Massimo Guidolin : Citation Profile

Are you Massimo Guidolin?

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

22

H index

41

i10 index

2154

Citations

RESEARCH PRODUCTION:

89

Articles

112

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 89
   Journals where Massimo Guidolin has often published
   Relations with other researchers
   Recent citing documents: 240.    Total self citations: 108 (4.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgu101
   Updated: 2024-12-03    RAS profile: 2024-10-31    
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Relations with other researchers

Works with:

Pedio, Manuela (17)

Paccagnini, Alessia (3)

Bianchi, Daniele (3)

Magnani, Monia (3)

De Pace, Pierangelo (3)

Franses, Philip Hans (2)

Fiszeder, Piotr (2)

Hendry, David (2)

Billio, Monica (2)

Grossi, Luigi (2)

Li, Feng (2)

Rubaszek, Michał (2)

Hansen, Erwin (2)

Clements, Michael (2)

Thomakos, Dimitrios (2)

Shang, Han Lin (2)

Sermpinis, Georgios (2)

Martinez, Andrew (2)

Reade, J (2)

Castle, Jennifer (2)

Füss, Roland (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)

Bernales, Alejandro (17)

Balcilar, Mehmet (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)

Startz, Richard (42)

Main data

Where Massimo Guidolin has published?

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

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis37
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, 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.

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

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

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

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

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

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

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

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

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

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

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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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2023.

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2023.

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

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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.

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

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

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2023The evaluation of the effects of ESG scores on financial markets. (2023). Costa, Michele. In: Working Papers. RePEc:bol:bodewp:wp1189.

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

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

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

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

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

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

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

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

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

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

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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.

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

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

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

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

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

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

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

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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.

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

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

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

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

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

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

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

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

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

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

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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.

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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.

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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.

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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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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]		paper58
2022Forecasting: theory and practice.(2022) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 58		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.
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2012Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value In: Working Papers.
[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]		article9
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.
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