Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

Università Commerciale Luigi Bocconi (64% share)
Università Commerciale Luigi Bocconi (36% share)

18

H index

32

i10 index

1500

Citations

RESEARCH PRODUCTION:

79

Articles

105

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   21 years (2000 - 2021). See details.
   Cites by year: 71
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 160.    Total self citations: 99 (6.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2021-09-18    RAS profile: 2021-06-28    
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Relations with other researchers

Works with:

Pedio, Manuela (22)

Bianchi, Daniele (6)

Hansen, Erwin (5)

De Pace, Pierangelo (4)

Ravazzolo, Francesco (3)

Contessi, Silvio (2)

Billio, Monica (2)

Füss, Roland (2)

Casarin, Roberto (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 (26)

Ravazzolo, Francesco (25)

Billio, Monica (24)

van Dijk, Dick (20)

Flavin, Thomas (18)

Masih, Abul (16)

Bacha, Obiyathulla (15)

Maheu, John (15)

Balcilar, Mehmet (14)

Casarin, Roberto (14)

van Dijk, Herman (13)

Cites to:

Timmermann, Allan (149)

Campbell, John (142)

Ang, Andrew (73)

French, Kenneth (65)

Shiller, Robert (64)

Bekaert, Geert (59)

Viceira, Luis (55)

Nelson, Charles (49)

Hamilton, James (43)

Fama, Eugene (41)

Diebold, Francis (40)

Main data

Where Massimo Guidolin has published?

Journals with more than one article published# docs
Journal of Asset Management4
Journal of Economic Dynamics and Control4
Economic Synopses3
European Journal of Operational Research3
The Journal of Real Estate Finance and Economics3
Quantitative Finance3
Journal of Econometrics3
Finance Research Letters3
Journal of Banking & Finance3
International Journal of Forecasting2
Monetary Trends2
Real Estate Economics2
Journal of Financial Markets2
Journal of Financial Econometrics2
The Quarterly Review of Economics and Finance2
Journal of Economics and Business2
Applied Financial Economics2
International Review of Financial Analysis2
Review2
National Economic Trends2

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, Italy23
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 (2021 and 2020)

YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Toward a macroprudential regulatory framework for mutual funds. (2020). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020008.

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2020.

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2020Implied volatility smile dynamics in the presence of jumps. (2017). Kanniainen, Juho ; Barholm, Perttu ; Magris, Martin. In: Papers. RePEc:arx:papers:1711.02925.

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2020Investor Experiences and International Capital Flows. (2020). Vanasco, Victoria ; Pouzo, Demian ; Malmendier, Ulrike. In: Papers. RePEc:arx:papers:2001.07790.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2021Production Networks and War. (2020). Makarin, Alexey ; Korovkin, Vasily. In: Papers. RePEc:arx:papers:2011.14756.

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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

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2021Absolute Value Constraint: The Reason for Invalid Performance Evaluation Results of Neural Network Models for Stock Price Prediction. (2021). Wei, YI ; Tiu, Cristian ; Chaudhary, Vipin. In: Papers. RePEc:arx:papers:2101.10942.

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2021A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2021Economic Recession Prediction Using Deep Neural Network. (2021). Liu, Hongfu ; Xia, Steve Q ; Wang, Zihao. In: Papers. RePEc:arx:papers:2107.10980.

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2021Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market. (2021). Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2107.11371.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926.

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2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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2021Model-free Portfolio Theory: A Rough Path Approach. (2021). Promel, David J ; Liu, Chong ; Cuchiero, Christa ; Allan, Andrew L. In: Papers. RePEc:arx:papers:2109.01843.

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2021Review of the Bank of Russia and NES Seminar ‘Financial Dollarisation: Causes and Consequences’. (2021). Ponomarenko, Alexey ; Egorov, Konstantin. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:2:p:96-104.

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2020Earnings volatility, ambiguity, and crisis‐period stock returns. (2020). Safdar, Irfan ; McMartin, Andrew S ; Ahmed, Anwer S. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2939-2963.

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2020Beyond the efficient markets hypothesis: Towards a new paradigm. (2020). Fender, John . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:333-351.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020How does violence affect exporters? Evidence from political strikes in Bangladesh. (2020). Iqbal, Kazi ; Ahsan, Reshad. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:3:p:599-625.

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2020Multipoint contact without forbearance? How coverage synergies shape equity analysts forecasting performance. (2020). Uribe, Jose N. In: Strategic Management Journal. RePEc:bla:stratm:v:41:y:2020:i:10:p:1901-1932.

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2020The Economic Costs of Diplomatic Conflict. (2020). Kim, Hye Jin ; Lee, Jungmin. In: Working Papers. RePEc:bok:wpaper:2025.

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2021Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model. (2021). Shahzad, Mughal Khurrum ; Hyoung-Goo, Kang ; Tariq, Mohmand Yasir ; Mumtaz, Awan Tahir ; Faheem, Aslam. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:27:y:2021:i:2:p:263-284:n:5.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82.

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2020Globalization and conflicts: the good, the bad and the ugly of corporations in Africa. (2020). Sonno, Tommaso. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1670.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Market Reactions to Quest for Decentralization and Independence: Evidence from Catalonia. (2020). Galasso, Vincenzo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8254.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020The International Spread of COVID-19 Stock Market Collapses. (2020). de Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1013.

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2020Firms and Labor in Times of Violence: Evidence from the Mexican Drug War. (2020). Utar, Hale. In: Documentos de Trabajo LACEA. RePEc:col:000518:017937.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2020Speculation and Price Indeterminacy in Financial Markets: An Experimental Study. (2020). Sunder, Shyam ; Stock, Thomas ; Huber, Juergen ; Hirota, Shinichi. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2134r.

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2021Two-stage stochastic program optimizing the cost of electric vehicles in commercial fleets. (2021). Jochem, Patrick ; Schucking, Maximilian. In: Applied Energy. RePEc:eee:appene:v:293:y:2021:i:c:s0306261921001823.

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2020Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games. (2020). Damodaran, Uday ; Aggarwal, Divya. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019300747.

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2020Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. (2020). Campisi, Giovanni ; Brianzoni, Serena. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303807.

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2021Natural disasters and analysts earnings forecasts. (2021). Lin, Zhiyang ; Kong, Dongmin ; Xiang, Junyi ; Wang, Yanan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920303047.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2020Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779.

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2020Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies. (2020). Adedoyin, Festus ; Adams, Samuel ; Bekun, Festus Victor ; Olaniran, Eniola. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:179-190.

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2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249.

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2021Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

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2021What determines volatility smile in China?. (2021). Lin, Yan ; Xian, Aichuan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:326-335.

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2021Robust portfolio selection with regime switching and asymmetric dependence. (2021). Bai, Manying ; Su, Xiaoshan ; Han, Yingwei. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000754.

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2020Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x.

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2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2021Affiliated block shareholders and analyst optimism. (2021). Li, Shi ; Yang, Shijie ; Wu, Chaopeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940818306491.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323.

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2021Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

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2020Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability. (2020). Katsaiti, Marina-Selini ; Polyzos, Stathis ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302349.

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2021Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477.

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2020Understanding time-varying short-horizon predictability✰. (2020). Zhu, Jie ; Hammami, Yacine. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304264.

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2020Real price appreciation forecast tool: Two delivered log market price cycles in the Puget Sound markets of western Washington, USA, from 1992 through 2019. (2020). Schlosser, William E. In: Forest Policy and Economics. RePEc:eee:forpol:v:113:y:2020:i:c:s1389934119303624.

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2020Investor experiences and international capital flows. (2020). Pouzo, Demian ; Malmendier, Ulrike ; Vanasco, Victoria. In: Journal of International Economics. RePEc:eee:inecon:v:124:y:2020:i:c:s0022199620300210.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2020Arab geopolitics in turmoil: Implications of Qatar-Gulf crisis for business. (2020). Selmi, Refk ; bouoiyour, jamal. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:100-119.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

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2021Optimal portfolio strategies in the presence of regimes in asset returns. (2021). Garcia, René ; Lewin, Marcelo ; Campani, Carlos Heitor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302910.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

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2020Climate policy, stranded assets, and investors’ expectations. (2020). von Schickfus, Marie-Theres ; Sen, Suphi. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:100:y:2020:i:c:s0095069618307083.

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2020Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

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2020US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath. (2020). Gandre, Pauline. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560618304790.

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2021Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis. (2021). Zhou, Yinggang ; Chen, Hongyi ; Cheng, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000085.

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2021Portfolio rebalancing in times of stress. (2021). Kaufmann, Sylvia ; Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000097.

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2021Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources. (2021). Liu, Wenbin ; Wang, Rui ; Xiao, Helu ; Gao, Meng ; Zhou, Zhongbao. In: Omega. RePEc:eee:jomega:v:104:y:2021:i:c:s0305048321000888.

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2021The impact of the term spread in US monetary policy from 1870 to 2013. (2021). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:230-251.

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2021The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. (2021). ben Maatoug, Abderrazek ; Triki, Mohamed Bilel . In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s030142072030903x.

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2021News-driven inflation expectations and information rigidities. (2021). Thorsrud, Leif ; Larsen, Vegard ; Zhulanova, Julia. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:507-520.

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2021Forecasting price of financial market crash via a new nonlinear potential GARCH model. (2021). Long, Chao ; Li, Jiang-Cheng ; Xing, Dun-Zhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030947x.

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2020Analysis of the five-factor asset pricing model with wavelet multiscaling approach. (2020). Kangalli, Sinem Guler ; Uyar, Umut ; Bera, Anil Kumar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:414-423.

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2021Implied volatility of structured warrants: Emerging market evidence. (2021). Sifat, Imtiaz Mohammad ; Mohamad, Azhar ; Murad, Najmi Ismail. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:464-479.

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2020Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58.

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2020Are SEO investors misled by analyst optimism bias? Evidence from investor bids in SEO auctions. (2020). Yang, Mingjing ; Gao, Shenghao ; Cheng, Xiaoke ; Sun, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:90-104.

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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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2020Measuring the effectiveness of volatility auctions. (2020). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:566-581.

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2021The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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

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

Works by Massimo Guidolin:

YearTitleTypeCited
2007Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review.
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2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
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2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
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2015Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers.
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2014Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model In: BAFFI CAREFIN Working Papers.
[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.
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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
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]		paper3
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.
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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
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2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper1
2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence In: BAFFI CAREFIN Working Papers.
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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns In: BAFFI CAREFIN Working Papers.
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2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers.
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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers.
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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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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.
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2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers.
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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
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2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers.
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2020Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? In: BAFFI CAREFIN Working Papers.
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2015Equally Weighted vs. Long†Run Optimal Portfolios In: European Financial Management.
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2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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2014Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence In: Oxford Bulletin of Economics and Statistics.
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2010Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: Working Papers.
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2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value In: Real Estate Economics.
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2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.(2009) In: CeRP Working Papers.
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2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
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2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
[Full Text][Citation analysis]		article9
2005Home Bias and High Turnover in an Overlapping?generations Model with Learning In: Review of International Economics.
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2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
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2011Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns In: Working Paper.
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2011Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns.(2011) In: Working Papers.
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2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
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2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
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2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
[Full Text][Citation analysis]		paper2
2016Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2016) In: Working Papers.
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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics.
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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.
[Full Text][Citation analysis]		paper0
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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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2020) In: Working Papers.
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2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities.(2001) In: FMG Discussion Papers.
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2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
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2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
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2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
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2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
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2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
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2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
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2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
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2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
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2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
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2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
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2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
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2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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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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2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises.(2016) In: Working Papers.
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2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
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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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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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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.
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2004Subjective probabilities: psychological theories and economic applications In: Review.
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2007The decline in the U.S. personal saving rate: is it real and is it a puzzle? In: Review.
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2003Subjective probabilities: psychological evidence and economic applications In: Working Papers.
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2005An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Working Papers.
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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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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: Journal of Financial Econometrics.
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2005Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers.
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2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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2005High equity premia and crash fears. Rational foundations In: Working Papers.
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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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2005The economic effects of violent conflict: evidence from asset market reactions In: Working Papers.
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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.
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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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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.
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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.
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2008Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK In: Working Papers.
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2009A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Working Papers.
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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.
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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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2011A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets In: Working Papers.
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2011Markov Switching Models in Empirical Finance In: Working Papers.
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2012Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers.
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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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2020Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management.
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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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2021Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? In: Annals of Operations Research.
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2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
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2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
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2014Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance.
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2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance.
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2020Sentiment Risk Premia In The Cross-Section of Global Equity In: Working Papers on Finance.
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