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 1 1 3 210
1/N and long run optimal portfolios: results for mixed asset menus 0 0 3 129 0 0 8 313
A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets 1 2 2 123 1 3 9 229
A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle 4 5 30 47 4 6 55 80
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 1 1 1 124 3 5 9 253
A yield spread perspective on the great financial crisis: break-point test evidence 0 0 3 143 1 3 11 272
Affiliated mutual funds and analyst optimism 0 1 3 248 2 7 13 394
Ambiguity Aversion and Under-diversification 1 1 6 192 2 3 13 368
Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature 1 1 2 297 5 7 18 746
Ambiguity in asset pricing and portfolio choice: a review of the literature 0 0 2 147 1 3 12 248
An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings 0 0 3 107 0 1 7 272
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 1 2 289 0 2 5 549
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 0 0 7 39 1 2 17 84
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 0 1 8 14 2 4 19 34
Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? 5 13 57 57 9 19 61 61
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 0 0 0 212 0 0 7 458
Asset allocation under multivariate regime switching 0 0 5 619 1 5 23 1,214
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 2 2 7 36 7 8 29 59
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 0 2 12 80 1 3 18 102
Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? 0 0 5 56 3 4 10 77
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective 2 2 2 184 3 3 8 415
Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective 0 0 2 216 0 0 5 450
Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests 0 1 7 453 1 4 26 1,117
Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms? 0 0 2 238 2 13 45 995
Diamonds are forever, wars are not. Is conflict bad for private firms? 2 2 2 461 2 11 20 1,137
Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets 4 10 55 55 9 20 107 107
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 0 1 4 75 0 1 7 127
Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? 0 1 1 57 0 2 9 144
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? 2 8 36 36 6 13 45 45
Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis 1 2 7 132 2 5 15 158
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 4 7 25 64 6 9 38 76
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 15 15 15 15 13 13 13 13
Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence 0 0 1 122 1 1 7 333
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 1 2 129 0 1 7 331
Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK 0 0 0 131 0 1 2 345
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing 1 3 18 76 3 8 35 129
Ex Post Portfolio Performance with Predictable Skewness and Kurtosis 0 0 2 132 3 5 15 364
Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery 1 11 11 11 2 8 8 8
Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors 1 2 19 87 2 4 28 113
Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models 5 11 29 108 7 15 43 146
Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models 3 6 17 67 4 9 27 76
Forecasts of U.S. short-term interest rates: a flexible forecast combination approach 1 1 3 884 1 3 10 2,471
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 0 277 0 0 4 737
High equity premia and crash fears. Rational foundations 0 0 1 114 0 1 2 292
Home bias and high turnover in an overlapping generations model with learning 0 0 2 213 0 1 5 516
How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs 3 7 31 63 6 14 52 86
How did the financial crisis alter the correlations of U.S. yield spreads? 0 1 14 205 7 15 48 508
Identifying and Measuring the Contagion Channels at Work in the European Financial Crises 0 0 4 85 0 0 12 125
Implied Learning Paths from Option Prices 0 0 0 138 0 0 2 291
International asset allocation under regime switching, skew and kurtosis preferences 0 0 5 480 1 2 13 908
Investing for the Long-Run in European Real Estate. Does Predictability Matter? 0 0 2 178 0 0 6 429
Investing for the long-run in European real estate 0 0 0 382 0 2 9 1,302
Investing in Mixed Asset Portfolios: the Ex-Post Performance 0 0 4 110 0 1 13 370
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? 0 3 10 102 0 4 14 242
Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* 1 1 6 122 3 4 18 186
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 1 2 8 93 1 2 12 140
Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section 0 0 2 60 0 5 17 308
Managing international portfolios with small capitalization stocks 0 0 0 64 0 1 2 251
Markov Switching Models in Empirical Finance 12 20 87 2,175 18 42 170 4,141
Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit 2 5 37 37 5 10 49 49
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 1 6 21 0 3 19 59
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 0 0 17 1 5 17 72
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 2 4 4 0 4 12 12
Modeling Systemic Risk with Markov Switching Graphical SUR Models 1 2 18 110 3 8 39 166
Modelling the MIB30 implied volatility surface. Does market efficiency matter? 1 1 1 225 1 1 1 751
Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? 0 2 20 93 1 3 28 101
Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations 1 2 23 23 2 7 59 59
Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns 0 1 3 117 0 3 14 266
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 1 6 135
Non-linear predictability in stock and bond returns: when and where is it exploitable? 0 1 5 451 8 12 19 868
Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value 0 0 0 100 0 0 0 211
Optimal portfolio choice under regime switching, skew and kurtosis preferences 0 0 4 431 0 1 9 1,256
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 0 2 15 879
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 1 2 8 950
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 1 4 648
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 1 1 3 14 2 2 11 34
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment 1 3 11 38 3 8 22 82
Predictable dynamics in the S&P 500 index options implied volatility surface 0 0 1 601 0 2 7 1,490
Predictions of short-term rates and the expectations hypothesis 1 1 3 136 1 2 9 310
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates 0 0 6 151 2 7 34 422
Properties of equilibrium asset prices under alternative learning schemes 0 0 0 175 1 1 4 446
Regime shifts in mean-variance efficient frontiers: some international evidence 0 0 1 121 2 2 7 207
Sentiment Risk Premia In The Cross-Section of Global Equity 1 5 16 32 7 13 30 44
Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns 1 3 23 68 3 8 59 92
Size and value anomalies under regime shifts 0 0 0 258 1 2 4 559
Small Caps in International Diversified Portfolios 0 0 0 73 0 2 6 242
Small Caps in International Equity Portfolios: The Effects of Variance Risk 0 0 0 154 0 1 13 485
Small caps in international equity portfolios: the effects of variance risk 0 1 2 170 1 2 8 509
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 0 4 13 767
Subjective probabilities: psychological evidence and economic applications 0 1 2 256 1 2 10 820
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 113 1 1 6 334
Term structure of risk under alternative econometric specifications 0 0 0 218 0 3 5 517
The Effects of Information Asymmetries on the Success of Stock Option Listings 1 1 4 110 1 2 22 417
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts 1 3 11 155 2 11 33 302
The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis 2 5 26 63 3 10 38 61
The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns 0 0 3 242 0 3 11 618
The economic effects of violent conflict: evidence from asset market reactions 0 0 2 220 0 2 6 694
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 0 103 2 2 4 416
Time and risk diversification in real estate investments: assessing the ex post economic value 0 0 1 127 0 2 6 288
Time-Varying Price Discovery in Sovereign Credit Markets 1 2 16 34 4 5 29 44
Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model 1 1 6 50 3 3 17 99
Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? 0 2 8 43 1 3 11 70
What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model 0 0 0 170 0 0 2 537
Why do analysts continue to provide favorable coverage for seasoned stocks? 0 0 0 87 1 4 6 252
Total Working Papers 90 194 861 18,147 212 501 2,001 44,038


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 3 115
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 0 0 0 84 0 1 1 219
A yield spread perspective on the great financial crisis: Break-point test evidence 1 1 3 44 2 4 10 136
Affiliated mutual funds and analyst optimism 0 1 3 128 2 5 12 364
Alternative econometric implementations of multi-factor models of the U.S. financial markets 0 0 0 35 1 1 8 118
Ambiguity Aversion and Underdiversification 0 0 3 32 0 1 7 74
Ambiguity in asset pricing and portfolio choice: a review of the literature 0 0 2 65 0 1 10 146
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 2 4 364 0 4 13 851
An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings 0 1 1 1 1 2 4 4
Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence 2 2 9 9 2 6 15 15
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 0 0 2 94 2 2 7 241
Asset allocation under multivariate regime switching 0 5 36 447 5 16 92 953
Bubbling (or just frothy) house prices? 0 0 0 32 1 1 3 144
Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios 0 0 1 36 1 4 19 128
Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective 0 0 4 92 1 2 7 230
Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets 0 0 2 33 0 1 9 94
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests 1 2 7 62 5 12 44 218
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach 0 0 7 14 2 3 17 32
Cross-country personal saving rates 0 0 2 82 0 0 5 224
Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? 2 2 8 426 12 32 98 1,587
Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 0 0 5 27 1 3 14 52
Diversifying in public real estate: The ex-post performance 0 0 0 0 2 2 2 2
Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence 0 0 2 16 0 0 4 71
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 1 2 4 343 1 4 10 700
Equally Weighted vs. Long†Run Optimal Portfolios 0 0 1 6 1 3 6 17
Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK 0 0 2 41 0 1 4 117
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing 0 0 1 16 1 2 6 31
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models 0 0 6 14 4 12 38 67
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 1 1 2 233 2 3 9 600
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 1 2 5 237
How did the financial crisis alter the correlations of U.S. yield spreads? 0 0 2 25 0 1 7 105
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns 0 4 5 15 1 8 15 41
Identifying and measuring the contagion channels at work in the European financial crises 0 0 10 43 3 6 34 114
International asset allocation under regime switching, skew, and kurtosis preferences 0 2 8 211 2 6 27 533
International asset prices and portfolio choices under Bayesian learning 0 0 2 100 0 1 7 223
Investing for the Long-run in European Real Estate 0 0 0 117 0 0 3 297
Is the bond market irrational? 1 1 2 44 1 2 5 131
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 0 1 39 4 4 12 95
Linear and nonlinear predictability in investment style factors: multivariate evidence 0 1 6 17 1 3 16 54
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 4 13 1 4 27 75
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance 1 2 3 34 1 5 15 85
Mildly explosive dynamics in U.S. fixed income markets 0 0 8 8 0 2 20 20
Modeling systemic risk with Markov Switching Graphical SUR models 0 1 15 34 2 11 49 125
Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options 0 0 0 88 0 0 3 229
Monetary policy after the crisis: A threat to hedge funds' alphas? 0 3 13 13 1 8 28 28
Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate 0 0 0 24 2 2 9 105
No volatility, no forecasting power for the term spread 0 0 0 29 0 1 3 96
Non-linear predictability in stock and bond returns: When and where is it exploitable? 1 1 2 147 2 2 6 358
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 0 306 0 2 9 640
Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle 0 0 0 75 0 0 2 217
Portfolio performance of linear SDF models: an out-of-sample assessment 0 2 3 8 0 4 10 37
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface 2 2 9 337 7 9 32 944
Predictions of short-term rates and the expectations hypothesis 0 0 2 10 2 5 11 51
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 7 269
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 84 0 0 2 226
Regime shifts in mean-variance efficient frontiers: Some international evidence 0 0 0 0 0 0 0 0
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 1 1 2 93 1 2 5 223
Small caps in international equity portfolios: the effects of variance risk 0 0 1 70 1 2 7 205
Subjective probabilities: psychological theories and economic applications 0 0 0 42 1 1 5 345
Taming the long-term spreads 0 0 0 10 0 1 2 42
Term structure of risk under alternative econometric specifications 0 0 0 159 0 1 5 359
The decline in the U.S. personal saving rate: is it real and is it a puzzle? 0 0 0 104 0 0 10 443
The dollar U-turn 0 0 1 32 0 0 5 117
The economic effects of violent conflict: Evidence from asset market reactions 0 1 3 82 3 8 34 280
The effects of large-scale asset purchases on TIPS inflation expectations 0 0 4 70 1 1 13 164
The impact of monetary policy on corporate bonds under regime shifts 0 0 5 37 1 3 22 127
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 0 97 0 1 2 228
Time varying stock return predictability: Evidence from US sectors 0 0 1 93 0 0 1 201
Time-varying price discovery in sovereign credit markets 0 0 0 0 0 0 0 0
Unconventional monetary policies and the corporate bond market 0 1 2 40 0 3 7 108
What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model 0 0 0 48 0 1 2 210
Total Journal Articles 14 41 232 5,973 88 240 967 16,384


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 0 2 10 14
Total Books 0 0 0 0 0 2 10 14


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Markov switching models in asset pricing research 2 2 13 99 2 5 23 166
Total Chapters 2 2 13 99 2 5 23 166


Statistics updated 2021-04-06