Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

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

21

H index

36

i10 index

1977

Citations

RESEARCH PRODUCTION:

88

Articles

107

Papers

1

Books

5

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 85
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 225.    Total self citations: 103 (4.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2023-11-04    RAS profile: 2023-08-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pedio, Manuela (21)

Bianchi, Daniele (4)

Hansen, Erwin (4)

De Pace, Pierangelo (3)

Paccagnini, Alessia (3)

Thomakos, Dimitrios (2)

Reade, J (2)

Hendry, David (2)

Füss, Roland (2)

Fiszeder, Piotr (2)

Rubaszek, Michał (2)

Billio, Monica (2)

Shang, Han Lin (2)

Franses, Philip Hans (2)

Castle, Jennifer (2)

Grossi, Luigi (2)

Li, Feng (2)

Martinez, Andrew (2)

Clements, Michael (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 (33)

Billio, Monica (26)

Ravazzolo, Francesco (25)

van Dijk, Dick (22)

Flavin, Thomas (21)

Casarin, Roberto (20)

Bernales, Alejandro (17)

Shang, Han Lin (17)

Balcilar, Mehmet (17)

Kearney, Fearghal (17)

Maheu, John (16)

Cites to:

Campbell, John (168)

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
The Journal of Real Estate Finance and Economics4
Finance Research Letters4
Journal of Economic Dynamics and Control4
Journal of Asset Management4
Quantitative Finance3
Journal of Banking & Finance3
Journal of Econometrics3
International Journal of Forecasting3
The European Journal of Finance3
European Journal of Operational Research3
Economic Synopses3
Journal of Economics and Business2
The Journal of Financial Econometrics2
National Economic Trends2
Real Estate Economics2
The Quarterly Review of Economics and Finance2
Journal of Financial Markets2
Review2
International Review of Financial Analysis2
Monetary 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, 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 (2023 and 2022)

YearTitle of citing document
2022.

Full description at Econpapers || Download paper

2022Production Networks and War. (2020). Makarin, Alexey ; Korovkin, Vasily. In: Papers. RePEc:arx:papers:2011.14756.

Full description at Econpapers || Download paper

2022A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

Full description at Econpapers || Download paper

2022Model-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.

Full description at Econpapers || Download paper

2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456.

Full description at Econpapers || Download paper

2022Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735.

Full description at Econpapers || Download paper

2022A Market for Trading Forecasts: A Wagering Mechanism. (2022). Grammatico, Sergio ; Kazempour, Jalal ; Pinson, Pierre ; Raja, Aitazaz Ali. In: Papers. RePEc:arx:papers:2205.02668.

Full description at Econpapers || Download paper

2022Robust Data-Driven Decisions Under Model Uncertainty. (2022). Cheng, Xiaoyu. In: Papers. RePEc:arx:papers:2205.04573.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Distributional neural networks for electricity price forecasting. (2022). Ziel, Florian ; Weron, Rafal ; Narajewski, Michal ; Marcjasz, Grzegorz. In: Papers. RePEc:arx:papers:2207.02832.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

Full description at Econpapers || Download paper

2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Portfolio diversification and model uncertainty: A robust dynamic mean?variance approach. (2022). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:349-404.

Full description at Econpapers || Download paper

2022On the empirical content of the convergence debate: Cross?country evidence on growth and capacity utilisation. (2022). Gonzalez, Alejandro ; Gahn, Santiago Jose. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:3:p:825-855.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022La influencia del conflicto social y la licencia social para operar sobre el valor de la empresa. (2022). Camino, Jaime Rivera ; McDonald, Robert ; Reyes, Nancy Matos. In: Estudios Gerenciales. RePEc:col:000129:020567.

Full description at Econpapers || Download paper

2022A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Privacy-preserving federated learning for residential short-term load forecasting. (2022). Rieger, Alexander ; Lee, Chul Min ; Menci, Sergio Potenciano ; Fernandez, Joaquin Delgado ; Fridgen, Gilbert. In: Applied Energy. RePEc:eee:appene:v:326:y:2022:i:c:s0306261922011722.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022CDS trading and analyst optimism. (2022). Zhong, Zhaodong ; Govindaraj, Suresh ; Li, Yubin ; Zhao, Chen. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:4:s0890838922000385.

Full description at Econpapers || Download paper

2022Robust investment strategies with two risky assets. (2022). Luo, Yulei ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002104.

Full description at Econpapers || Download paper

2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

Full description at Econpapers || Download paper

2022The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604.

Full description at Econpapers || Download paper

2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

Full description at Econpapers || Download paper

2022Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123.

Full description at Econpapers || Download paper

2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

Full description at Econpapers || Download paper

2022Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA. (2022). Bellos, Sotirios K ; Gkasis, Pavlos ; Golitsis, Petros. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001255.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022God did not save the kings: Environmental consequences of the 1982 Falklands War. (2022). Pietri, Antoine ; Panel, Sophie. In: Ecological Economics. RePEc:eee:ecolec:v:201:y:2022:i:c:s0921800922002427.

Full description at Econpapers || Download paper

2022Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

Full description at Econpapers || Download paper

2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

Full description at Econpapers || Download paper

2022Markov switching panel with endogenous synchronization effects. (2022). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:281-298.

Full description at Econpapers || Download paper

2022An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models. (2022). Kontoghiorghes, Erricos John ; Hadjiantoni, Stella. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:1-18.

Full description at Econpapers || Download paper

2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

Full description at Econpapers || Download paper

2022Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. (2022). Mulvey, John M ; Uysal, Sinem A ; Li, Xiaoyue. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1158-1176.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study. (2022). Wojcik, Edyta ; Janczura, Joanna. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001840.

Full description at Econpapers || Download paper

2022Geopolitical risk and dynamic connectedness between commodity markets. (2022). Xu, Jun ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001979.

Full description at Econpapers || Download paper

2022Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks. (2022). Sohag, Kazi ; Mariev, Oleg ; Hammoudeh, Shawkat ; Elsayed, Ahmed H ; Safonova, Yulia. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002341.

Full description at Econpapers || Download paper

2022Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management. (2022). Do, Hung Xuan ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002651.

Full description at Econpapers || Download paper

2022What do we know about the idiosyncratic risk of clean energy equities?. (2022). Phani, B V ; Sadorsky, Perry ; Ahmad, Wasim ; Roy, Preeti. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003218.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Covid-19 pandemic and spillover effects in stock markets: A financial network approach. (2022). Polyzos, Stathis ; Kampouris, Elias ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003197.

Full description at Econpapers || Download paper

2022Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM. (2022). Rocciolo, Francesco ; Gheno, Andrea ; Brooks, Chris. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001089.

Full description at Econpapers || Download paper

2022Market co-movement between credit default swap curves and option volatility surfaces. (2022). Shi, Yukun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001533.

Full description at Econpapers || Download paper

2022Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic. (2022). Najand, Mohammad ; Yousefi, Hamed. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002198.

Full description at Econpapers || Download paper

2022Stock price default boundary: A Black-Cox model approach. (2022). Zhang, Xuan ; Yan, Cheng ; Xu, Yaofei ; Stasinakis, Charalampos ; Shi, Yunkun. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200240x.

Full description at Econpapers || Download paper

2022Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors. (2022). Soykok, Emre ; Karahan, Cenk C. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003052.

Full description at Econpapers || Download paper

2022The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models. (2022). Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003684.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022How do stock, oil, and economic policy uncertainty influence the green bond market?. (2022). Nguyen, Canh Phuc ; Pham, Linh. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002099.

Full description at Econpapers || Download paper

2022Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets?. (2022). Chang, Kuang-Liang. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005304.

Full description at Econpapers || Download paper

2022Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. (2022). Pandey, Dharen ; Boubaker, Sabri ; Goodell, John W ; Kumari, Vineeta. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001969.

Full description at Econpapers || Download paper

2022Switching connectedness between real estate investment trusts, oil, and gold markets. (2022). Vo, Xuan Vinh ; Ugolini, Andrea ; Reboredo, Juan C ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003361.

Full description at Econpapers || Download paper

2022The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities. (2022). Sene, Babacar ; Bassene, Theophile ; Marcelin, Isaac ; Lo, Gaye-Del. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004007.

Full description at Econpapers || Download paper

2022Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

Full description at Econpapers || Download paper

2022Border disputes and heterogeneous sectoral returns: An event study approach. (2022). Pandey, Dharen ; Kumari, Vineeta ; Boubaker, Sabri ; Hassan, Kabir M. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004652.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Asset pricing with data revisions. (2022). Montes, Erik Christian ; Borup, Daniel. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000021.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992.

Full description at Econpapers || Download paper

2022The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system. (2022). Wang, Ling. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000750.

Full description at Econpapers || Download paper

2022On the international co-movement of natural interest rates. (2022). Agnello, Luca ; Castro, Vitor ; Sousa, Ricardo M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000889.

Full description at Econpapers || Download paper

2022Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2022). Shang, Han Lin ; Kearney, Fearghal. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1025-1049.

Full description at Econpapers || Download paper

2022Fathoming empirical forecasting competitions’ winners. (2022). Nikolopoulos, Konstantinos ; Karamatzanis, Georgios ; Alroomi, Azzam ; Xiao, Shujun ; Tilba, Anna. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:4:p:1519-1525.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Works by Massimo Guidolin:

YearTitleTypeCited
2007Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review.
[Full Text][Citation analysis]		article168
2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 168		paper
2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 168		paper
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]		paper30
2022Forecasting: theory and practice.(2022) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
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 another 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).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence.(2018) In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper4
2021Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
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.
[Full Text][Citation analysis]		paper1
2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis.(2023) In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
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]		paper1
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
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.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
[Full Text][Citation analysis]		paper9
2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
[Full Text][Citation analysis]		paper4
2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper6
20101/N and long run optimal portfolios: results for mixed asset menus.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper0
2020Mildly Explosive Dynamics in U.S. Fixed Income Markets In: Economics Department, Working Paper Series.
[Full Text][Citation analysis]		paper3
2020Mildly explosive dynamics in U.S. fixed income markets.(2020) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2017Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2017) In: Globalization Institute Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2020Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		article
2001Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2001) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper61
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		article
2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper44
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		article
2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
[Full Text][Citation analysis]		paper6
2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
[Full Text][Citation analysis]		paper0
2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article21
2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
[Full Text][Citation analysis]		paper17
2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper0
2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
[Full Text][Citation analysis]		article111
2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper13
2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
2019An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article9
2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article184
2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 184		paper
2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
2013How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2006Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article4
2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article15
2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
[Full Text][Citation analysis]		article12
2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article10
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
[Full Text][Citation analysis]		article14
2017Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article8
2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article47
2009Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2018Predictions of short-term rates and the expectations hypothesis In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2010Predictions of short-term rates and the expectations hypothesis.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2012Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2010Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2011Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2012Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2006Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business.
[Full Text][Citation analysis]		article3
2005Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2006Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article8
2005Are the dynamic linkages between the macroeconomy and asset prices time-varying?.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
[Full Text][Citation analysis]		article46
2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article4
2023The empirical performance of option implied volatility surface-driven optimal portfolios In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article0
2013Alternative econometric implementations of multi-factor models of the U.S. financial markets In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article3
2020Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article1
2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
[Full Text][Citation analysis]		article0
2020Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2013Markov switching models in asset pricing research In: Chapters.
[Full Text][Citation analysis]		chapter1
2011Markov Switching Models in Empirical Finance In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter50
2011Markov Switching Models in Empirical Finance.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
2011Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
In: .
[Full Text][Citation analysis]		chapter1
2009Taming the long-term spreads In: Economic Synopses.
[Full Text][Citation analysis]		article0
2009Is the financial crisis over? a yield spread perspective In: Economic Synopses.
[Full Text][Citation analysis]		article0
2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
[Full Text][Citation analysis]		article15
2006The dollar U-turn In: International Economic Trends.
[Full Text][Citation analysis]		article0
2005Is the bond market irrational? In: Monetary Trends.
[Full Text][Citation analysis]		article1
2008No volatility, no forecasting power for the term spread In: Monetary Trends.
[Full Text][Citation analysis]		article2
2005Bubbling (or just frothy) house prices? In: National Economic Trends.
[Full Text][Citation analysis]		article0
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]		paper133
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 133		article
2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 133		article
2005Optimal portfolio choice under regime switching, skew and kurtosis preferences In: Working Papers.
[Full Text][Citation analysis]		paper19
2005Size and value anomalies under regime shifts In: Working Papers.
[Full Text][Citation analysis]		paper36
2008Size and Value Anomalies under Regime Shifts.(2008) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		article
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]		paper50
2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		article
2005High equity premia and crash fears. Rational foundations In: Working Papers.
[Full Text][Citation analysis]		paper3
2006High equity premia and crash fears - Rational foundations.(2006) In: Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
[Full Text][Citation analysis]		paper183
2008International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 183		article
2005The economic effects of violent conflict: evidence from asset market reactions In: Working Papers.
[Full Text][Citation analysis]		paper90
2010The economic effects of violent conflict: Evidence from asset market reactions.(2010) In: Journal of Peace Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90		article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2007What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Why do analysts continue to provide favorable coverage for seasoned stocks? In: Working Papers.
[Full Text][Citation analysis]		paper0
2007The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns In: Working Papers.
[Full Text][Citation analysis]		paper5
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]		paper96
2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96		paper
2013Ambiguity in asset pricing and portfolio choice: a review of the literature.(2013) In: Theory and Decision.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96		article
2010Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers.
[Full Text][Citation analysis]		paper7
2011Regime shifts in mean-variance efficient frontiers: Some international evidence.(2011) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2011A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets In: Working Papers.
[Full Text][Citation analysis]		paper1
2022Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns In: Forecasting.
[Full Text][Citation analysis]		article0
2012Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers.
[Full Text][Citation analysis]		paper0
2013The Effects of Information Asymmetries on the Success of Stock Option Listings In: Working Papers.
[Full Text][Citation analysis]		paper0
2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2014Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]		article3
2014Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]		article0
Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Monetary policy after the crisis: A threat to hedge funds alphas? In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
2008Diversifying in public real estate: The ex-post performance In: Journal of Asset Management.
[Full Text][Citation analysis]		article1
2016Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model In: Palgrave Macmillan Books.
[Citation analysis]		book0
2011Markov Switching Mean-Variance Frontier Dynamics: Theory and International Evidence In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2021Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? In: Annals of Operations Research.
[Full Text][Citation analysis]		article6
2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model In: Applied Financial Economics.
[Full Text][Citation analysis]		article3
2010A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? In: Applied Financial Economics.
[Full Text][Citation analysis]		article13
2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2022Performance persistence and optimal asset allocation strategies In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2023The dynamics of returns predictability in cryptocurrency markets In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2014Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2020Sentiment Risk Premia In The Cross-Section of Global Equity In: Working Papers on Finance.
[Full Text][Citation analysis]		paper0
2016Pricing S&P 500 Index Options: A Conditional Semi?Nonparametric Approach In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team