Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

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

22

H index

40

i10 index

2134

Citations

RESEARCH PRODUCTION:

89

Articles

112

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 88
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 227.    Total self citations: 108 (4.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2024-11-04    RAS profile: 2024-10-31    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pedio, Manuela (17)

Bianchi, Daniele (3)

Paccagnini, Alessia (3)

De Pace, Pierangelo (3)

Magnani, Monia (3)

Franses, Philip Hans (2)

Hansen, Erwin (2)

Li, Feng (2)

Grossi, Luigi (2)

Füss, Roland (2)

Sermpinis, Georgios (2)

Castle, Jennifer (2)

Fiszeder, Piotr (2)

Thomakos, Dimitrios (2)

Reade, J (2)

Shang, Han Lin (2)

Hendry, David (2)

Martinez, Andrew (2)

Clements, Michael (2)

Rubaszek, Michał (2)

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

Is cited by:

van Dijk, Dick (36)

GUPTA, RANGAN (33)

Billio, Monica (28)

Ravazzolo, Francesco (25)

Casarin, Roberto (22)

Flavin, Thomas (21)

Kole, Erik (21)

Maheu, John (20)

Balcilar, Mehmet (17)

Bernales, Alejandro (17)

Shang, Han Lin (17)

Cites to:

Campbell, John (181)

Timmermann, Allan (149)

Ang, Andrew (78)

French, Kenneth (77)

Shiller, Robert (70)

Bekaert, Geert (68)

Viceira, Luis (61)

Nelson, Charles (52)

Stambaugh, Robert (47)

Diebold, Francis (44)

Fama, Eugene (42)

Main data

Where Massimo Guidolin has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Journal of Asset Management4
The Journal of Real Estate Finance and Economics4
Finance Research Letters4
Quantitative Finance3
Economic Synopses3
International Journal of Forecasting3
The European Journal of Finance3
Journal of Banking & Finance3
European Journal of Operational Research3
Journal of Econometrics3
International Review of Financial Analysis2
Review2
Journal of Financial Econometrics2
Real Estate Economics2
Journal of Financial Markets2
Journal of Economics and Business2
Monetary Trends2
The Quarterly Review of Economics and Finance2
National Economic Trends2
Forecasting2
Applied Financial Economics2

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, Italy30
CeRP Working Papers / Center for Research on Pensions and Welfare Policies, Turin (Italy)5
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Carlo Alberto Notebooks / Collegio Carlo Alberto2

Recent works citing Massimo Guidolin (2024 and 2023)

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

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

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

2024Modelling 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

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

2024Optimal 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

2024Efficient 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

2024Testing 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

Full description at Econpapers || Download paper

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors. (2023). Gunter, Ulrich ; Troster, Bernhard. In: Development and Change. RePEc:bla:devchg:v:54:y:2023:i:6:p:1550-1574.

Full description at Econpapers || Download paper

2024Do markets Trump politics? Fossil and renewable market reactions to major political events. (2024). Sterner, Thomas ; Mukanjari, Samson. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:805-836.

Full description at Econpapers || Download paper

2023Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

Full description at Econpapers || Download paper

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

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

2024Modeling Corporate CDS Spreads Using Markov Switching Regressions. (2024). Roberto, Casarin ; Giacomo, Bulfone ; Ovielt, Baltodano Lopez ; Francesco, Ravazzolo. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:271-292:n:5.

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

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

Full description at Econpapers || Download paper

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

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

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

Full description at Econpapers || Download paper

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

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

2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Peaceful entry: Entrepreneurship dynamics during Colombia’s peace agreement. (2024). Vargas, Juan ; Prem, Mounu ; Bernal, Carolina ; Ortiz, Monica. In: Journal of Development Economics. RePEc:eee:deveco:v:166:y:2024:i:c:s0304387823000743.

Full description at Econpapers || Download paper

2024Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market. (2024). Li, Lingfei ; Wu, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001938.

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

2023Sustainable investment under ESG volatility and ambiguity. (2023). Yan, Qianhui ; Shan, Xun ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002833.

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

2024Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Zhang, Jiachen ; Wan, Xiaoyuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274.

Full description at Econpapers || Download paper

2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2024). Casarin, Roberto ; Billio, Monica ; Iacopini, Matteo ; Costola, Michele. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131.

Full description at Econpapers || Download paper

2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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

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

Full description at Econpapers || Download paper

2024On the update frequency of univariate forecasting models. (2024). Petropoulos, Fotios ; Spiliotis, Evangelos. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:111-121.

Full description at Econpapers || Download paper

2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

Full description at Econpapers || Download paper

2024Optimal investment in ambiguous financial markets with learning. (2024). Mahayni, Antje ; Bauerle, Nicole. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:393-410.

Full description at Econpapers || Download paper

2024Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

Full description at Econpapers || Download paper

2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Park, Dojoon ; Kang, Yong Joo. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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

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

Full description at Econpapers || Download paper

2023Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments. (2023). Liu, Qianqiu ; Yang, Ping ; Ming, Lei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001068.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

Full description at Econpapers || Download paper

2023Urban?rural disparities in household energy and electricity consumption under the influence of electricity price reform policies. (2024). Su, Bin ; Zhang, Guoxing ; Nie, Yan ; Zhong, Luhao. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s0301421523004536.

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

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

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

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

Full description at Econpapers || Download paper

2023A bibliometric review of portfolio diversification literature. (2023). Paltrinieri, Andrea ; Goodell, John W ; Migliavacca, Milena. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003526.

Full description at Econpapers || Download paper

2023Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics. (2023). Tsafack, Georges ; Starkey, Christopher Michael. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003794.

Full description at Econpapers || Download paper

2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

Full description at Econpapers || Download paper

2024Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650.

Full description at Econpapers || Download paper

2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

Full description at Econpapers || Download paper

2024Factor models for Chinese A-shares. (2024). Swinkels, Laurens ; Jansen, Maarten ; Hanauer, Matthias X ; Zhou, Weili. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300491x.

Full description at Econpapers || Download paper

2024Ecological product value accounting and analyst behavior. (2024). Wang, Hongmei ; Sun, Jing ; Li, Zhe ; Ben, Fang ; Zhao, Xin. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002059.

Full description at Econpapers || Download paper

2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

Full description at Econpapers || Download paper

2024Understanding time-varying short-horizon predictability✰. (2020). Zhu, Jie ; Hammami, Yacine. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304264.

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

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

Full description at Econpapers || Download paper

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

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]		article183
2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 183		paper
2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 183		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]		paper56
2022Forecasting: theory and practice.(2022) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56		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]		paper4
2017Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper5
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]		paper4
2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		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 nother version. Agregated cites: 1		paper
2022Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2022) In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
This paper has nother 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 nother 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 nother 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 nother 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 nother 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]		paper3
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 nother 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]		paper5
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 nother version. Agregated cites: 5		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]		paper3
2022The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2023The empirical performance of option implied volatility surface-driven optimal portfolios.(2023) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
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
2024Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2024Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings.(2024) In: Risks.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Who should buy structured investment products and why? In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2024Machine Learning in Portfolio Decisions In: BAFFI CAREFIN Working Papers.
[Full Text][Citation analysis]		paper0
2024Machine Learning in Portfolio Decisions.(2024) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		chapter
2004Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data In: Economic Notes.
[Full Text][Citation analysis]		article1
2015Equally Weighted vs. Long†Run Optimal Portfolios In: European Financial Management.
[Full Text][Citation analysis]		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 nother 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]		article14
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 nother version. Agregated cites: 14		paper
2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
[Full Text][Citation analysis]		article10
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 nother version. Agregated cites: 0		paper
2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
[Full Text][Citation analysis]		paper10
2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
[Full Text][Citation analysis]		paper5
2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
[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 nother 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 nother 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 nother 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 nother version. Agregated cites: 3		paper
2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper43
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 nother version. Agregated cites: 43		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 nother version. Agregated cites: 43		paper
2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper64
2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		article
2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper45
2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		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 nother version. Agregated cites: 45		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 nother 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 nother 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]		article23
2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		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]		paper18
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]		article113
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]		article10
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 nother version. Agregated cites: 10		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]		article196
2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 196		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 nother version. Agregated cites: 28		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		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]		article7
2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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 nother 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]		article16
2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
[Full Text][Citation analysis]		article14
2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
[Full Text][Citation analysis]		article3
2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article11
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 nother version. Agregated cites: 11		paper
2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
[Full Text][Citation analysis]		article18
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]		article11
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 nother 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 nother 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]		article23
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 nother version. Agregated cites: 23		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 nother version. Agregated cites: 23		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]		article20
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 nother version. Agregated cites: 20		paper
2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		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 nother 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]		article9
2005Are the dynamic linkages between the macroeconomy and asset prices time-varying?.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
[Full Text][Citation analysis]		article50
2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article4
2013Alternative econometric implementations of multi-factor models of the U.S. financial markets In: The Quarterly Review of Economics and Finance.
[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]		chapter51
2011Markov Switching Models in Empirical Finance.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		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]		paper140
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 nother version. Agregated cites: 140		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 nother version. Agregated cites: 140		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]		paper39
2008Size and Value Anomalies under Regime Shifts.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		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]		paper53
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 nother version. Agregated cites: 53		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 nother version. Agregated cites: 3		article
2005Home bias and high turnover in an overlapping generations model with learning In: Working Papers.
[Full Text][Citation analysis]		paper10
2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
[Full Text][Citation analysis]		paper192
2008International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 192		article
2005The economic effects of violent conflict: evidence from asset market reactions In: Working Papers.
[Full Text][Citation analysis]		paper102
2010The economic effects of violent conflict: Evidence from asset market reactions.(2010) In: Journal of Peace Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		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 nother 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]		paper3
2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model.(2009) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
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]		paper20
2010A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?.(2010) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2010Ambiguity in asset pricing and portfolio choice: a review of the literature In: Working Papers.
[Full Text][Citation analysis]		paper106
2011Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 106		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 nother version. Agregated cites: 106		article
2010Regime shifts in mean-variance efficient frontiers: some international evidence In: Working Papers.
[Full Text][Citation analysis]		paper8
2011Regime shifts in mean-variance efficient frontiers: Some international evidence.(2011) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		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
2024Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models 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]		article4
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]		article1
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]		article7
2013Forecasting yield spreads under crisis-induced multiple breakpoints In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2007A Review of: “Book Review: Empirical Dynamic Asset Pricing” In: Econometric Reviews.
[Full Text][Citation analysis]		article0
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]		article2
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]		paper1
2024Responsible Investing under Climate Change Uncertainty In: Working Papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team