Massimo Guidolin : Citation Profile


Are you Massimo Guidolin?

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

17

H index

25

i10 index

1051

Citations

RESEARCH PRODUCTION:

65

Articles

77

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 58
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 113.    Total self citations: 74 (6.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2018-07-21    RAS profile: 2018-05-24    
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Relations with other researchers


Works with:

Bianchi, Daniele (8)

Ravazzolo, Francesco (7)

Bianchi, Daniele (4)

Contessi, Silvio (2)

Hyde, Stuart (2)

De Pace, Pierangelo (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 (19)

van Dijk, Dick (19)

Billio, Monica (17)

GUPTA, RANGAN (17)

Masih, Abul (16)

Bacha, Obiyathulla (15)

Maheu, John (15)

Flavin, Thomas (14)

Hammoudeh, Shawkat (12)

van Dijk, Herman (12)

Panopoulou, Ekaterini (12)

Cites to:

Timmermann, Allan (135)

Campbell, John (131)

Shiller, Robert (70)

Ang, Andrew (61)

Bekaert, Geert (57)

Nelson, Charles (47)

Viceira, Luis (45)

French, Kenneth (39)

Startz, Richard (37)

Hamilton, James (28)

Stambaugh, Robert (27)

Main data


Where Massimo Guidolin has published?


Journals with more than one article published# docs
The Journal of Real Estate Finance and Economics3
Economic Synopses3
Journal of Banking & Finance3
Journal of Economic Dynamics and Control3
Journal of Economics and Business2
European Journal of Operational Research2
Real Estate Economics2
Review2
Applied Financial Economics2
Journal of Financial Econometrics2
Quantitative Finance2
National Economic Trends2
Finance Research Letters2
International Review of Financial Analysis2
Monetary Trends2
Journal of Econometrics2

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, Italy5
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 (2018 and 2017)


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

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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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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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

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2017Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey. (2017). coskun, yener ; Yilmaz, Bilgi ; Selcuk-Kestel, Sevtap A. In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:4:p:199-215.

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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). Draca, Mirko ; Stickland, Leanne ; Garred, Jason . 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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2017Uncertainty shocks, asset supply and pricing over the business cycle. (2017). Schneider, Martin ; Ilut, Cosmin ; Bianchi, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11950.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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

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2017Risk and ambiguity in 10-Ks: An examination of cash holding and derivatives use. (2017). Friberg, Richard ; Seiler, Thomas . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:608-631.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301.

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2017Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model. (2017). Zhu, Dong-Mei ; Siu, Tak-Kuen ; Ching, Wai-Ki ; Lu, Jiejun . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:223-232.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Masih, Abul ; Bacha, Obiyathulla ; Mansur, A ; Dewandaru, Ginanjar. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market. (2017). Risse, Marian ; Ohl, Ludwig. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:158-176.

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2018Market timing over the business cycle. (2018). Sander, Magnus . In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018Oil price forecasting using a hybrid model. (2018). Safari, Ali ; Davallou, Maryam. In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:49-58.

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2017Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:144-151.

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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN ; Antonakakis, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2017Long vs. short term asymmetry in volatility and the term structure of risk. (2017). Lonnbark, Carl . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:202-209.

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2018The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. (2018). Österholm, Pär ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192.

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2018Forecasting the equity risk premium: The importance of regime-dependent evaluation. (2018). Baltas, Nick ; Karyampas, Dimitrios . In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:83-102.

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2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2018Robust evaluation of SCR for participating life insurances under Solvency II. (2018). Pelsser, Antoon ; Devolder, Pierre ; Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:107-123.

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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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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Aggregate earnings and stock market returns: The good, the bad, and the state-dependent. (2017). Zolotoy, Leon ; Lyon, John D ; Frederickson, James R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:157-175.

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2017Ambiguity and the corporation: Group disagreement and underinvestment. (2017). Garlappi, Lorenzo ; Lazrak, Ali ; Giammarino, Ron . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:417-433.

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2017Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Naik, Narayan Y ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

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2017Is economic uncertainty priced in the cross-section of stock returns?. (2017). Brown, Stephen ; Bali, Turan G ; Tang, YI. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:471-489.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2017Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:53-68.

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2018Factors of the term structure of sovereign yield spreads. (2018). Wellmann, Dennis ; Truck, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2017Unexpected loan losses and bank capital in an estimated DSGE model of the euro area. (2017). Hülsewig, Oliver ; Hulsewig, Oliver ; Hristov, Nikolay. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:54:y:2017:i:pb:p:161-186.

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2017Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Ali, Azwadi ; Raza, Naveed ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.

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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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2017Analysts and sentiment: A causality study. (2017). Kaplanski, Guy ; Levy, Haim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:315-327.

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2018Impact of sponsorship on fixed-income fund performance. (2018). Ayadi, Mohamed A ; Mohebshahedin, Mahmood ; Kryzanowski, Lawrence. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:121-137.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2018Faster learning in troubled times: How market conditions affect the disposition effect. (2018). Muhl, Stefan ; Talpsepp, Tnn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:226-236.

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2017Learning about the interdependence between the macroeconomy and the stock market. (2017). Milani, Fabio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:223-242.

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2018“How relevant is capital structure for aggregate investment? a regime-switching approach”. (2018). Simmons-Suer, Banu . In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:109-117.

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2017Ambiguity and risk measures in the lab and students’ real-life borrowing behavior. (2017). Weitzel, Utz ; Fairley, Kim . In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:67:y:2017:i:c:p:85-98.

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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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2018Capital market liability of foreignness of IPO firms. (2018). Tupper, Christina H ; Benischke, Mirko ; Guldiken, Orhun . In: Journal of World Business. RePEc:eee:worbus:v:53:y:2018:i:4:p:555-567.

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2017Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CAMA Working Papers. RePEc:een:camaaa:2017-76.

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2017Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion. (2017). Prigent, Jean-Luc ; Barthélémy, Fabrice ; Mokrane, Mahdi ; Keenan, Donald ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-20.

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2017Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2017). De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:324.

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2017Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks. (2017). Elyasiani, Elyas ; Keegan, Jason . In: Working Papers. RePEc:fip:fedpwp:17-5.

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2018Hidden Markov Model for Stock Trading. (2018). Nguyen, Nguyet. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:36-:d:138097.

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2018Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market. (2018). Chen, Jieting ; Kawaguchi, Yuichiro. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:54-:d:148049.

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2017An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction. (2017). Nguyen, Nguyet. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:62-:d:120204.

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2017A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

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2018Nonparametric forecasting of multivariate probability density functions. (2018). Guegan, Dominique ; Iacopini, Matteo. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01821815.

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

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2017Between war and peace: The Ottoman economy and foreign exchange trading at the Istanbul bourse. (2017). Hanedar, Avni ; demiralay, sercan ; Altay, Ismail . In: Working Papers. RePEc:hes:wpaper:0108.

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2017Aggregates in Real Expression and Price Indices by Deflation. (2017). Anghelache, Constantin ; Stanciu, Emilia ; SOLOMON, Alina Georgiana ; Popovici, Marius . In: International Journal of Academic Research in Business and Social Sciences. RePEc:hur:ijarbs:v:7:y:2017:i:6:p:1053-1060.

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2018Ambiguity and the Excess Consumption Growth Puzzle. (2018). Balagyozyan, Aram ; Giannikos, Christos . In: International Journal of Business and Economics. RePEc:ijb:journl:v:17:y:2018:i:1:p:5-15.

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2018Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach. (2018). Deng, Kaihua. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-016-9596-x.

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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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2018Synthesising Corporate Responsibility on Organisational and Societal Levels of Analysis: An Integrative Perspective. (2018). Heikkurinen, Pasi ; Makinen, Jukka. In: Journal of Business Ethics. RePEc:kap:jbuset:v:149:y:2018:i:3:d:10.1007_s10551-016-3094-x.

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2017Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine. (2017). Kucheev, Yury O ; Sorensson, Tomas ; Ruiz, Felipe . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:52:y:2017:i:3:d:10.1007_s10693-016-0258-x.

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2018Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis. (2018). Alcock, Jamie ; Andrlikova, Petra. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9593-9.

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2017Asymmetric Choquet random walks and ambiguity aversion or seeking. (2017). Agliardi, Rossella. In: Theory and Decision. RePEc:kap:theord:v:83:y:2017:i:4:d:10.1007_s11238-017-9632-x.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1718.

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2017Managing ambiguity in asset allocation. (2017). Kaya, Hakan. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0029-0.

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2017Assessing hedge fund performance with institutional constraints: evidence from CTA funds. (2017). Bilson, John ; Baek, Seungho ; John , ; Molyboga, Marat. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:7:d:10.1057_s41260-017-0053-8.

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2017Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed. In: MPRA Paper. RePEc:pra:mprapa:78595.

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2017Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.. (2017). Masih, Abul ; Adekunle, Salami Saheed . In: MPRA Paper. RePEc:pra:mprapa:79443.

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2017On the Observational Implications of Knightian Uncertainty. (2017). Zhong, Weifeng ; Hassett, Kevin . In: MPRA Paper. RePEc:pra:mprapa:82998.

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2017The Impact of Peace: Evidence from Nigeria. (2017). Hönig, Tillman ; Honig, Tillman. In: MPRA Paper. RePEc:pra:mprapa:83302.

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2018Stock market reactions to wars and political risks: A cliometric perspective for a falling empire. (2018). Hanedar, Avni. In: MPRA Paper. RePEc:pra:mprapa:85600.

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2018Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2018). Wohar, Mark ; Kanda, Patrick ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201830.

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2017The Diffusion of Knowledge via Managers Mobility. (2017). Sforza, Alessandro ; Opromolla, Luca David ; Mion, Giordano. In: Working Papers. RePEc:ptu:wpaper:w201701.

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2017Harmful Diversification: Evidence from Alternative Investments. (2017). Platanakis, Emmanouil ; Sutcliffe, Charles ; Sakkas, Athanasios . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

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2017Efficiency of the UK Stock Exchange. (2017). Sogiakas, Vasilios. In: Journal of Risk & Control. RePEc:rmk:rmkjrc:v:4:y:2017:i:1:p:51-69.

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2018Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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2017Modelling Nonlinear Dynamics of Oil Futures Market. (2017). Koy, Ayben . In: Econometric Research in Finance. RePEc:sgh:erfinj:v:2:y:2017:i:1:p:23-42.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2018How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Hainaut, Donatien ; Zeng, Yan ; Shen, Yang. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8.

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2018On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets. (2018). Pa, Burak A ; Pinar, Mustafa. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2619-8.

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2017Reaching nirvana with a defaultable asset?. (2017). Battauz, Anna ; Sbuelz, Alessandro ; Donno, Marzia. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0192-x.

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2018Value-at-risk under ambiguity aversion. (2018). Agliardi, Rossella. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0095-z.

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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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article89
2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 89
paper
2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 89
paper
2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
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paper6
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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paper0
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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paper0
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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paper0
2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* In: BAFFI CAREFIN Working Papers.
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paper0
2017Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management.
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This paper has another version. Agregated cites: 0
article
2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers.
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paper0
2004Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data In: Economic Notes.
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article1
2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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article8
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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article5
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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This paper has another version. Agregated cites: 5
paper
2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value In: Real Estate Economics.
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article8
2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.(2009) In: CeRP Working Papers.
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paper
2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
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article4
2005Home Bias and High Turnover in an Overlapping-generations Model with Learning In: Review of International Economics.
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article7
2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
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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paper0
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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2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
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paper2
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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This paper has another version. Agregated cites: 2
paper
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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This paper has another version. Agregated cites: 2
article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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paper1
2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 1
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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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This paper has another version. Agregated cites: 1
article
20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
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paper6
20101/N and long run optimal portfolios: results for mixed asset menus.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
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paper0
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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paper26
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 26
article
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 26
paper
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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paper53
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 53
article
2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 53
paper
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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paper36
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 36
article
2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
[Full Text][Citation analysis]
paper0
2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
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paper4
2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
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This paper has another version. Agregated cites: 4
article
2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
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paper0
2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
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paper0
2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
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article3
2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
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paper12
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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paper0
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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article76
2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper14
2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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paper0
2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
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article2
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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article112
2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 112
paper
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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article18
2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 18
paper
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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article1
2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
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article0
2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
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article7
2013How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
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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article1
2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
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article10
2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
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article7
2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
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article1
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
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article2
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
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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article0
2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
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article25
2009Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 25
paper
2012Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance.
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article10
2010Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers.
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paper
2011Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance.
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article4
2012Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers.
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paper
2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
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article2
2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
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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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article3
2005Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle.(2005) In: Working Papers.
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paper
2006Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business.
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article3
2005Are the dynamic linkages between the macroeconomy and asset prices time-varying?.(2005) In: Working Papers.
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paper
2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
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article16
2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 16
paper
2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
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article4
2013Alternative econometric implementations of multi-factor models of the U.S. financial markets In: The Quarterly Review of Economics and Finance.
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article3
2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
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article0
2013Markov switching models in asset pricing research In: Chapters.
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chapter0
2009Taming the long-term spreads In: Economic Synopses.
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article0
2009Is the financial crisis over? a yield spread perspective In: Economic Synopses.
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article0
2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
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article10
2006The dollar U-turn In: International Economic Trends.
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article0
2005Is the bond market irrational? In: Monetary Trends.
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article1
2008No volatility, no forecasting power for the term spread In: Monetary Trends.
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article1
2005Bubbling (or just frothy) house prices? In: National Economic Trends.
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article0
2006Cross-country personal saving rates In: National Economic Trends.
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article1
2004Subjective probabilities: psychological theories and economic applications In: Review.
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article1
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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paper0
2005An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Working Papers.
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paper88
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
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2005Optimal portfolio choice under regime switching, skew and kurtosis preferences In: Working Papers.
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paper17
2005Size and value anomalies under regime shifts In: Working Papers.
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paper23
2008Size and Value Anomalies under Regime Shifts.(2008) In: Journal of Financial Econometrics.
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article
2005Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers.
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paper2
2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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paper25
2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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article
2005High equity premia and crash fears. Rational foundations In: Working Papers.
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paper3
2006High equity premia and crash fears - Rational foundations.(2006) In: Economic Theory.
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article
2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
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2008International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 101
article
2005The economic effects of violent conflict: evidence from asset market reactions In: Working Papers.
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paper31
2010The economic effects of violent conflict: Evidence from asset market reactions.(2010) In: Journal of Peace Research.
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This paper has another version. Agregated cites: 31
article
2006Investing for the long-run in European real estate In: Working Papers.
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paper22
2007Investing for the Long-run in European Real Estate.(2007) In: The Journal of Real Estate Finance and Economics.
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2007What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers.
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paper2
2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model.(2009) In: Applied Financial Economics.
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This paper has another version. Agregated cites: 2
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2006Why do analysts continue to provide favorable coverage for seasoned stocks? In: Working Papers.
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paper0
2007The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns In: Working Papers.
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paper5
2007Managing international portfolios with small capitalization stocks In: Working Papers.
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paper0
2008Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK In: Working Papers.
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paper3
2009A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Working Papers.
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paper12
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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This paper has another version. Agregated cites: 12
article
2010Predictions of short-term rates and the expectations hypothesis In: Working Papers.
[Full Text][Citation analysis]
paper7
2010Ambiguity in asset pricing and portfolio choice: a review of the literature In: Working Papers.
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paper45
2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
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2013Ambiguity in asset pricing and portfolio choice: a review of the literature.(2013) In: Theory and Decision.
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2010Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers.
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paper4
2011A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets In: Working Papers.
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paper1
2011Markov Switching Models in Empirical Finance In: Working Papers.
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2012Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers.
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2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings In: Working Papers.
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2013The Effects of Information Asymmetries on the Success of Stock Option Listings In: Working Papers.
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2014Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios In: The Journal of Real Estate Finance and Economics.
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article2
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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article1
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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