0 0 0 0 0 1 1 1
Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment 0 0 0 14 0 0 1 44
Size and Value Anomalies under Regime Shifts 0 3 4 96 0 4 6 227
Small caps in international equity portfolios: the effects of variance risk 0 1 2 71 1 4 9 209
Subjective probabilities: psychological theories and economic applications 1 1 1 43 1 3 6 348
Taming the long-term spreads 0 0 0 10 1 1 3 43
Term structure of risk under alternative econometric specifications 0 0 0 159 0 2 6 361
The decline in the U.S. personal saving rate: is it real and is it a puzzle? 0 1 1 105 0 5 11 448
The dollar U-turn 0 0 1 32 7 8 11 125
The economic effects of violent conflict: Evidence from asset market reactions 0 0 2 82 0 3 30 283
The effects of large-scale asset purchases on TIPS inflation expectations 1 2 5 72 2 5 14 169
The impact of monetary policy on corporate bonds under regime shifts 0 2 4 39 0 8 22 135
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 0 97 0 0 1 228
Time varying stock return predictability: Evidence from US sectors 0 0 1 93 0 2 3 203
Time-varying price discovery in sovereign credit markets 0 1 1 1 0 3 3 3
Unconventional monetary policies and the corporate bond market 1 1 3 41 1 1 6 109
What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model 0 0 0 48 0 0 2 210
Total Journal Articles 11 40 216 6,013 71 207 939 16,591


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model 0 0 0 0 1 1 10 15
Total Books 0 0 0 0 1 1 10 15


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence 0 0 0 0 0 0 0 0
Markov switching models in asset pricing research 0 1 8 100 1 4 19 170
Total Chapters 0 1 8 100 1 4 19 170


Statistics updated 2021-07-05