Massimo Guidolin : Citation Profile

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

22

H index

43

i10 index

2238

Citations

RESEARCH PRODUCTION:

93

Articles

113

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 93
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 108 (4.6 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu101
   Updated: 2025-04-19    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Pedio, Manuela (8)

Magnani, Monia (5)

De Pace, Pierangelo (3)

Paccagnini, Alessia (3)

Clements, Michael (2)

Shang, Han Lin (2)

Bianchi, Daniele (2)

Martinez, Andrew (2)

Grossi, Luigi (2)

Hendry, David (2)

Rubaszek, Michał (2)

Fiszeder, Piotr (2)

Reade, J (2)

Li, Feng (2)

Castle, Jennifer (2)

Thomakos, Dimitrios (2)

Sermpinis, Georgios (2)

Franses, Philip Hans (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 (24)

Kole, Erik (21)

Flavin, Thomas (21)

Maheu, John (20)

Balcilar, Mehmet (17)

Kearney, Fearghal (17)

Shang, Han Lin (17)

Cites to:

Campbell, John (182)

Timmermann, Allan (149)

Ang, Andrew (78)

French, Kenneth (77)

Shiller, Robert (71)

Bekaert, Geert (67)

Viceira, Luis (61)

Nelson, Charles (52)

Stambaugh, Robert (46)

Diebold, Francis (44)

Fama, Eugene (43)

Main data

Production by document typepaperchapterbookarticle200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 22Most cited documents1234567891011121314151617181920212223240100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Massimo Guidolin has published?

Journals with more than one article published# docs
Journal of Asset Management5
Finance Research Letters4
The Journal of Real Estate Finance and Economics4
Journal of Economic Dynamics and Control4
International Journal of Forecasting3
Journal of Econometrics3
European Journal of Operational Research3
Journal of Banking & Finance3
Quantitative Finance3
The European Journal of Finance3
Economic Synopses3
Review2
Journal of Financial Econometrics2
Forecasting2
National Economic Trends2
Applied Financial Economics2
Journal of Economics and Business2
Monetary Trends2
The Quarterly Review of Economics and Finance2
International Review of Financial Analysis2
Real Estate Economics2
Journal of Financial Markets2

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2024Optimal investment in ambiguous financial markets with learning. (2023). Mahayni, Antje ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2303.08521.

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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.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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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.

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

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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.

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2024NIFTY Financial News Headlines Dataset. (2024). Rudzicz, Frank ; Vinden, Nicholas ; Kato, Ken ; Saqur, Raeid. In: Papers. RePEc:arx:papers:2405.09747.

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2024Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence. (2024). Lis, Szymon. In: Papers. RePEc:arx:papers:2411.13180.

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2024Hidden Markov graphical models with state-dependent generalized hyperbolic distributions. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2412.03668.

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2025A data-driven merit order: Learning a fundamental electricity price model. (2025). Ghelasi, Paul ; Ziel, Florian. In: Papers. RePEc:arx:papers:2501.02963.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Quantifying Cryptocurrency Unpredictability: A Comprehensive Study of Complexity and Forecasting. (2025). Roveri, Manuel ; Pittorino, Fabrizio ; Puoti, Francesco. In: Papers. RePEc:arx:papers:2502.09079.

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2025The Risk-Neutral Equivalent Pricing of Model-Uncertainty. (2025). Wren, Ken Kangda. In: Papers. RePEc:arx:papers:2502.13744.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025ESG Momentum in International Equity Returns and the SDG content of financial asset portfolios. (2025). Koundouri, Phoebe ; Pittis, Nikitas ; Landis, Conrad. In: DEOS Working Papers. RePEc:aue:wpaper:2523.

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2025.

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2024.

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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.

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2024.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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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.

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2024Sectoral Performance of ESG Enabled Stocks during COVID-19 Pandemic in the Indian Stock Market. (2024). Kalyani, Sushil ; Arora, Geetika ; Sharma, Prashant ; Jindal, Padmini ; Olasiuk, Hanna. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-06-25.

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2024Enhancing tourism demand forecasting with a transformer-based framework. (2024). Xu, Yechi ; Li, Xin ; Wang, Shouyang ; Law, Rob. In: Annals of Tourism Research. RePEc:eee:anture:v:107:y:2024:i:c:s0160738324000689.

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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.

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2024Unpacking the peace dividend: A subnational analysis of the relationship between business, peace, and economic growth in nine Colombian cities. (2024). Rettberg, Angelika ; Garca, Juan A ; Dupont, Federico. In: Business Horizons. RePEc:eee:bushor:v:67:y:2024:i:6:p:755-768.

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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.

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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.

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2024Forecasting the climate-conflict risk in Africa along climate-related scenarios and multiple socio-economic drivers. (2024). Costantini, Valeria ; Tancredi, Andrea ; Paglialunga, Elena ; Conigliani, Caterina. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002682.

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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.

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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.

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2024Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets. (2024). Chen, Weihua ; Mamon, Rogemar ; Zeng, Pingping ; Xiong, Heng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001463.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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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.

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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.

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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.

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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.

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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.

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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.

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2025Optimal payoffs under smooth ambiguity. (2025). Vanduffel, Steven ; Wilke, Morten ; Chen, AN. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:754-764.

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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.

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2024Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815.

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2024Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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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.

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2024Urban?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.

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2024Volatility spillovers among economic policy uncertainty, energy and carbon markets—The quantile time-frequency perspective. (2024). Liu, Xutang ; Jiang, Wei ; Dong, Lingfei ; Zou, Liming. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224024575.

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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.

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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.

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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.

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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.

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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.

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2024Contagion and linkages across international currencies. (2024). Tuteja, Divya ; Bhatia, Shipra. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002333.

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2024Implied volatility is (almost) past-dependent: Linear vs non-linear models. (2024). Wang, Yinuo ; Cao, YI ; Zhai, Jia ; Wen, Conghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003387.

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2024Connectedness at extremes between real estate tokens and real estate stocks. (2024). Ali, Shoaib ; Brahim, Mariem ; Aharon, David Y. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003570.

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2024Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies. (2024). Pourmansouri, Rezvan ; Ahmadpour, Bahador ; Fallah, Mir Feiz. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924003983.

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2024Smirking in the energy market: Evidence from the Chinese crude oil options market. (2024). Zhang, Jin E ; Ruan, Xinfeng ; Li, Lu-Lu ; Yue, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005696.

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2024How does finance and accounting supervision affect stock price crash risk?. (2024). Liu, Guangqiang ; Xie, Ziqin ; Zhang, Siyuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006045.

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2024Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles. (2024). Tammy, Minh Tam ; Karadas, Serkan ; Stivers, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006392.

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2024Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets. (2024). Uddin, Gazi ; Allahdadi, Mohammad Reza ; Yahya, Muhammad ; Wang, Gang-Jin ; Park, Donghyun. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011200.

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2024Mean–variance optimization under affine GARCH: A utility-based solution. (2024). Escobar Anel, Marcos ; Spies, Ben ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212.

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2024Can local fintech development improve analysts’ earnings forecast accuracy? Evidence from China. (2024). Yu, Fangbo ; Zhang, Chaolin. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003210.

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2024Corporate credit risk and bond yield spreads: Market reactions to the spreads. (2024). Dong, Xueqin ; Dai, Haiyan ; Xue, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009632.

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2024A state-dependent international CAPM for partially integrated markets: Using local and US risk factors. (2024). Tajaddini, Reza ; Hematizadeh, Roksana. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000954.

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2024The equally weighted portfolio still remains a challenging benchmark. (2024). Uberti, Pierpaolo ; Gelmini, Matteo. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000489.

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2024A market for trading forecasts: A wagering mechanism. (2024). Kazempour, Jalal ; Pinson, Pierre ; Raja, Aitazaz Ali ; Grammatico, Sergio. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:142-159.

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2024Demand forecasting for fashion products: A systematic review. (2024). Venkitasubramony, Rakesh ; Swaminathan, Kritika. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:247-267.

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2024Conflict forecasting using remote sensing data: An application to the Syrian civil war. (2024). Davidson, Brittany I ; Thurner, Paul W ; Racek, Daniel ; Kauermann, Goran ; Zhu, Xiao Xiang. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:373-391.

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2024Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions. (2024). Ziel, Florian ; Ghelasi, Paul. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:581-596.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024Forecasting seasonal demand for retail: A Fourier time-varying grey model. (2024). Shang, Zhongju ; Xie, Naiming ; Ye, Lili ; Boylan, John E. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1467-1485.

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2024The connections that bind: Political connectivity in the face of geopolitical disruption. (2024). Hartwell, Christopher ; Zadorozhna, Olha. In: Journal of International Management. RePEc:eee:intman:v:30:y:2024:i:3:s107542532400022x.

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2024Conflicts of interest in subscriber-paid credit ratings. (2024). So, Eric ; Pundrich, Gabriel ; Gillette, Jacquelyn R ; Bonsall, Samuel B. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:77:y:2024:i:1:s0165410123000381.

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2024Managing decision fatigue: Evidence from analysts’ earnings forecasts. (2024). Jiao, Yawen. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:77:y:2024:i:1:s0165410123000393.

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2024Crisis response in an era of Knightian uncertainty. (2024). Donthu, Naveen ; Boles, James S ; Mayberry, Robert ; Lucke, James T. In: Journal of Business Research. RePEc:eee:jbrese:v:170:y:2024:i:c:s0148296323006471.

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Works by Massimo Guidolin:

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2007Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? In: American Economic Review.
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2004Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?.(2004) In: CEPR Discussion Papers.
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2006Diamonds are forever, wars are not. Is conflict bad for private firms?.(2006) In: Working Papers.
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2001Option prices and implied volatility dynamics under Bayesian learning In: CeNDEF Workshop Papers, January 2001.
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2022Forecasting: theory and practice In: Papers.
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2022Forecasting: theory and practice.(2022) In: International Journal of Forecasting.
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2015Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? In: BAFFI CAREFIN Working Papers.
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2014Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model In: BAFFI CAREFIN Working Papers.
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2016Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis In: BAFFI CAREFIN Working Papers.
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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* In: BAFFI CAREFIN Working Papers.
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2017Linear and nonlinear predictability in investment style factors: multivariate evidence.(2017) In: Journal of Asset Management.
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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? In: BAFFI CAREFIN Working Papers.
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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas? In: BAFFI CAREFIN Working Papers.
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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment In: BAFFI CAREFIN Working Papers.
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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment.(2018) In: Working Papers.
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2018Portfolio performance of linear SDF models: an out-of-sample assessment.(2018) In: Quantitative Finance.
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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors In: BAFFI CAREFIN Working Papers.
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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence In: BAFFI CAREFIN Working Papers.
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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2022Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence.(2022) In: Quarterly Journal of Finance (QJF).
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence In: BAFFI CAREFIN Working Papers.
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2018Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence.(2018) In: BAFFI CAREFIN Working Papers.
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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models In: BAFFI CAREFIN Working Papers.
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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns In: BAFFI CAREFIN Working Papers.
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2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs In: BAFFI CAREFIN Working Papers.
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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes In: BAFFI CAREFIN Working Papers.
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2021Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes.(2021) In: Working Papers.
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2021Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes.(2021) In: The European Journal of Finance.
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2019Time-Varying Price Discovery in Sovereign Credit Markets In: BAFFI CAREFIN Working Papers.
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2021Time-varying price discovery in sovereign credit markets.(2021) In: Finance Research Letters.
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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle In: BAFFI CAREFIN Working Papers.
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2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis In: BAFFI CAREFIN Working Papers.
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2023The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis.(2023) In: The Journal of Real Estate Finance and Economics.
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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? In: BAFFI CAREFIN Working Papers.
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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets In: BAFFI CAREFIN Working Papers.
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2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit In: BAFFI CAREFIN Working Papers.
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2021Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit.(2021) In: Finance Research Letters.
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2020Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? In: BAFFI CAREFIN Working Papers.
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2021Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks In: BAFFI CAREFIN Working Papers.
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2022The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios In: BAFFI CAREFIN Working Papers.
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2023The empirical performance of option implied volatility surface-driven optimal portfolios.(2023) In: Physica A: Statistical Mechanics and its Applications.
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2023Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital In: BAFFI CAREFIN Working Papers.
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2024Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital.(2024) In: Journal of Asset Management.
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2023Time-Varying Risk Aversion and International Stock Returns In: BAFFI CAREFIN Working Papers.
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2024Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings In: BAFFI CAREFIN Working Papers.
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2024Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings.(2024) In: Risks.
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2024Who should buy structured investment products and why? In: BAFFI CAREFIN Working Papers.
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2024Machine Learning in Portfolio Decisions In: BAFFI CAREFIN Working Papers.
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2024Machine Learning in Portfolio Decisions.(2024) In: World Scientific Book Chapters.
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2004Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data In: Economic Notes.
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2015Equally Weighted vs. Long€ Run Optimal Portfolios In: European Financial Management.
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2023New ESG rating drivers in the cross‐section of European stock returns In: Journal of Financial Research.
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2003Recursive Modeling of Nonlinear Dynamics in UK Stock Returns In: Manchester School.
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2014Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence In: Oxford Bulletin of Economics and Statistics.
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2010Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence.(2010) In: Working Papers.
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2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value In: Real Estate Economics.
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2009Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.(2009) In: CeRP Working Papers.
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2009Time and risk diversification in real estate investments: assessing the ex post economic value.(2009) In: Working Papers.
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2014Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance In: Real Estate Economics.
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2005Home Bias and High Turnover in an Overlapping‐generations Model with Learning In: Review of International Economics.
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2005Home bias and high turnover in an overlapping generations model with learning.(2005) In: Working Papers.
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2011Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns In: Working Paper.
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2011Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns.(2011) In: Working Papers.
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2013Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section In: Working Paper.
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2015Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2015) In: Working Papers.
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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section.(2017) In: Journal of Business & Economic Statistics.
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2013Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? In: Working Paper.
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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?.(2018) In: Journal of Financial Econometrics.
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20101/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus In: Carlo Alberto Notebooks.
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20101/N and long run optimal portfolios: results for mixed asset menus.(2010) In: Working Papers.
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2010Ex Post Portfolio Performance with Predictable Skewness and Kurtosis In: Carlo Alberto Notebooks.
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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets In: Economics Department, Working Paper Series.
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2020Mildly explosive dynamics in U.S. fixed income markets.(2020) In: European Journal of Operational Research.
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2017Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2017) In: Globalization Institute Working Papers.
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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets.(2020) In: Working Papers.
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2001Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities In: CEPR Discussion Papers.
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2003Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2003) In: Journal of Economic Dynamics and Control.
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2001Option prices under Bayesian learning: implied volatility dynamics and predictive densities.(2001) In: LSE Research Online Documents on Economics.
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2004Term Structure of Risk Under Alternative Econometric Specifications In: CEPR Discussion Papers.
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2006Term structure of risk under alternative econometric specifications.(2006) In: Journal of Econometrics.
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2005Term structure of risk under alternative econometric specifications.(2005) In: Working Papers.
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2007Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach In: CEPR Discussion Papers.
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2009Forecasts of US short-term interest rates: A flexible forecast combination approach.(2009) In: Journal of Econometrics.
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2007Forecasts of U.S. short-term interest rates: a flexible forecast combination approach.(2007) In: Working Papers.
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2005Investing for the Long-Run in European Real Estate. Does Predictability Matter? In: CeRP Working Papers.
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2005Small Caps in International Equity Portfolios: The Effects of Variance Risk In: CeRP Working Papers.
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2007Small caps in international equity portfolios: the effects of variance risk.(2007) In: Working Papers.
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2009Small caps in international equity portfolios: the effects of variance risk.(2009) In: Annals of Finance.
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2007Small Caps in International Diversified Portfolios In: CeRP Working Papers.
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2007Investing in Mixed Asset Portfolios: the Ex-Post Performance In: CeRP Working Papers.
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2016Ambiguity Aversion and Underdiversification In: Journal of Financial and Quantitative Analysis.
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2013Ambiguity Aversion and Under-diversification.(2013) In: Working Papers.
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2008Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates In: Working Paper Series.
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2003Economic Implications of Bull and Bear Regimes in UK Stock Returns In: Royal Economic Society Annual Conference 2003.
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2005Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns In: Economic Journal.
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2004Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching In: Econometric Society 2004 Australasian Meetings.
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2000Implied Learning Paths from Option Prices In: Econometric Society World Congress 2000 Contributed Papers.
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2019An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings In: Journal of Corporate Finance.
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2013An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings.(2013) In: Working Papers.
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2012Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment In: Computational Statistics & Data Analysis.
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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models In: Journal of Economic Dynamics and Control.
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2007Asset allocation under multivariate regime switching In: Journal of Economic Dynamics and Control.
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2006Asset allocation under multivariate regime switching.(2006) In: Working Papers.
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2007Properties of equilibrium asset prices under alternative learning schemes In: Journal of Economic Dynamics and Control.
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2005Properties of equilibrium asset prices under alternative learning schemes.(2005) In: Working Papers.
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2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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2014Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets In: European Journal of Operational Research.
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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing In: European Journal of Operational Research.
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2017Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing.(2017) In: Working Papers.
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2014How did the financial crisis alter the correlations of U.S. yield spreads? In: Journal of Empirical Finance.
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2013How did the financial crisis alter the correlations of U.S. yield spreads?.(2013) In: Working Papers.
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2006Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options In: International Review of Financial Analysis.
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2013A yield spread perspective on the great financial crisis: Break-point test evidence In: International Review of Financial Analysis.
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2010A yield spread perspective on the great financial crisis: break-point test evidence.(2010) In: Working Papers.
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2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
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2014Unconventional monetary policies and the corporate bond market In: Finance Research Letters.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? In: Journal of Financial Markets.
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2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?.(2015) In: Working Papers.
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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach In: Journal of Financial Markets.
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2017Identifying and measuring the contagion channels at work in the European financial crises In: Journal of International Financial Markets, Institutions and Money.
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2009Non-linear predictability in stock and bond returns: When and where is it exploitable? In: International Journal of Forecasting.
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2009Non-linear predictability in stock and bond returns: when and where is it exploitable?.(2009) In: Working Papers.
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2018Predictions of short-term rates and the expectations hypothesis In: International Journal of Forecasting.
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2010Predictions of short-term rates and the expectations hypothesis.(2010) In: Working Papers.
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2012Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective In: Journal of Banking & Finance.
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2010Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective.(2010) In: Working Papers.
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2011Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective.(2011) In: Working Papers.
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2014Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests In: Journal of Banking & Finance.
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2012Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests.(2012) In: Working Papers.
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2017The impact of monetary policy on corporate bonds under regime shifts In: Journal of Banking & Finance.
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2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts.(2015) In: Working Papers.
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2006Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle In: Journal of Economics and Business.
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2005Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle.(2005) In: Working Papers.
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2006Are the dynamic linkages between the macroeconomy and asset prices time-varying? In: Journal of Economics and Business.
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2009Affiliated mutual funds and analyst optimism In: Journal of Financial Economics.
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2007Affiliated mutual funds and analyst optimism.(2007) In: Working Papers.
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2008Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK In: Journal of Multinational Financial Management.
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2013Alternative econometric implementations of multi-factor models of the U.S. financial markets In: The Quarterly Review of Economics and Finance.
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2020Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence In: The Quarterly Review of Economics and Finance.
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2003International asset prices and portfolio choices under Bayesian learning In: Research in Economics.
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2020Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery In: CAMA Working Papers.
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2013Markov switching models in asset pricing research In: Chapters.
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2011Markov Switching Models in Empirical Finance In: Advances in Econometrics.
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2011Markov Switching Models in Empirical Finance.(2011) In: Working Papers.
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2011Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey In: Advances in Econometrics.
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2005Is the bond market irrational? In: Monetary Trends.
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2008No volatility, no forecasting power for the term spread In: Monetary Trends.
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2005Bubbling (or just frothy) house prices? In: National Economic Trends.
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2006Cross-country personal saving rates In: National Economic Trends.
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2004Subjective probabilities: psychological theories and economic applications In: Review.
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2007The decline in the U.S. personal saving rate: is it real and is it a puzzle? In: Review.
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2003Subjective probabilities: psychological evidence and economic applications In: Working Papers.
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2005An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns In: Working Papers.
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2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
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2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns.(2006) In: Journal of Applied Econometrics.
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2005Optimal portfolio choice under regime switching, skew and kurtosis preferences In: Working Papers.
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2005Size and value anomalies under regime shifts In: Working Papers.
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2008Size and Value Anomalies under Regime Shifts.(2008) In: Journal of Financial Econometrics.
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2005Modelling the MIB30 implied volatility surface. Does market efficiency matter? In: Working Papers.
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2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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2005High equity premia and crash fears. Rational foundations In: Working Papers.
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2006High equity premia and crash fears - Rational foundations.(2006) In: Economic Theory.
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2006International asset allocation under regime switching, skew and kurtosis preferences In: Working Papers.
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2008International asset allocation under regime switching, skew, and kurtosis preferences.(2008) In: The Review of Financial Studies.
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2009What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model.(2009) In: Applied Financial Economics.
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2010A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?.(2010) In: Applied Financial Economics.
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