Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

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

18

H index

25

i10 index

1172

Citations

RESEARCH PRODUCTION:

68

Articles

85

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 65
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 177.    Total self citations: 82 (6.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2019-02-13    RAS profile: 2019-01-10    
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Relations with other researchers

Works with:

Bianchi, Daniele (8)

Ravazzolo, Francesco (7)

Bianchi, Daniele (4)

Hansen, Erwin (4)

Hyde, Stuart (2)

Contessi, Silvio (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:

van Dijk, Dick (20)

Ravazzolo, Francesco (19)

GUPTA, RANGAN (18)

Billio, Monica (17)

Masih, Abul (16)

Maheu, John (15)

Bacha, Obiyathulla (15)

Flavin, Thomas (14)

Hammoudeh, Shawkat (12)

van Dijk, Herman (12)

Haas, Markus (12)

Cites to:

Timmermann, Allan (146)

Campbell, John (138)

Shiller, Robert (71)

Ang, Andrew (62)

Bekaert, Geert (55)

Viceira, Luis (51)

French, Kenneth (51)

Nelson, Charles (47)

Startz, Richard (38)

Hamilton, James (32)

Stambaugh, Robert (31)

Main data

Where Massimo Guidolin has published?

Journals with more than one article published# docs
Economic Synopses3
The Journal of Real Estate Finance and Economics3
Quantitative Finance3
Journal of Economic Dynamics and Control3
Journal of Banking & Finance3
European Journal of Operational Research2
Applied Financial Economics2
Journal of Economics and Business2
Review2
Monetary Trends2
National Economic Trends2
International Journal of Forecasting2
Journal of Financial Econometrics2
International Review of Financial Analysis2
Journal of Econometrics2
Real Estate Economics2
Finance Research Letters2

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, Italy10
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 (2019 and 2018)

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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2018Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Pham, Huyen ; Zhou, Chao ; Wei, Xiaoli. In: Papers. RePEc:arx:papers:1809.01464.

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2018Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18.

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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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2018Out‐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.

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

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2018Non†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.

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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). Eden, Lorraine ; Beamish, Paul W ; Dai, LI. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:7:p:1478-1498.

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

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

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

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

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

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

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

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

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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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2018Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Collin-Dufresne, Pierre ; Saglam, Mehmet ; Daniel, Kent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12737.

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

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

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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). 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.

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2018Sectoral 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.

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2018Does 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.

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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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2018Long-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.

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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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2018Oil 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.

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2018Portfolio 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.

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2018Conditional 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.

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2018Forecasting 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.

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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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2018Forecasting 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.

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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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2018The 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.

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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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2018Distribution 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.

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2018Bid–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.

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

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2018Analysts’ 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.

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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 ; Tang, YI ; Bali, Turan G. 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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2018Asset 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.

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

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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). 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.

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2018The 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.

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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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2018The 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.

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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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2018News 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.

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2018Optimistic 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.

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2018Hidden 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.

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2018Market 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.

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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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2018Performance 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.

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2018Quantile 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.

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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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2018Regime 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.

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2018The 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.

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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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2018The 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.

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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.
[Full Text][Citation analysis]		article100
2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2006Diamonds 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
2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper6
2015Can 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]		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.
[Full Text][Citation analysis]		paper0
2016Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Portfolio 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
2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2004Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data In: Economic Notes.
[Full Text][Citation analysis]		article1
2015Equally Weighted vs. Long†Run Optimal Portfolios In: European Financial Management.
[Full Text][Citation analysis]		article4
2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
[Full Text][Citation analysis]		article8
2014Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article5
2010Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article8
2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.(2009) In: CeRP Working Papers.
[Full Text][Citation analysis]
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2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
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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.
[Full Text][Citation analysis]		article7
2005Home Bias and High Turnover in an Overlapping-generations Model with Learning In: Review of International Economics.
[Full Text][Citation analysis]		article7
2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		paper1
2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Dissecting 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
20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper6
20101/N and long run optimal portfolios: results for mixed asset menus.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper0
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper28
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2001Option 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
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper56
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		article
2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		paper
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper37
2009Forecasts 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
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: 37		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.
[Full Text][Citation analysis]		paper5
2007Small 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
2009Small 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
2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article6
2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
[Full Text][Citation analysis]		paper12
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper0
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
[Full Text][Citation analysis]		article84
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.
[Full Text][Citation analysis]		paper0
2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article124
2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 124		paper
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article20
2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2017Estimating 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
2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2013How 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
2006Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article7
2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article3
2015Learning 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
2017Identifying 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]		article2
2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers.
[Full Text][Citation analysis]
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2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article28
2009Non-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
2018Predictions of short-term rates and the expectations hypothesis In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2010Predictions 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
2012Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2010Can 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
2011Can 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
2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2012Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 5		paper
2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2015The 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
2006Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business.
[Full Text][Citation analysis]		article3
2005Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle.(2005) In: Working Papers.
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2006Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article3
2005Are the dynamic linkages between the macroeconomy and asset prices time-varying?.(2005) In: Working Papers.
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2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
[Full Text][Citation analysis]		article22
2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 22		paper
2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		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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2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
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2013Markov switching models in asset pricing research In: Chapters.
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2009Taming the long-term spreads In: Economic Synopses.
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2009Is the financial crisis over? a yield spread perspective In: Economic Synopses.
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2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
[Full Text][Citation analysis]		article10
2006The dollar U-turn In: International Economic Trends.
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2005Is the bond market irrational? In: Monetary Trends.
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2008No volatility, no forecasting power for the term spread In: Monetary Trends.
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2005Bubbling (or just frothy) house prices? In: National Economic Trends.
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2006Cross-country personal saving rates In: National Economic Trends.
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2004Subjective probabilities: psychological theories and economic applications In: Review.
[Full Text][Citation analysis]		article1
2007The decline in the U.S. personal saving rate: is it real and is it a puzzle? In: Review.
[Full Text][Citation analysis]		article31
2003Subjective probabilities: psychological evidence and economic applications In: Working Papers.
[Full Text][Citation analysis]		paper0
2005An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Working Papers.
[Full Text][Citation analysis]		paper98
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.
[Full Text][Citation analysis]		paper18
2005Size and value anomalies under regime shifts In: Working Papers.
[Full Text][Citation analysis]		paper24
2008Size 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
2005Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers.
[Full Text][Citation analysis]		paper2
2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
[Full Text][Citation analysis]		paper29
2006Predictable 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
2005High equity premia and crash fears. Rational foundations In: Working Papers.
[Full Text][Citation analysis]		paper3
2006High equity premia and crash fears - Rational foundations.(2006) In: Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
[Full Text][Citation analysis]		paper116
2008International 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
2005The economic effects of violent conflict: evidence from asset market reactions In: Working Papers.
[Full Text][Citation analysis]		paper40
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: 40		article
2006Investing for the long-run in European real estate In: Working Papers.
[Full Text][Citation analysis]		paper24
2007Investing for the Long-run in European Real Estate.(2007) In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]
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2007What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers.
[Full Text][Citation analysis]		paper3
2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model.(2009) In: Applied Financial Economics.
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2006Why do analysts continue to provide favorable coverage for seasoned stocks? In: Working Papers.
[Full Text][Citation analysis]		paper0
2007The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns In: Working Papers.
[Full Text][Citation analysis]		paper6
2007Managing international portfolios with small capitalization stocks In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK In: Working Papers.
[Full Text][Citation analysis]		paper3
2009A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Working Papers.
[Full Text][Citation analysis]		paper14
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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2010Ambiguity in asset pricing and portfolio choice: a review of the literature In: Working Papers.
[Full Text][Citation analysis]		paper50
2013Ambiguity in asset pricing and portfolio choice: a review of the literature.(2013) In: Theory and Decision.
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2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
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2010Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers.
[Full Text][Citation analysis]		paper4
2011A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets In: Working Papers.
[Full Text][Citation analysis]		paper1
2011Markov Switching Models in Empirical Finance In: Working Papers.
[Full Text][Citation analysis]		paper22
2012Optimal 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]		paper0
2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings In: Working Papers.
[Full Text][Citation analysis]		paper2
2013The Effects of Information Asymmetries on the Success of Stock Option Listings In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models In: Working Papers.
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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models In: Working Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article2
2014Myths 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]		article1
2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
[Full Text][Citation analysis]		article0
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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