18
H index
25
i10 index
1172
Citations
Università Commerciale Luigi Bocconi (80% share) | 18 H index 25 i10 index 1172 Citations RESEARCH PRODUCTION: 68 Articles 85 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Massimo Guidolin. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2018 | Reexamining 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. Full description at Econpapers || Download paper | |
2017 | Implied volatility smile dynamics in the presence of jumps. (2017). Magris, Martin ; Kanniainen, Juho ; Barholm, Perttu. In: Papers. RePEc:arx:papers:1711.02925. Full description at Econpapers || Download paper | |
2018 | Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738. Full description at Econpapers || Download paper | |
2018 | Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Pham, Huyen ; Zhou, Chao ; Wei, Xiaoli. In: Papers. RePEc:arx:papers:1809.01464. Full description at Econpapers || Download paper | |
2018 | Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18. Full description at Econpapers || Download paper | |
2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
2017 | Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676. Full description at Econpapers || Download paper | |
2018 | Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750. Full description at Econpapers || Download paper | |
2018 | Low‐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. Full description at Econpapers || Download paper | |
2018 | Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208. Full description at Econpapers || Download paper | |
2017 | Safe-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. Full description at Econpapers || Download paper | |
2017 | Caught 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. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2017 | Diversification 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | Firms and Labor in Times of Violence: Evidence from the Mexican Drug War. (2018). Utar, Hale. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7345. Full description at Econpapers || Download paper | |
2017 | Will 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. Full description at Econpapers || Download paper | |
2018 | On 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. Full description at Econpapers || Download paper | |
2017 | Who wants violence? The political economy of conflict and state building in Colombia. (2017). Fergusson, Leopoldo. In: DOCUMENTOS CEDE. RePEc:col:000089:015890. Full description at Econpapers || Download paper | |
2018 | Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016943. Full description at Econpapers || Download paper | |
2018 | Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego ; Preciado, Sergio ; Castro, Carlos. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016988. Full description at Econpapers || Download paper | |
2017 | Uncertainty shocks, asset supply and pricing over the business cycle. (2017). Schneider, Martin ; Ilut, Cosmin ; Bianchi, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11950. Full description at Econpapers || Download paper | |
2017 | Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460. Full description at Econpapers || Download paper | |
2018 | Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Collin-Dufresne, Pierre ; Saglam, Mehmet ; Daniel, Kent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12737. Full description at Econpapers || Download paper | |
2018 | Transborder 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. Full description at Econpapers || Download paper | |
2017 | Risk 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. Full description at Econpapers || Download paper | |
2017 | Learning 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. Full description at Econpapers || Download paper | |
2019 | Cojumps 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. Full description at Econpapers || Download paper | |
2017 | Modelling 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. Full description at Econpapers || Download paper | |
2017 | Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model. (2017). Siu, Tak Kuen ; Ching, Wai-Ki ; Lu, Jiejun ; Zhu, Dong-Mei . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:223-232. Full description at Econpapers || Download paper | |
2018 | Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239. Full description at Econpapers || Download paper | |
2018 | Does an aging population influence stock markets? Evidence from New Zealand. (2018). Hettihewa, Samanthala ; Zhang, Hanxiong ; Saha, Shrabani. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:142-158. Full description at Econpapers || Download paper | |
2017 | Testing 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. Full description at Econpapers || Download paper | |
2018 | Are 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. Full description at Econpapers || Download paper | |
2018 | Testing 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. Full description at Econpapers || Download paper | |
2017 | Asset 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. Full description at Econpapers || Download paper | |
2018 | Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2017 | Relation 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. Full description at Econpapers || Download paper | |
2017 | Multiple 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. Full description at Econpapers || Download paper | |
2017 | Using 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. Full description at Econpapers || Download paper | |
2018 | Market 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. Full description at Econpapers || Download paper | |
2018 | Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104. Full description at Econpapers || Download paper | |
2018 | Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80. Full description at Econpapers || Download paper | |
2018 | Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177. Full description at Econpapers || Download paper | |
2018 | Markov 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. Full description at Econpapers || Download paper | |
2018 | Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers || Download paper | |
2018 | Oil 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. Full description at Econpapers || Download paper | |
2017 | Pricing 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259. Full description at Econpapers || Download paper | |
2017 | Geopolitical 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. Full description at Econpapers || Download paper | |
2017 | Long 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. Full description at Econpapers || Download paper | |
2018 | The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs. (2018). Ãsterholm, Pär ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:186-192. Full description at Econpapers || Download paper | |
2018 | Distribution uncertainty and expected stock returns. (2018). Chae, Joon ; Lee, Eunjung. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:55-61. Full description at Econpapers || Download paper | |
2018 | Bid–ask spread and liquidity searching behaviour of informed investors in option markets. (2018). Verousis, Thanos ; CAON, Carlos ; Bernales, Alejandro. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:96-102. Full description at Econpapers || Download paper | |
2018 | Forecasting 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. Full description at Econpapers || Download paper | |
2017 | Hedge 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. Full description at Econpapers || Download paper | |
2018 | Financial 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. Full description at Econpapers || Download paper | |
2017 | Asset 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. Full description at Econpapers || Download paper | |
2018 | Robust 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. Full description at Econpapers || Download paper | |
2017 | Hurting 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. Full description at Econpapers || Download paper | |
2018 | Is 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. Full description at Econpapers || Download paper | |
2017 | Forecasting 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. Full description at Econpapers || Download paper | |
2019 | Measuring 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. Full description at Econpapers || Download paper | |
2018 | Analysts’ stock ownership and stock recommendations. (2018). Chan, Jesse ; Zhao, Wuyang ; Yu, Yong ; Lin, Steve. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:66:y:2018:i:2:p:476-498. Full description at Econpapers || Download paper | |
2017 | Aggregate 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. Full description at Econpapers || Download paper | |
2017 | Ambiguity 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. Full description at Econpapers || Download paper | |
2017 | Volatility 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. Full description at Econpapers || Download paper | |
2017 | Is economic uncertainty priced in the cross-section of stock returns?. (2017). Brown, Stephen ; Tang, YI ; Bali, Turan G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:471-489. Full description at Econpapers || Download paper | |
2017 | Confidence, 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. Full description at Econpapers || Download paper | |
2018 | Asset pricing and ambiguity: Empirical evidence⁎. (2018). Brenner, Menachem ; Izhakian, Yehuda. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:3:p:503-531. Full description at Econpapers || Download paper | |
2019 | Public hedge funds. (2019). Sun, Lin ; Teo, Melvyn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:44-60. Full description at Econpapers || Download paper | |
2017 | Economic 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. Full description at Econpapers || Download paper | |
2018 | Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75. Full description at Econpapers || Download paper | |
2018 | The reality of stock market jumps diversification. (2018). Chen, KE ; Poon, Ser-Huang ; Hyde, Stuart ; Vitiello, Luiz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:171-188. Full description at Econpapers || Download paper | |
2017 | Unexpected 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. Full description at Econpapers || Download paper | |
2018 | The relationship between conflict events and commodity prices in Sudan. (2018). Chen, Junyi ; Price, Edwin ; Bessler, David ; Kibriya, Shahriar. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:4:p:663-684. Full description at Econpapers || Download paper | |
2017 | Dependence 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. Full description at Econpapers || Download paper | |
2017 | Rockets: 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. Full description at Econpapers || Download paper | |
2018 | News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90. Full description at Econpapers || Download paper | |
2018 | Optimistic bias of analysts earnings forecasts: Does investor sentiment matter in China?. (2018). Yin, Libo ; Wu, Yanran ; Han, Liyan ; Liu, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:147-163. Full description at Econpapers || Download paper | |
2018 | Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019. Full description at Econpapers || Download paper | |
2018 | Market efficiency of Baltic stock markets: A fractional integration approach. (2018). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Shittu, Olanrewaju I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:251-262. Full description at Econpapers || Download paper | |
2017 | Analysts 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. Full description at Econpapers || Download paper | |
2018 | Impact 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. Full description at Econpapers || Download paper | |
2018 | Interest 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. Full description at Econpapers || Download paper | |
2018 | Faster 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. Full description at Econpapers || Download paper | |
2018 | Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231. Full description at Econpapers || Download paper | |
2018 | Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296. Full description at Econpapers || Download paper | |
2017 | Learning 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. Full description at Econpapers || Download paper | |
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. Full description at Econpapers || Download paper | |
2018 | Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160. Full description at Econpapers || Download paper | |
2018 | The effect of conflict on Palestine, Israel, and Jordan stock markets. (2018). Hassouneh, Islam ; Al-Sharif, Iqbal ; Serra, Teresa ; Couleau, Anabelle . In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:258-266. Full description at Econpapers || Download paper | |
2017 | Ambiguity 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. Full description at Econpapers || Download paper | |
2017 | Profiting 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. Full description at Econpapers || Download paper | |
2018 | Capital 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. Full description at Econpapers || Download paper | |
2017 | Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CAMA Working Papers. RePEc:een:camaaa:2017-76. Full description at Econpapers || Download paper | |
2017 | Modified 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. Full description at Econpapers || Download paper | |
2018 | The Long-run Effect of Geopolitical Risks on Insurance Premiums. (2018). Shahbaz, Muhammad ; Olasehinde-Williams, Godwin ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-44.pdf. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2007 | Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review. [Full Text][Citation analysis] | article | 100 |
2004 | Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2006 | Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2001 | Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 6 |
2015 | Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Understanding 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. [Full Text][Citation analysis] | paper | 0 |
2016 | Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
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2018 | Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2018 | Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 0 |
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2009 | Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value In: Real Estate Economics. [Full Text][Citation analysis] | article | 8 |
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2009 | Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2014 | Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics. [Full Text][Citation analysis] | article | 7 |
2005 | Home Bias and High Turnover in an Overlapping-generations Model with Learning In: Review of International Economics. [Full Text][Citation analysis] | article | 7 |
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2011 | Myths 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. [Full Text][Citation analysis] | paper | 0 |
2011 | Myths 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2013 | Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper. [Full Text][Citation analysis] | paper | 2 |
2015 | Macroeconomic 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Macroeconomic 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
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2018 | Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2010 | 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 6 |
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2010 | Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 0 |
2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 28 |
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2001 | Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
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2007 | Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
2009 | Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2007 | Forecasts 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: 37 | paper | |
2005 | Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 5 |
2007 | Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2007 | Small Caps in International Diversified Portfolios In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers. [Full Text][Citation analysis] | paper | 0 |
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2013 | Ambiguity Aversion and Under-diversification.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2008 | Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series. [Full Text][Citation analysis] | paper | 12 |
2003 | Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 0 |
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2007 | Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 20 |
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2014 | Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2018 | Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
2017 | Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2014 | How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
2013 | How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2006 | Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2013 | A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
2010 | A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2013 | Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
2014 | Unconventional monetary policies and the corporate bond market In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
2015 | Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 3 |
2015 | Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 2 |
2016 | Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2009 | Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 28 |
2009 | Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2018 | Predictions of short-term rates and the expectations hypothesis In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
2010 | Predictions of short-term rates and the expectations hypothesis.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2012 | Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
2010 | Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2011 | Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2014 | Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2012 | Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2017 | The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2015 | The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2006 | Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 3 |
2005 | Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2006 | Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 3 |
2005 | Are the dynamic linkages between the macroeconomy and asset prices time-varying?.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2009 | Affiliated mutual funds and analyst optimism In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 22 |
2007 | Affiliated mutual funds and analyst optimism.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2008 | Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 4 |
2013 | Alternative econometric implementations of multi-factor models of the U.S. financial markets In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 3 |
2003 | International asset prices and portfolio choices under Bayesian learning In: Research in Economics. [Full Text][Citation analysis] | article | 0 |
2013 | Markov switching models in asset pricing research In: Chapters. [Full Text][Citation analysis] | chapter | 1 |
2009 | Taming the long-term spreads In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2009 | Is the financial crisis over? a yield spread perspective In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2010 | The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses. [Full Text][Citation analysis] | article | 10 |
2006 | The dollar U-turn In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
2005 | Is the bond market irrational? In: Monetary Trends. [Full Text][Citation analysis] | article | 1 |
2008 | No volatility, no forecasting power for the term spread In: Monetary Trends. [Full Text][Citation analysis] | article | 1 |
2005 | Bubbling (or just frothy) house prices? In: National Economic Trends. [Full Text][Citation analysis] | article | 0 |
2006 | Cross-country personal saving rates In: National Economic Trends. [Full Text][Citation analysis] | article | 1 |
2004 | Subjective probabilities: psychological theories and economic applications In: Review. [Full Text][Citation analysis] | article | 1 |
2007 | The decline in the U.S. personal saving rate: is it real and is it a puzzle? In: Review. [Full Text][Citation analysis] | article | 31 |
2003 | Subjective probabilities: psychological evidence and economic applications In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Working Papers. [Full Text][Citation analysis] | paper | 98 |
2006 | An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | article | |
2005 | Optimal portfolio choice under regime switching, skew and kurtosis preferences In: Working Papers. [Full Text][Citation analysis] | paper | 18 |
2005 | Size and value anomalies under regime shifts In: Working Papers. [Full Text][Citation analysis] | paper | 24 |
2008 | Size and Value Anomalies under Regime Shifts.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2005 | Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
2006 | Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2005 | High equity premia and crash fears. Rational foundations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2006 | High equity premia and crash fears - Rational foundations.(2006) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2006 | International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers. [Full Text][Citation analysis] | paper | 116 |
2008 | International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 116 | article | |
2005 | The economic effects of violent conflict: evidence from asset market reactions In: Working Papers. [Full Text][Citation analysis] | paper | 40 |
2010 | The economic effects of violent conflict: Evidence from asset market reactions.(2010) In: Journal of Peace Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2006 | Investing for the long-run in European real estate In: Working Papers. [Full Text][Citation analysis] | paper | 24 |
2007 | Investing for the Long-run in European Real Estate.(2007) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2007 | What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model.(2009) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2006 | Why do analysts continue to provide favorable coverage for seasoned stocks? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2007 | Managing international portfolios with small capitalization stocks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2010 | A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?.(2010) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2010 | Ambiguity in asset pricing and portfolio choice: a review of the literature In: Working Papers. [Full Text][Citation analysis] | paper | 50 |
2013 | Ambiguity in asset pricing and portfolio choice: a review of the literature.(2013) In: Theory and Decision. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | article | |
2011 | Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2010 | Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2011 | A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | Markov Switching Models in Empirical Finance In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
2012 | Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | The Effects of Information Asymmetries on the Success of Stock Option Listings In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Modeling Systemic Risk with Markov Switching Graphical SUR Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Can 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. [Full Text][Citation analysis] | article | 2 |
2014 | Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | article | 1 |
2013 | Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
2007 | A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2014 | Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2018 | How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team