Massimo Guidolin : Citation Profile


Are you Massimo Guidolin?

Università Commerciale Luigi Bocconi (80% share)
Università Commerciale Luigi Bocconi (20% share)

18

H index

26

i10 index

1310

Citations

RESEARCH PRODUCTION:

71

Articles

97

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 68
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 90 (6.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2020-05-16    RAS profile: 2020-02-18    
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Relations with other researchers


Works with:

Bianchi, Daniele (6)

Ravazzolo, Francesco (4)

Hansen, Erwin (4)

Bernales, Alejandro (2)

Füss, Roland (2)

Casarin, Roberto (2)

De Pace, Pierangelo (2)

Contessi, Silvio (2)

Billio, Monica (2)

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

Is cited by:

Ravazzolo, Francesco (21)

GUPTA, RANGAN (21)

Billio, Monica (20)

van Dijk, Dick (20)

Flavin, Thomas (16)

Masih, Abul (16)

Bacha, Obiyathulla (15)

Maheu, John (15)

Casarin, Roberto (14)

van Dijk, Herman (13)

Panopoulou, Ekaterini (12)

Cites to:

Timmermann, Allan (143)

Campbell, John (138)

Ang, Andrew (70)

Shiller, Robert (64)

Bekaert, Geert (59)

French, Kenneth (54)

Viceira, Luis (53)

Nelson, Charles (49)

Hamilton, James (41)

Startz, Richard (39)

Diebold, Francis (38)

Main data


Where Massimo Guidolin has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Journal of Econometrics3
Economic Synopses3
The Journal of Real Estate Finance and Economics3
Journal of Banking & Finance3
Quantitative Finance3
National Economic Trends2
Journal of Financial Markets2
International Journal of Forecasting2
Monetary Trends2
Finance Research Letters2
Applied Financial Economics2
Real Estate Economics2
International Review of Financial Analysis2
Review2
Journal of Financial Econometrics2
Journal of Economics and Business2
European Journal of Operational Research2

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, Italy19
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 (2020 and 2019)


YearTitle of citing document
2019Opinion Dynamics and Disagreements on Financial Networks. (2019). Casarin, Roberto ; Billio, Monica ; Frattarolo, Lorenzo ; Costola, Michele. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:24-51.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2019A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing. (2019). Keane, John ; Zeng, Xiao-Jun ; Yau, Jeffrey ; Dawson, Paula ; Fons, Elizabeth. In: Papers. RePEc:arx:papers:1902.10849.

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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Papers. RePEc:arx:papers:1903.08076.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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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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2019Investor Experiences and International Capital Flows. (2019). Vanasco, Victoria ; Pouzo, Demien ; Malmendier, Ulrike. In: Working Papers. RePEc:bge:wpaper:1163.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2017Caught in the crossfire: Dimensions of vulnerability and foreign multinationals exit from war-afflicted countries. (2017). Eden, Lorraine ; Beamish, Paul W ; Dai, LI. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:7:p:1478-1498.

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2018The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem. (2018). ben Itzhak, Nadav. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2018.08.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2019Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59.

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2019A Life-Cycle Model with Unemployment Traps. (2019). Nicodano, Giovanna ; Bagliano, Fabio ; Fugazza, Carolina. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:514.

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2018Firms and Labor in Times of Violence: Evidence from the Mexican Drug War. (2018). Utar, Hale. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7345.

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2017Will Assets be Stranded or Bailed Out? Expectations of Investors in the Face of Climate Policy. (2017). von Schickfus, Marie-Theres ; Sen, Suphi. In: ifo Working Paper Series. RePEc:ces:ifowps:_238.

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2018On Target? The Incidence of Sanctions Across Listed Firms in Iran. (2018). Garred, Jason ; Stickland, Leanne ; Draca, Mirko. In: CAGE Online Working Paper Series. RePEc:cge:wacage:372.

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2017Who wants violence? The political economy of conflict and state building in Colombia. (2017). Fergusson, Leopoldo. In: Documentos CEDE. RePEc:col:000089:015890.

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2019Who wants violence? The political economy of conflict and state building in Colombia. (2019). Fergusson, Leopoldo. In: Revista Cuadernos de Economía. RePEc:col:000093:017599.

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2018Measuring the effectiveness of volatility auctions. (2018). Castro, Carlos ; Preciado, Sergio ; Agudelo, Diego A. In: Documentos de Trabajo CIEF. RePEc:col:000122:016943.

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2018Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego ; Preciado, Sergio ; Castro, Carlos. In: Documentos de Trabajo CIEF. RePEc:col:000122:016988.

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2018Transborder Ethnic Kin and Local Prosperity: Evidence form Night-Time Light Intensity in Africa. (2018). Pecher, Pierre ; MULLER, Christophe. In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2018006.

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2019Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:333-351.

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2019Investor expectations, earnings management, and asset prices. (2019). Du, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:105:y:2019:i:c:p:134-157.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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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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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2019Term structure dynamics in a monetary economy with learning. (2019). Ono, Sadayuki . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:730-745.

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2019Do idiosyncratic skewness and kurtosis really matter?. (2019). Wang, Yan ; Lazrak, Skander ; Cao, Xu ; Ayadi, Mohamed A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940817301754.

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2019Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model. (2019). Jin, Chenglu ; Zhou, Tianqing ; Lv, Zhihong ; Chen, Rongda ; Lin, Saiyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300737.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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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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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2019Dispersion of beliefs, ambiguity, and the cross-section of stock returns. (2019). Kim, Tong Suk ; Min, Byoung-Kyu ; Lee, Deok-Hyeon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:43-56.

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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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2019The effects of recent terrorist attacks on risk and return in commodity markets. (2019). Reddy, Krishna ; Veron, Jose Francisco ; Wallace, Damien ; Ramiah, Vikash ; Elliott, Robert. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:13-22.

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2019Speculative trading of electricity contracts in interconnected locations. (2019). Qin, Zhen ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:3-20.

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2019What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat ; Selmi, Refk. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184.

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2019Comparing normative institutionalism with intended rationality in cultural-finance research. (2019). Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:124-134.

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2019Do analyst recommendations matter for rival companies?. (2019). Zhang, Wei ; Wang, Pengfei ; Shen, Dehua ; Li, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521919300675.

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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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2019Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387.

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

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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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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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2019Recursive non-expected utility: Connecting ambiguity attitudes to risk preferences and the level of ambiguity. (2019). Evren, Ozgur. In: Games and Economic Behavior. RePEc:eee:gamebe:v:114:y:2019:i:c:p:285-307.

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2017Hurting without hitting: The economic cost of political tension. (2017). Nielsson, Ulf ; HE, Yinghua ; Wang, Yonglei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:106-124.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2019Long-term asset allocation, risk tolerance and market sentiment. (2019). Joliet, Robert ; Erdemlioglu, Deniz. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:1-19.

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2019Structural instability and predictability. (2019). Sharma, Susan Sunila ; Narayan, Paresh Kumar ; Devpura, Neluka. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300150.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019Higher-order Omega: A performance index with a decision-theoretic foundation. (2019). Zhu, Wei ; Tzeng, Larry Y ; Huang, Rachel J ; Bi, Hongwei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:43-57.

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2019Ambiguity in securitization markets. (2019). Anderson, Alyssa Gray. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:231-255.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2019Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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2019Public hedge funds. (2019). Sun, Lin ; Teo, Melvyn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:44-60.

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2019Private information in currency markets. (2019). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:643-665.

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2019Decision fatigue and heuristic analyst forecasts. (2019). Hirshleifer, David ; Lourie, Ben ; Levi, Yaron ; Teoh, Siew Hong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:83-98.

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2019Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:187-200.

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2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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2019Capital flight, foreign direct investment and natural resources in Africa. (2019). Sarr, Mare ; Ndikumana, Leonce. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:21.

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2017Rockets: The housing market effects of a credible terrorist threat. (2017). Zussman, Asaf ; Elster, Yael . In: Journal of Urban Economics. RePEc:eee:juecon:v:99:y:2017:i:c:p:136-147.

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2019An additive model of decision making under risk and ambiguity. (2019). Jia, Jianmin ; Butler, John C ; Dyer, James S ; He, Ying. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:85:y:2019:i:c:p:78-92.

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2019Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index. (2019). Gebka, Bartosz ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:1-25.

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

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2017Profiting from FDI in conflict zones. (2017). Chen, Stephen. In: Journal of World Business. RePEc:eee:worbus:v:52:y:2017:i:6:p:760-768.

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2019Arab Geopolitics in Turmoil: Implications Of Qatar-Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Working Papers. RePEc:erg:wpaper:1337.

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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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2019Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model. (2019). Kandhai, Drona ; Anagnostou, Ioannis. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:66-:d:239237.

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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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2019The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business. (2019). bouoiyour, jamal ; Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-02071921.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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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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2018The Speed of Justice. (2018). Kondylis, Florence ; Stein, Mattea. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01735025.

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2019Market Allocations under Ambiguity: A Survey. (2019). Tallon, Jean-Marc ; Mukerji, Sujoy ; Billot, Antoine. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02173491.

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2019Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2019). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-01867133.

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2019Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains *. (2019). Bec, Frédérique ; de Gaye, Annabelle . In: Working Papers. RePEc:hal:wpaper:hal-02014663.

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2018The Speed of Justice. (2018). Kondylis, Florence ; Stein, Mattea. In: Working Papers. RePEc:hal:wpaper:halshs-01735025.

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2018Transborder Ethnic Kin and Local Prosperity: Evidence from Night-Time Light Intensity in Africa. (2018). Pecher, Pierre ; MULLER, Christophe. In: Working Papers. RePEc:hal:wpaper:halshs-01801170.

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2019Market Allocations under Ambiguity: A Survey. (2019). Tallon, Jean-Marc ; Mukerji, Sujoy ; Billot, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-02173491.

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2018On the Legacies of Wartime Governance. (2018). Justino, Patricia ; Stojetz, Wolfgang. In: HiCN Working Papers. RePEc:hic:wpaper:263.

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2018Oil Price Shocks and Civil Conflict: Evidence from Nigeria. (2018). Nwokolo, Arinze. In: HiCN Working Papers. RePEc:hic:wpaper:274.

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2019The Impact of Peace: Evidence from Nigeria. (2019). Hoinig, Tillman ; Honig, Tillman. In: HiCN Working Papers. RePEc:hic:wpaper:293.

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2019The Local Impact of Armed Conflict on Children’s Nutrition and Health Outcomes: Evidence from Chad. (2019). Gadom, Gadom Djal ; Wang, Soazic Elise ; Kountchou, Armand Mboutchouang. In: HiCN Working Papers. RePEc:hic:wpaper:301.

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2019Individual attitudes and market dynamics towards imprecision. (2019). Rose, Julia ; Huber, Christoph. In: Working Papers. RePEc:inn:wpaper:2019-06.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2018Regime dependent volatilities and correlation in international securitized real estate markets. (2018). Liow, Kim Hiang ; Ye, Qing. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:3:d:10.1007_s10663-017-9368-4.

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2017The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine. (2017). Neuenkirch, Matthias ; Hoffmann, Manuel . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:1:d:10.1007_s10368-015-0321-3.

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2019Valuation of an option using non-parametric methods. (2019). Tsai, Ming Shann ; Chiang, Shuling . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-09153-6.

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2018Success Factors for Peace Treaties: A Review of Theory and Evidence. (2018). Rohner, Dominic. In: Cahiers de Recherches Economiques du Département d'économie. RePEc:lau:crdeep:18.08.

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2019On the stability of Stock-bond comovements across market conditions in the Eurozone periphery. (2019). Flavin, Thomas ; Lagoa-Varela, Dolores . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n295-19.pdf.

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2019Intergenerational Mobility in Africa. (2019). Papaioannou, Elias ; Michalopoulos, Stelios ; Alesina, Alberto ; Hohmann, Sebastian. In: NBER Working Papers. RePEc:nbr:nberwo:25534.

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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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2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
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2015Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers.
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2014Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model In: BAFFI CAREFIN Working 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* 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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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers.
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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers.
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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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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence In: BAFFI CAREFIN Working Papers.
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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns In: BAFFI CAREFIN Working Papers.
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2019Sentiment Risk Premia In The Cross-Section of Global Equity and Currency Returns.(2019) In: Working Papers on Finance.
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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers.
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2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers.
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2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
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2004Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data In: Economic Notes.
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2015Equally Weighted vs. Long†Run Optimal Portfolios In: European Financial Management.
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2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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2014Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence In: Oxford Bulletin of Economics and Statistics.
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2010Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: 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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2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
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2005Home Bias and High Turnover in an Overlapping‐generations Model with Learning In: Review of International Economics.
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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 In: Working Paper.
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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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2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
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2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2016) In: Working Papers.
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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics.
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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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2019Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2019) In: Globalization Institute 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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2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
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2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
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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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paper14
2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
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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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2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
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2013How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers.
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2006Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis.
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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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2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers.
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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
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2017Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money.
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2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers.
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2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
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2006Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business.
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2006Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business.
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2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
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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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2005Is the bond market irrational? In: Monetary 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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2006Cross-country personal saving rates In: National Economic Trends.
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2004Subjective probabilities: psychological theories and economic applications In: Review.
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2007The decline in the U.S. personal saving rate: is it real and is it a puzzle? In: Review.
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2003Subjective probabilities: psychological evidence and economic applications In: Working Papers.
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2005Size and value anomalies under regime shifts In: Working Papers.
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2008Size and Value Anomalies under Regime Shifts.(2008) In: Journal of Financial Econometrics.
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2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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2014Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate In: The Journal of Real Estate Finance and Economics.
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2016Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books.
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2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
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2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
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2014Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance.
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2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance.
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2016Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach In: Journal of Futures Markets.
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