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 2 78 0 1 10 208
1/N and long run optimal portfolios: results for mixed asset menus 1 2 2 128 3 4 15 309
A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets 0 0 0 121 0 1 6 221
A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle 5 12 29 29 9 26 51 51
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 0 0 1 123 0 2 10 246
A yield spread perspective on the great financial crisis: break-point test evidence 0 1 3 141 1 2 11 263
Affiliated mutual funds and analyst optimism 0 1 1 246 1 4 21 385
Ambiguity Aversion and Under-diversification 0 1 9 187 0 2 18 357
Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature 0 0 3 295 1 3 22 731
Ambiguity in asset pricing and portfolio choice: a review of the literature 0 0 0 145 2 3 14 239
An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings 0 1 5 105 0 1 14 266
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 4 287 0 0 15 544
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 2 5 11 11 2 8 23 23
Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence 2 4 9 36 2 7 30 74
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 0 0 2 212 1 2 9 453
Asset allocation under multivariate regime switching 0 2 8 616 1 6 24 1,197
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 2 4 33 33 2 6 36 36
Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence 0 4 11 72 0 6 22 90
Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? 1 2 8 53 1 3 12 70
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective 0 0 4 182 1 2 14 409
Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective 0 2 2 216 0 2 8 447
Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests 2 4 12 450 3 10 37 1,101
Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms? 0 2 3 238 5 14 35 964
Diamonds are forever, wars are not. Is conflict bad for private firms? 0 0 0 459 2 5 22 1,122
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 1 2 4 73 1 2 14 122
Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? 0 0 1 56 0 3 13 138
Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? 2 2 2 2 2 2 2 2
Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis 0 1 16 126 0 3 26 146
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes 2 6 45 45 3 9 47 47
Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence 0 0 3 121 1 3 15 329
Economic Implications of Bull and Bear Regimes in UK Stock Returns 0 0 1 127 2 2 7 326
Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK 0 0 1 131 1 1 4 344
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing 1 5 15 63 2 9 31 103
Ex Post Portfolio Performance with Predictable Skewness and Kurtosis 0 2 5 132 0 6 14 355
Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors 0 3 17 71 0 4 36 89
Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models 6 9 39 88 8 12 67 115
Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models 1 5 55 55 4 9 58 58
Forecasts of U.S. short-term interest rates: a flexible forecast combination approach 0 2 9 883 1 3 16 2,464
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach 0 0 1 277 0 1 7 734
High equity premia and crash fears. Rational foundations 0 0 1 113 0 0 4 290
Home bias and high turnover in an overlapping generations model with learning 0 0 0 211 0 0 5 511
How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs 5 10 42 42 7 16 50 50
How did the financial crisis alter the correlations of U.S. yield spreads? 3 7 24 198 6 15 69 475
Identifying and Measuring the Contagion Channels at Work in the European Financial Crises 1 1 9 82 1 2 19 115
Implied Learning Paths from Option Prices 0 0 0 138 1 1 5 290
International asset allocation under regime switching, skew and kurtosis preferences 1 2 6 477 1 3 19 898
Investing for the Long-Run in European Real Estate. Does Predictability Matter? 1 1 1 177 5 5 11 428
Investing for the long-run in European real estate 0 0 1 382 2 2 15 1,295
Investing in Mixed Asset Portfolios: the Ex-Post Performance 0 2 3 108 0 7 14 364
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? 1 3 11 95 1 4 22 232
Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* 2 2 13 118 2 3 29 171
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 1 2 11 87 1 2 18 130
Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section 0 1 4 59 0 4 15 295
Managing international portfolios with small capitalization stocks 0 0 2 64 0 0 7 249
Markov Switching Models in Empirical Finance 5 26 77 2,114 17 57 178 4,028
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 3 8 18 1 7 27 47
Mildly Explosive Dynamics in U.S. Fixed Income Markets 0 0 7 17 3 4 23 59
Modeling Systemic Risk with Markov Switching Graphical SUR Models 1 8 34 100 3 14 70 141
Modelling the MIB30 implied volatility surface. Does market efficiency matter? 0 0 0 224 0 0 1 750
Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? 1 8 23 81 1 10 40 83
Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations 4 4 4 4 12 12 12 12
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 4 115 1 3 10 255
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 70 1 1 9 130
Non-linear predictability in stock and bond returns: when and where is it exploitable? 0 1 13 447 0 2 42 851
Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value 0 0 5 100 0 0 10 211
Optimal portfolio choice under regime switching, skew and kurtosis preferences 1 2 5 429 2 3 10 1,250
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 355 1 2 11 944
Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities 0 0 0 326 1 5 15 869
Option prices and implied volatility dynamics under Bayesian learning 0 0 0 0 1 1 5 645
Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle 0 0 1 143 0 0 5 440
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment 2 3 8 30 3 6 27 66
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment 0 0 4 11 1 2 12 25
Predictable dynamics in the S&P 500 index options implied volatility surface 0 0 1 600 1 3 12 1,486
Predictions of short-term rates and the expectations hypothesis 1 2 7 135 1 6 20 307
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates 2 3 4 148 2 4 18 392
Properties of equilibrium asset prices under alternative learning schemes 0 0 1 175 0 0 7 442
Regime shifts in mean-variance efficient frontiers: some international evidence 0 1 2 121 1 2 5 202
Sentiment Risk Premia In The Cross-Section of Global Equity 4 6 22 22 7 10 24 24
Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns 4 4 49 49 17 18 51 51
Size and value anomalies under regime shifts 0 0 0 258 1 1 5 556
Small Caps in International Diversified Portfolios 0 0 0 73 1 1 9 237
Small Caps in International Equity Portfolios: The Effects of Variance Risk 0 0 0 154 3 5 17 477
Small caps in international equity portfolios: the effects of variance risk 0 0 0 168 0 2 7 503
Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching 0 0 0 10 1 3 9 757
Subjective probabilities: psychological evidence and economic applications 0 1 3 255 0 1 10 811
Term Structure of Risk Under Alternative Econometric Specifications 0 0 0 113 1 2 5 330
Term structure of risk under alternative econometric specifications 0 0 1 218 0 0 5 512
The Effects of Information Asymmetries on the Success of Stock Option Listings 0 1 8 107 2 8 74 403
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts 1 4 15 148 2 7 52 276
The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis 1 5 42 42 2 6 29 29
The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns 0 0 2 239 0 3 13 610
The economic effects of violent conflict: evidence from asset market reactions 0 0 1 218 1 1 13 689
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 1 103 1 2 13 414
Time and risk diversification in real estate investments: assessing the ex post economic value 0 0 1 126 1 3 10 285
Time-Varying Price Discovery in Sovereign Credit Markets 3 6 24 24 4 12 27 27
Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model 0 4 9 48 1 7 22 89
Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? 0 2 11 37 0 3 24 62
What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model 0 0 0 170 0 1 11 536
Why do analysts continue to provide favorable coverage for seasoned stocks? 0 0 1 87 0 0 8 246
Total Working Papers 73 210 903 17,496 187 493 2,145 42,530


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 1 39 1 1 5 113
A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? 0 0 0 84 0 0 5 218
A yield spread perspective on the great financial crisis: Break-point test evidence 0 0 4 41 0 1 19 127
Affiliated mutual funds and analyst optimism 0 0 2 125 1 1 14 353
Alternative econometric implementations of multi-factor models of the U.S. financial markets 0 0 1 35 2 4 12 114
Ambiguity Aversion and Underdiversification 0 0 3 29 0 0 22 67
Ambiguity in asset pricing and portfolio choice: a review of the literature 1 1 3 64 2 4 18 140
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns 0 0 4 360 1 2 19 840
Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence 0 0 0 0 0 0 0 0
Are the dynamic linkages between the macroeconomy and asset prices time-varying? 1 2 6 94 2 4 19 238
Asset allocation under multivariate regime switching 2 13 31 424 7 30 89 891
Bubbling (or just frothy) house prices? 0 0 0 32 1 1 7 142
Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios 0 0 1 35 2 5 22 114
Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective 0 1 2 89 0 2 16 225
Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets 0 0 1 31 0 3 11 88
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests 1 1 5 56 2 6 22 180
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach 0 0 7 7 1 4 19 19
Cross-country personal saving rates 0 1 1 81 1 3 10 222
Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? 0 4 8 422 6 20 63 1,509
Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? 0 2 5 24 0 4 15 42
Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence 0 0 0 14 0 1 6 68
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns 0 0 0 339 0 1 4 691
Equally Weighted vs. Long†Run Optimal Portfolios 0 0 0 5 1 1 5 12
Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK 0 2 2 41 1 3 8 116
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing 0 0 2 15 0 1 10 26
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models 1 1 9 9 2 8 37 37
Forecasting yield spreads under crisis-induced multiple breakpoints 0 0 1 12 0 0 4 37
Forecasts of US short-term interest rates: A flexible forecast combination approach 1 1 5 232 1 1 17 592
High equity premia and crash fears - Rational foundations 0 0 0 94 0 0 5 233
Home Bias and High Turnover in an Overlapping‐generations Model with Learning 0 0 0 84 0 0 5 232
How did the financial crisis alter the correlations of U.S. yield spreads? 0 0 1 23 0 0 9 98
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns 0 0 0 10 1 1 7 27
Identifying and measuring the contagion channels at work in the European financial crises 0 4 9 37 2 16 39 96
International asset allocation under regime switching, skew, and kurtosis preferences 0 2 9 205 2 7 32 513
International asset prices and portfolio choices under Bayesian learning 0 0 0 98 0 0 4 216
Investing for the Long-run in European Real Estate 0 0 0 117 0 0 6 294
Is the bond market irrational? 0 1 2 43 0 1 5 127
Is the financial crisis over? a yield spread perspective 0 0 0 16 0 0 2 62
Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? 0 0 7 38 1 3 15 86
Linear and nonlinear predictability in investment style factors: multivariate evidence 0 1 4 12 1 4 17 42
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data 0 0 0 15 0 0 1 34
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section 0 1 2 10 2 8 30 56
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance 1 1 7 32 1 4 16 74
Modeling systemic risk with Markov Switching Graphical SUR models 2 6 18 25 5 12 68 88
Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options 0 0 4 88 0 2 12 228
Monetary policy after the crisis: A threat to hedge funds' alphas? 0 1 1 1 2 5 5 5
Monetary policy after the crisis: A threat to hedge funds' alphas? 0 0 0 0 0 1 1 1
Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate 0 0 1 24 0 0 8 96
No volatility, no forecasting power for the term spread 0 0 0 29 1 1 3 94
Non-linear predictability in stock and bond returns: When and where is it exploitable? 0 1 3 146 0 2 13 354
Option prices under Bayesian learning: implied volatility dynamics and predictive densities 0 0 2 306 3 4 13 635
Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle 0 0 0 75 0 1 7 216
Portfolio performance of linear SDF models: an out-of-sample assessment 0 0 1 5 0 2 13 29
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface 0 3 12 331 1 7 24 919
Predictions of short-term rates and the expectations hypothesis 0 0 3 8 1 2 23 42
Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach 0 0 1 9 0 0 7 32
Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data 0 0 0 75 0 0 2 322
Properties of equilibrium asset prices under alternative learning schemes 0 0 0 115 1 5 19 267
Recursive Modeling of Nonlinear Dynamics in UK Stock Returns 0 0 0 84 1 1 5 225
Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment 0 0 0 14 0 0 4 43
Size and Value Anomalies under Regime Shifts 0 1 1 92 1 3 10 221
Small caps in international equity portfolios: the effects of variance risk 0 0 1 69 1 2 8 200
Subjective probabilities: psychological theories and economic applications 0 0 0 42 0 2 11 342
Taming the long-term spreads 0 0 0 10 0 0 2 40
Term structure of risk under alternative econometric specifications 0 0 0 159 1 1 5 355
The decline in the U.S. personal saving rate: is it real and is it a puzzle? 0 0 0 104 3 4 11 437
The dollar U-turn 0 0 1 31 0 2 8 114
The economic effects of violent conflict: Evidence from asset market reactions 1 1 2 80 2 7 21 253
The effects of large-scale asset purchases on TIPS inflation expectations 1 1 4 67 2 4 22 155
The impact of monetary policy on corporate bonds under regime shifts 0 3 11 35 2 8 40 113
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value 0 0 1 97 1 1 7 227
Time varying stock return predictability: Evidence from US sectors 0 0 0 92 0 0 4 200
Unconventional monetary policies and the corporate bond market 0 0 1 38 1 2 11 103
What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model 0 0 0 48 0 0 3 208
Total Journal Articles 12 56 213 5,872 73 236 1,081 15,975


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 5 5
Total Books 0 0 0 0 1 1 5 5


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 6 16 92 2 8 31 151
Total Chapters 2 6 16 92 2 8 31 151


Statistics updated 2020-07-04