Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

Università Commerciale Luigi Bocconi (60% share)
Università Commerciale Luigi Bocconi (40% share)

22

H index

37

i10 index

2019

Citations

RESEARCH PRODUCTION:

88

Articles

107

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 87
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 114.    Total self citations: 103 (4.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgu101
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Pedio, Manuela (17)

Paccagnini, Alessia (3)

De Pace, Pierangelo (3)

Bianchi, Daniele (3)

Franses, Philip Hans (2)

Thomakos, Dimitrios (2)

Martinez, Andrew (2)

Clements, Michael (2)

Rubaszek, Michał (2)

Reade, J (2)

Füss, Roland (2)

Hendry, David (2)

Shang, Han Lin (2)

Grossi, Luigi (2)

Fiszeder, Piotr (2)

Castle, Jennifer (2)

Li, Feng (2)

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

Is cited by:

GUPTA, RANGAN (33)

Billio, Monica (26)

Ravazzolo, Francesco (25)

van Dijk, Dick (22)

Flavin, Thomas (21)

Kole, Erik (21)

Casarin, Roberto (20)

Bernales, Alejandro (17)

Shang, Han Lin (17)

Kearney, Fearghal (17)

Balcilar, Mehmet (17)

Cites to:

Campbell, John (177)

Timmermann, Allan (151)

Ang, Andrew (79)

French, Kenneth (77)

Shiller, Robert (70)

Bekaert, Geert (68)

Viceira, Luis (63)

Nelson, Charles (54)

Startz, Richard (45)

Diebold, Francis (44)

Stambaugh, Robert (44)

Main data

Where Massimo Guidolin has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Finance Research Letters4
Journal of Asset Management4
The Journal of Real Estate Finance and Economics4
Economic Synopses3
European Journal of Operational Research3
Journal of Econometrics3
The European Journal of Finance3
International Journal of Forecasting3
Journal of Banking & Finance3
Quantitative Finance3
Monetary Trends2
National Economic Trends2
The Quarterly Review of Economics and Finance2
Review2
The Journal of Financial Econometrics2
Real Estate Economics2
Journal of Financial Markets2
Journal of Economics and Business2
International Review of Financial Analysis2

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, Italy26
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)5
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Carlo Alberto Notebooks / Collegio Carlo Alberto2

Recent works citing Massimo Guidolin (2024 and 2023)

YearTitle of citing document
2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2023Predicting Performances of Mutual Funds using Deep Learning and Ensemble Techniques. (2022). Tran, Hien ; Nguyen, Huy ; Pham, Nga ; Dao, Binh ; Chu, Nghia. In: Papers. RePEc:arx:papers:2209.09649.

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2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2023An Ellsberg paradox for ambiguity aversion. (2022). Zhang, Xiannong ; Rogers, Brian W ; Kuzmics, Christoph. In: Papers. RePEc:arx:papers:2212.03603.

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2023Optimal investment in ambiguous financial markets with learning. (2023). Mahayni, Antje ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.08521.

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2023Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions. (2023). Ziel, Florian ; Ghelasi, Paul. In: Papers. RePEc:arx:papers:2305.16255.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848.

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2023Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2023Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts. (2023). Lehmann, Niklas Valentin. In: Papers. RePEc:arx:papers:2312.09081.

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2023.

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2023.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782.

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2023.

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2023Visibility Bias in the Transmission of Consumption Beliefs and Undersaving. (2023). Hirshleifer, David ; Walden, Johan ; Han, Bing. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1647-1704.

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2023.

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2023The indirect effect of the Russian-Ukrainian war through international linkages: early evidence from the stock market. (2023). Leromain, Elsa ; Biermann, Marcus. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1899.

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2023Ambiguous Business Cycles, Recessions and Uncertainty: A Quantitative Analysis. (2023). Piccillo, Giulia ; Poonpakdee, Poramapa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10646.

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2023Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720.

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2023Liquidity support and distress resilience in bank-affiliated mutual funds. (2023). Maddaloni, Angela ; Fecht, Falko ; Bagattini, Giulio. In: Working Paper Series. RePEc:ecb:ecbwps:20232799.

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2023Heat load forecasting using adaptive spatial hierarchies. (2023). Madsen, Henrik ; Moller, Jan Kloppenborg ; Sorensen, Mikkel Lindstrom ; Bergsteinsson, Hjorleifur G. In: Applied Energy. RePEc:eee:appene:v:350:y:2023:i:c:s0306261923010401.

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2023Residential energy consumption forecasting using deep learning models. (2023). Dias, Bruno H ; Silva, Walquiria N ; Villela, Saulo Moraes ; Vitor, Paulo. In: Applied Energy. RePEc:eee:appene:v:350:y:2023:i:c:s0306261923010693.

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2023Are the European Union stock markets vulnerable to the Russia–Ukraine war?. (2023). Pandey, Dharen ; Kumar, Gaurav ; Kumari, Vineeta. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000072.

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2023Firms amid conflict: Performance, production inputs, and market competition. (2023). Rahman, Aminur ; di Maio, Michele ; del Prete, Davide. In: Journal of Development Economics. RePEc:eee:deveco:v:164:y:2023:i:c:s0304387823000986.

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2023How many fundamentals should we include in the behavioral equilibrium exchange rate model?. (2023). Rubaszek, Michał ; Ca, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s026499932200308x.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2023Distributional neural networks for electricity price forecasting. (2023). Weron, Rafał ; Ziel, Florian ; Narajewski, Micha ; Marcjasz, Grzegorz. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Digitalization in decarbonizing electricity systems – Phenomena, regional aspects, stakeholders, use cases, challenges and policy options. (2023). Verma, Piyush ; Covatariu, Andrei ; Milojevic, Tatjana ; Heymann, Fabian. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024033.

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2023Differential attention net: Multi-directed differential attention based hybrid deep learning model for solar power forecasting. (2023). Jana, Kartick C ; Shrivastava, Ashish ; Rai, Amit. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pc:s0360544222026329.

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2023Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x.

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2023Memory long and short term time series network for ultra-short-term photovoltaic power forecasting. (2023). Yang, Mengyuan ; Huang, Congzhi. In: Energy. RePEc:eee:energy:v:279:y:2023:i:c:s0360544223013555.

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2023Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x.

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2023Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045.

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2023Are commodity futures a hedge against inflation? A Markov-switching approach. (2023). Zhou, Zhiping ; Zhang, Xuan ; Liu, Chunbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300008x.

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2023Does alternative data reduce stock price crash risk? Evidence from third-party online sales disclosure in China. (2023). Liu, Shangqun. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002119.

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2023EU Climate Change News Index: Forecasting EU ETS prices with online news. (2023). Palos, Peter ; Pap, Aron ; Hartvig, Aron Denes. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000946.

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2023Media attention and corporate greenwashing behavior: Evidence from China. (2023). Li, Yilin ; Yue, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003884.

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2023The reaction of the financial market to the January 6 United States Capitol attack: An intraday study. (2023). Stoica, Ovidiu ; Gherghina, Ştefan ; Mehdian, Seyed ; Stephens, John. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004208.

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2023Market systemic risk, predictability and macroeconomics news. (2023). Xie, Yiqiang ; Fan, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004749.

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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908.

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2023The impact of Bank of Japan’s exchange-traded fund purchases. (2023). Yoshida, Jiro ; Hattori, Takahiro. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000025.

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2023Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. (2023). Lee, Hsiang-Tai. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000030.

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2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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2023Distributed ARIMA models for ultra-long time series. (2023). Li, Feng ; Hyndman, Rob ; Kang, Yanfei ; Wang, Xiao Qian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1163-1184.

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2023fETSmcs: Feature-based ETS model component selection. (2023). Jia, Suling ; Wang, Qiang ; Li, Xixi ; Qi, Lingzhi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1303-1317.

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2023How stock market reacts to environmental disasters and judicial decisions: A case study of Mariana’s dam collapse in Brazil. (2023). Schiavon, L C ; Cordeiro, F F ; Assis, T P. In: International Review of Law and Economics. RePEc:eee:irlaec:v:73:y:2023:i:c:s0144818822000618.

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2023Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080.

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2023Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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2023Optimal competitive capacity strategies: Evidence from the container shipping market. (2023). de Koster, M. B. M, ; Zuidwijk, Rob ; Li, Xishu. In: Omega. RePEc:eee:jomega:v:115:y:2023:i:c:s0305048322001955.

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2023Russia-Ukraine conflict: The effect on European banks’ stock market returns. (2023). Gouveia, Ricardo ; Correia, Pedro ; Martins, Antonio Miguel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x23000051.

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2023Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444.

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2023News-based economic policy uncertainty and financial contagion: An international evidence. (2023). Hadhri, Sinda. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:63-76.

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2023The artificial intelligence-assisted short-term optimal scheduling of a cascade hydro-photovoltaic complementary system with hybrid time steps. (2023). Kurban, Aynur ; He, YI ; Zheng, Kun ; Guo, SU. In: Renewable Energy. RePEc:eee:renene:v:202:y:2023:i:c:p:1169-1189.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023International portfolio diversification and the home bias puzzle. (2023). Oh, Frederick Dongchuhl ; Lee, Kyounghun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001933.

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2023Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417.

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2023Institutional investor information network, analyst forecasting and stock price crash risk. (2023). Liu, Jia ; Gong, Xiao-Li. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000685.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2023Border disputes, conflicts, war, and financial markets research: A systematic review. (2023). Pandey, Dharen ; Kumar, Satish ; Lucey, Brian M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000983.

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2023The motifs of risk transmission in multivariate time series: Application to commodity prices. (2023). Spelta, Alessandro ; Pagnottoni, Paolo. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012122002609.

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2023ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation. (2023). Janczura, Joanna ; Pu, Andrzej. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:807-:d:1031193.

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2023Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention. (2023). Zhang, Yinpeng ; Zhu, Panpan ; Zhou, Qingjie. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:929-:d:1035420.

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2023Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge. (2023). Bean, Richard. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1050-:d:1039403.

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2023Enhancing Smart Home Design with AI Models: A Case Study of Living Spaces Implementation Review. (2023). Almssad, Asaad ; Yitmen, Ibrahim ; Almusaed, Amjad. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:6:p:2636-:d:1094089.

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2023.

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2023Comprehensive Review on Waste Generation Modeling. (2023). Szasziova, Lenka ; Roseck, Martin ; Smejkalova, Veronika ; Omplak, Radovan ; Pavlas, Martin ; Hrabec, Duan ; Nevrl, Vlastimir. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:4:p:3278-:d:1064709.

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2023Towards a macroprudential regulatory framework for mutual funds?. (2023). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: Post-Print. RePEc:hal:journl:hal-04103373.

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2023Exposure to collective gender-based violence causes intimate partner violence. (2023). Bruck, Tilman ; Stojetz, Wolfgang. In: HiCN Working Papers. RePEc:hic:wpaper:389.

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2023Analysts’ Connections and M&A Outcomes. (2023). Marcet, Francisco ; Cortes, Felipe. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4108-4133.

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2023Trade Liberalization, Economic Activity, and Political Violence in the Global South: Evidence from PTAs. (2023). Chiovelli, Giorgio ; Amodio, Francesco ; di Maio, Michele ; Baccini, Leonardo. In: IZA Discussion Papers. RePEc:iza:izadps:dp16011.

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2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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2023Constrained portfolio strategies in a regime-switching economy. (2023). Campani, Carlos Heitor ; Lewin, Marcelo. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00414-x.

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2023Religion and Equity Home Bias. (2023). Lee, Kyounghun ; Oh, Frederick Dongchuhl. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:5:d:10.1007_s11079-022-09709-y.

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2023Cross Risk Apportionment and Non-financial Correlated Background Uncertainty. (2023). Osaki, Yusuke ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:1098.

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2023Arctic weather variability and connectivity. (2023). Kurths, Jurgen ; Bhatt, Uma S ; Fan, Jingfang ; Meng, Jun. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-42351-x.

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2023On Target? Sanctions and the Economic Interests of Elite Policymakers in Iran. (2023). Warrinnier, Nele ; Stickland, Leanne ; Garred, Jason ; Draca, Mirko. In: The Economic Journal. RePEc:oup:econjl:v:133:y:2023:i:649:p:159-200..

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2023Does demand forecasting matter to retailing?. (2023). Veiga, Claudimar Pereira ; Almeida, Wesley Marcos. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:11:y:2023:i:2:d:10.1057_s41270-022-00162-x.

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2023Risk spillover in China’s real estate industry chain: a DCC-EGARCH-?CoVaR model. (2023). Zheng, Yuelong ; Wang, Lin ; Zhou, Liguo ; Chen, Xiaoyang. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01934-1.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012.

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2023Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. (2023). Grith, Maria ; Chen, Ying. In: MPRA Paper. RePEc:pra:mprapa:119022.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023Bayesian VARs of the U.S. economy before and during the pandemic. (2023). Sznajderska, Anna ; Haug, Alfred A. In: Eurasian Economic Review. RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00229-9.

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2023A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting. (2023). GUPTA, RANGAN ; Zhang, Han. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00483-5.

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2023Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021. (2023). Martinez, Boris ; Ramos, Jeferson ; Bejarano, Valeria ; Espinosa, Oscar. In: Health Economics Review. RePEc:spr:hecrev:v:13:y:2023:i:1:d:10.1186_s13561-022-00416-5.

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

Works by Massimo Guidolin:

YearTitleTypeCited
2007Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review.
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2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
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2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper7
2022Forecasting: theory and practice In: Papers.
[Full Text][Citation analysis]		paper37
2022Forecasting: theory and practice.(2022) In: International Journal of Forecasting.
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2015Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers.
[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]		paper3
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]		paper3
2017Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management.
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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper4
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]		paper1
2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
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2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2018) In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2022) In: Quarterly Journal of Finance (QJF).
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper3
2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2021Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes.(2021) In: Working Papers.
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2021Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes.(2021) In: The European Journal of Finance.
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2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
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2021Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters.
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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper2
2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
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2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis.(2023) In: The Journal of Real Estate Finance and Economics.
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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper6
2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper3
2021Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit.(2021) In: Finance Research Letters.
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2020Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2021Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper3
2023Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2023Time-Varying Risk Aversion and International Stock Returns In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2015Equally Weighted vs. Long†Run Optimal Portfolios In: European Financial Management.
[Full Text][Citation analysis]		article9
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]		article7
2010Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: Working Papers.
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2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value In: Real Estate Economics.
[Full Text][Citation analysis]		article13
2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.(2009) In: CeRP Working Papers.
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This paper has nother version. Agregated cites: 13		paper
2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
[Full Text][Citation analysis]		article9
2005Home Bias and High Turnover in an Overlapping?generations Model with Learning In: Review of International Economics.
[Full Text][Citation analysis]		article13
2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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.
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This paper has nother 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]		paper10
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 nother version. Agregated cites: 10		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 nother version. Agregated cites: 10		article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
[Full Text][Citation analysis]		paper5
2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 5		article
20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
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20101/N and long run optimal portfolios: results for mixed asset menus.(2010) In: Working Papers.
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2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets In: Economics Department, Working Paper Series.
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2020Mildly explosive dynamics in U.S. fixed income markets.(2020) In: European Journal of Operational Research.
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2017Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2017) In: Globalization Institute Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2020Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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2001Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2001) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 43		paper
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
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2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
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2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
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2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
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2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
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2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
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2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
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2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
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2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
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2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
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2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
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2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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2019An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings In: Journal of Corporate Finance.
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2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings.(2013) In: Working Papers.
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2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control.
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2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
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2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
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2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
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2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
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2013How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers.
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2006Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis.
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2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
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2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
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2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
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2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers.
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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
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2017Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money.
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2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
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2009Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers.
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2018Predictions of short-term rates and the expectations hypothesis In: International Journal of Forecasting.
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2010Predictions of short-term rates and the expectations hypothesis.(2010) In: Working Papers.
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2012Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance.
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2010Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers.
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2011Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers.
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2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance.
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2012Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers.
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2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
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2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
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2006Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business.
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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.
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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.
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2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
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2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
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2023The empirical performance of option implied volatility surface-driven optimal portfolios In: Physica A: Statistical Mechanics and its Applications.
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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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2020Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence In: The Quarterly Review of Economics and Finance.
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2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
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2020Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery In: CAMA Working Papers.
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2013Markov switching models in asset pricing research In: Chapters.
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2011Markov Switching Models in Empirical Finance In: Advances in Econometrics.
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2011Markov Switching Models in Empirical Finance.(2011) In: Working Papers.
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2011Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey In: Advances in Econometrics.
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2009Taming the long-term spreads In: Economic Synopses.
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2009Is the financial crisis over? a yield spread perspective In: Economic Synopses.
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2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
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2006The dollar U-turn In: International Economic Trends.
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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.
[Full Text][Citation analysis]		article1
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]		article54
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]		paper136
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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This paper has nother version. Agregated cites: 136		article
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
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2005Optimal portfolio choice under regime switching, skew and kurtosis preferences In: Working Papers.
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2005Size and value anomalies under regime shifts In: Working Papers.
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2008Size and Value Anomalies under Regime Shifts.(2008) In: The Journal of Financial Econometrics.
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2005Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers.
[Full Text][Citation analysis]		paper3
2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
[Full Text][Citation analysis]		paper51
2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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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.
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2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
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2008International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: Review of Financial Studies.
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2010The economic effects of violent conflict: Evidence from asset market reactions.(2010) In: Journal of Peace Research.
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2006Investing for the long-run in European real estate In: Working Papers.
[Full Text][Citation analysis]		paper28
2007Investing for the Long-run in European Real Estate.(2007) In: The Journal of Real Estate Finance and Economics.
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2007What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers.
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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.
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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]		paper6
2010Ambiguity in asset pricing and portfolio choice: a review of the literature In: Working Papers.
[Full Text][Citation analysis]		paper98
2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
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2013Ambiguity in asset pricing and portfolio choice: a review of the literature.(2013) In: Theory and Decision.
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2010Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers.
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2011Regime shifts in mean-variance efficient frontiers: Some international evidence.(2011) In: Journal of Asset Management.
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2022Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns In: Forecasting.
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2012Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers.
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2013The Effects of Information Asymmetries on the Success of Stock Option Listings 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.
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2014Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios In: The Journal of Real Estate Finance and Economics.
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2014Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate In: The Journal of Real Estate Finance and Economics.
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2008Diversifying in public real estate: The ex-post performance In: Journal of Asset Management.
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2016Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books.
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2011Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence In: Palgrave Macmillan Books.
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2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
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2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model In: Applied Financial Economics.
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2010A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Applied Financial Economics.
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2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
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2022Performance persistence and optimal asset allocation strategies In: The European Journal of Finance.
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2014Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance.
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2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance.
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2020Sentiment Risk Premia In The Cross-Section of Global Equity In: Working Papers on Finance.
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