Massimo Guidolin : Citation Profile


Are you Massimo Guidolin?

Università Commerciale Luigi Bocconi (65% share)
Università Commerciale Luigi Bocconi (25% share)
Università Commerciale Luigi Bocconi (10% share)

18

H index

32

i10 index

1453

Citations

RESEARCH PRODUCTION:

74

Articles

103

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 72
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 95 (6.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2021-02-20    RAS profile: 2020-12-04    
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Relations with other researchers


Works with:

Pedio, Manuela (22)

Bianchi, Daniele (6)

De Pace, Pierangelo (4)

Hansen, Erwin (4)

Ravazzolo, Francesco (3)

Casarin, Roberto (2)

Füss, Roland (2)

Billio, Monica (2)

Contessi, Silvio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimo Guidolin.

Is cited by:

GUPTA, RANGAN (25)

Billio, Monica (23)

Ravazzolo, Francesco (21)

van Dijk, Dick (20)

Flavin, Thomas (18)

Masih, Abul (16)

Maheu, John (15)

Bacha, Obiyathulla (15)

Balcilar, Mehmet (14)

Casarin, Roberto (14)

Bernales, Alejandro (13)

Cites to:

Timmermann, Allan (147)

Campbell, John (142)

Ang, Andrew (72)

French, Kenneth (65)

Shiller, Robert (64)

Bekaert, Geert (59)

Viceira, Luis (55)

Nelson, Charles (49)

Hamilton, James (45)

Fama, Eugene (41)

Diebold, Francis (40)

Main data


Where Massimo Guidolin has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Quantitative Finance3
European Journal of Operational Research3
Economic Synopses3
Journal of Banking & Finance3
The Journal of Real Estate Finance and Economics3
Journal of Econometrics3
International Journal of Forecasting2
National Economic Trends2
Review2
International Review of Financial Analysis2
Real Estate Economics2
Finance Research Letters2
Journal of Financial Econometrics2
Journal of Economics and Business2
Monetary Trends2
Journal of Financial Markets2
Journal of Asset Management2
Applied Financial Economics2
The Quarterly Review of Economics and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis37
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy23
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)5
Carlo Alberto Notebooks / Collegio Carlo Alberto2

Recent works citing Massimo Guidolin (2021 and 2020)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Toward a macroprudential regulatory framework for mutual funds. (2020). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020008.

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2020.

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2020Implied volatility smile dynamics in the presence of jumps. (2017). Kanniainen, Juho ; Barholm, Perttu ; Magris, Martin. In: Papers. RePEc:arx:papers:1711.02925.

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2020Investor Experiences and International Capital Flows. (2020). Vanasco, Victoria ; Pouzo, Demian ; Malmendier, Ulrike. In: Papers. RePEc:arx:papers:2001.07790.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Production Networks and War. (2020). Makarin, Alexey ; Korovkin, Vasily. In: Papers. RePEc:arx:papers:2011.14756.

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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

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2021Absolute Value Constraint: The Reason for Invalid Performance Evaluation Results of Neural Network Models for Stock Price Prediction. (2021). Wei, YI ; Tiu, Cristian ; Chaudhary, Vipin. In: Papers. RePEc:arx:papers:2101.10942.

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2020Earnings volatility, ambiguity, and crisis‐period stock returns. (2020). Safdar, Irfan ; McMartin, Andrew S ; Ahmed, Anwer S. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2939-2963.

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2020Beyond the efficient markets hypothesis: Towards a new paradigm. (2020). Fender, John . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:333-351.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020How does violence affect exporters? Evidence from political strikes in Bangladesh. (2020). Iqbal, Kazi ; Ahsan, Reshad. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:3:p:599-625.

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2020Multipoint contact without forbearance? How coverage synergies shape equity analysts forecasting performance. (2020). Uribe, Jose N. In: Strategic Management Journal. RePEc:bla:stratm:v:41:y:2020:i:10:p:1901-1932.

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2020The Economic Costs of Diplomatic Conflict. (2020). Kim, Hye Jin ; Lee, Jungmin. In: Working Papers. RePEc:bok:wpaper:2025.

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2020Globalization and conflicts: the good, the bad and the ugly of corporations in Africa. (2020). Sonno, Tommaso. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1670.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Market Reactions to Quest for Decentralization and Independence: Evidence from Catalonia. (2020). Galasso, Vincenzo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8254.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020The International Spread of COVID-19 Stock Market Collapses. (2020). de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1013.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2020Speculation and Price Indeterminacy in Financial Markets: An Experimental Study. (2020). Sunder, Shyam ; Stock, Thomas ; Huber, Juergen ; Hirota, Shinichi. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2134r.

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2020Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games. (2020). Damodaran, Uday ; Aggarwal, Divya. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019300747.

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2020Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. (2020). Campisi, Giovanni ; Brianzoni, Serena. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303807.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2020Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779.

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2020Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies. (2020). Adedoyin, Festus ; Adams, Samuel ; Bekun, Festus Victor ; Olaniran, Eniola. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:179-190.

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2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249.

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2021Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

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2020Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x.

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2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

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2020Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349.

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2020Understanding time-varying short-horizon predictability✰. (2020). Zhu, Jie ; Hammami, Yacine. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304264.

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2020Real price appreciation forecast tool: Two delivered log market price cycles in the Puget Sound markets of western Washington, USA, from 1992 through 2019. (2020). Schlosser, William E. In: Forest Policy and Economics. RePEc:eee:forpol:v:113:y:2020:i:c:s1389934119303624.

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2020Investor experiences and international capital flows. (2020). Pouzo, Demian ; Malmendier, Ulrike ; Vanasco, Victoria. In: Journal of International Economics. RePEc:eee:inecon:v:124:y:2020:i:c:s0022199620300210.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2020Arab geopolitics in turmoil: Implications of Qatar-Gulf crisis for business. (2020). Selmi, Refk ; bouoiyour, jamal. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:100-119.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

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2021Optimal portfolio strategies in the presence of regimes in asset returns. (2021). Garcia, René ; Lewin, Marcelo ; Campani, Carlos Heitor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302910.

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2020Climate policy, stranded assets, and investors’ expectations. (2020). von Schickfus, Marie-Theres ; Sen, Suphi. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:100:y:2020:i:c:s0095069618307083.

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2020Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

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2020US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath. (2020). Gandre, Pauline. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560618304790.

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2021Forecasting price of financial market crash via a new nonlinear potential GARCH model. (2021). Long, Chao ; Li, Jiang-Cheng ; Xing, Dun-Zhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030947x.

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2020Analysis of the five-factor asset pricing model with wavelet multiscaling approach. (2020). Kangalli, Sinem Guler ; Uyar, Umut ; Bera, Anil Kumar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:414-423.

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2020Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58.

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2020Are SEO investors misled by analyst optimism bias? Evidence from investor bids in SEO auctions. (2020). Yang, Mingjing ; Gao, Shenghao ; Cheng, Xiaoke ; Sun, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:90-104.

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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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2020Measuring the effectiveness of volatility auctions. (2020). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:566-581.

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2021The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

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2020Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis. (2020). Trichilli, Yousra ; Masmoudi, Afif ; Abbes, Mouna Boujelbene. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918310547.

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2020Regime shift, speculation, and stock price. (2020). ZHANG, SHUOXUN ; Qin, Zhenjiang ; Fu, Yishu ; Du, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191931027x.

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2020Governance by depositors, bank runs and ambiguity aversion. (2020). Guillemin, François. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919304878.

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2021Foreign firm operations and skills development of local employees in violence-hit countries. (2021). Kontkanen, Minnie ; Khan, Zaheer ; Arslan, Ahmad ; Golgeci, Ismail. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:162:y:2021:i:c:s0040162520312026.

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2020When political instability devaluates home-host ties. (2020). Burger, Martijn ; Pennings, Enrico ; Witte, Caroline T. In: Journal of World Business. RePEc:eee:worbus:v:55:y:2020:i:4:s1090951620300055.

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2020Globalization and conflicts: the good, the bad and the ugly of corporations in Africa. (2020). Sonno, Tommaso. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108225.

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2020First-mover disadvantage - The sovereign ratings mousetrap. (2020). Vu, Huong ; Klusak, Patrycja ; Kraemer, Moritz. In: CEPS Papers. RePEc:eps:cepswp:26352.

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2020Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime. (2020). Zha, Tao ; Zhang, JI ; Rica, E. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:89451.

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2020Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018). (2020). Tronzano, Marco. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:40-:d:326016.

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2020Sustainability of Analyst Recommendations in Multiple Lead Underwriter IPOs. (2020). Lee, Cheolwoo ; Ryoo, Juyoun ; Jeon, Jin Q. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1899-:d:327492.

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2020Sustainable Portfolio Optimization with Higher-Order Moments of Risk. (2020). Waqar, Syed M ; Imdad, Rana Shahid ; Khan, Kanwal Iqbal ; Ghafoor, Muhammad Mudassar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2006-:d:328913.

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2020The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase. (2020). Liu, Zhixin ; Chen, Hao ; Wu, You ; Zhang, Yinpeng . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2517-:d:336069.

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2020Risk, ambiguity, and the value of diversification. (2020). Berger, Loic ; Eeckhoudt, Louis. In: Post-Print. RePEc:hal:journl:hal-02910906.

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2020Market Allocations under Ambiguity: A Survey. (2020). Tallon, Jean-Marc ; Mukerji, Sujoy ; Billot, Antoine. In: Post-Print. RePEc:hal:journl:halshs-02495663.

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2020Market Allocations under Ambiguity: A Survey. (2020). Tallon, Jean-Marc ; Mukerji, Sujoy ; Billot, Antoine. In: PSE-Ecole d'économie de Paris (Postprint). RePEc:hal:pseptp:halshs-02495663.

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2020Civil conflict and firm recovery: Evidence from post-electoral crisis in Côte dIvoire. (2020). LEON, Florian ; Dosso, Ibrahima. In: Working Papers. RePEc:hal:wpaper:hal-02865559.

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2020RISK, AMBIGUITY, AND THE VALUE OF DIVERSIFICATION. (2020). Eeckhoudt, Louis ; Berger, Loic. In: Working Papers. RePEc:hal:wpaper:hal-02910906.

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2020Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models. (2020). Wei, YU ; Liu, Yuntong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6640180.

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2021Regime-dependent commodity price dynamics: A predictive analysis. (2021). Obersteiner, Michael ; Hlouskova, Jaroslava ; Fortin, Ines ; Crespo-Cuaresma, Jesus. In: IHS Working Paper Series. RePEc:ihs:ihswps:28.

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2020Geopolitical tensions, OPEC news, and the oil price: A granger causality analysis. (2020). Medel, Carlos A. ; Fernandois, Antonio. In: Revista de Analisis Economico – Economic Analysis Review. RePEc:ila:anaeco:v:35:y:2020:i:2:p:57-90.

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2020Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps. (2020). Su, Xiaoshan ; Courtois, Olivier. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09304-6.

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2020Portfolio creation using artificial neural networks and classification probabilities: a Canadian study. (2020). Morris, Tania ; Comeau, Jules. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00350-8.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Should Financial Gatekeepers be Publicly Traded?. (2020). Huang, Haozhi ; Shi, Jing ; Li, Mingsheng. In: Journal of Business Ethics. RePEc:kap:jbuset:v:164:y:2020:i:1:d:10.1007_s10551-018-4044-6.

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2021What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data. (2021). Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:1:d:10.1007_s11146-019-09733-9.

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2020Banks and Sovereigns: Did adversity bring them closer?. (2020). Sheenan, L ; Dongue, M ; Flavin, T. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n307-20.pdf.

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2020Do individual attitudes towards imprecision survive in experimental asset markets?. (2020). Huber, Christoph ; Rose, Julia. In: OSF Preprints. RePEc:osf:osfxxx:bw8fc.

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2020.

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2020Alternative risk premia: contagion and portfolio choice. (2020). Scherer, Bernd. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00158-1.

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2020Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:101781.

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More than 100 citations found, this list is not complete...

Works by Massimo Guidolin:


YearTitleTypeCited
2007Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review.
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2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
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2016Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers.
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2017Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management.
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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment In: BAFFI CAREFIN Working Papers.
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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
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2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
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2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
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2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
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2011Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns.(2011) In: Working Papers.
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2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets In: Economics Department, Working Paper Series.
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2020Mildly explosive dynamics in U.S. fixed income markets.(2020) In: European Journal of Operational Research.
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2017Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2017) In: Globalization Institute Working Papers.
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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2020) In: Working Papers.
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2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers.
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2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
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2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
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2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
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2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
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2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
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2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
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2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
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2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
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2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
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2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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2019An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings In: Journal of Corporate Finance.
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2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings.(2013) In: Working Papers.
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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control.
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2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
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2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
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2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
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2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
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2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
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2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
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2011Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers.
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2020Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence In: The Quarterly Review of Economics and Finance.
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2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
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2009Taming the long-term spreads In: Economic Synopses.
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2009Is the financial crisis over? a yield spread perspective In: Economic Synopses.
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2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
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2006The dollar U-turn In: International Economic Trends.
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2008No volatility, no forecasting power for the term spread In: Monetary Trends.
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2005Bubbling (or just frothy) house prices? In: National Economic Trends.
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2010A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?.(2010) In: Applied Financial Economics.
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2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
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