Prof Massimo Guidolin - publications

Book contribution

• Guidolin, M., Na, F. "The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns." In Forecasting in the Presence of Structural Breaks and Model Uncertainty (eds. M Wohar and D Rapach), ed. M Wohar and D Rapach, 595-657.Emerald Publishing Ltd. & Elsevier Press, 2008. eScholarID:3b2491

Journal article

• Guidolin, M., Timmermann, A. "Forecasts of US Short-term Interest Rates: a Flexible Forecast Combination Approach." Journal of Econometrics 150(2009) : 297-311. eScholarID:1b4354 | DOI:http://dx.doi.org/10.1016/j.jeconom.2008.12.004
• Guidolin, M., Hyde, S J. "What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model." Applied Financial Economics 19(2009) : 463-488. eScholarID:1b5022 | DOI:10.1080/09603100801901604
• Fugazza, Carolina, Guidolin, Massimo, and Nicodano, Giovanna. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value." Real Estate Economics 37, no. 3(2009) : 341-381. eScholarID:1g217 | DOI:10.1111/j.1540-6229.2009.00245.x
• Guidolin, Massimo, Hyde, Stuart, McMillan, David, and Ono, Sadayuki. "Non-linear predictability in stock and bond returns: When and where is it exploitable?" International Journal of Forecasting 25, no. 2(2009) : 373-399. eScholarID:1g235 | DOI:http://dx.doi.org/10.1016/j.ijforecast.2009.01.002
• Guidolin, Massimo, and Nicodano, Giovanna. "Small caps in international equity portfolios: the effects of variance risk." Annals of Finance 5, no. 1(2009) : 15-48. eScholarID:1g346 | DOI:10.1007/s10436-007-0090-2
• Mola, Simona, and Guidolin, Massimo. "Affiliated mutual funds and analyst optimism." Journal of Financial Economics 93, no. 1(2009) : 108-137. eScholarID:1g227 | DOI:http://dx.doi.org/10.1016/j.jfineco.2008.06.006
• Guidolin, M., Hyde, S J. "Equity Portfolio Diversification under Time-Varying Predictability: Evidence from Ireland, the US, and the UK." Journal of Multinational Financial Management 18(2008) : 293-312. eScholarID:1b5020 | DOI:10.1016/j.mulfin.2008.01.004
• Guidolin, M., Timmermann, A. "International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences." Review of Financial Studies 21(2008) : 889-935. eScholarID:1b4355 | DOI:10.1093/rfs/hhn006
• Fugazza, Carolina, Guidolin, Massimo, and Nicodano, Giovanna. "Diversifying in public real estate: The ex-post performance." Journal of Asset Management 8(2008) : 361-373. eScholarID:1g219 | DOI:10.1057/palgrave.jam.2250089
• Guidolin, Massimo, and Timmerman, Allan. "Size and value anomalies under regime shifts." Journal of Financial Econometrics 6(2008) : 1-48. eScholarID:1g358 | DOI:10.1093/jjfinec/nbm021
• Guidolin, M., Timmermann, A. "Asset Allocation under Multivariate Regime Switching." Journal of Economic Dynamics and Control 31(2007) : 3503-3544. eScholarID:1b4353
• Guidolin, M., Fugazza, C., Nicodano, G. "Investing for the Long-Run in European Real Estate. Does Predictability Matter?" Journal of Real Estate Finance and Economics 34(2007) : 35-80. eScholarID:1b10233
• Guidolin, M., Timmermann, A. "Properties of Asset Prices under Alternative Learning Schemes." Journal of Economic Dynamics and Control 31(2007) : 161-217. eScholarID:1b10234
• Guidolin, Massimo, and La Ferrara, Eliana. "Diamonds Are Forever, Wars Are Not: Conflict Diamonds and the Value of Firms." American Economic Review 97, no. 5(2007) : 1978-1993. eScholarID:1g253
• Guidolin, Massimo, and La Jeunesse, Elizabeth. "The Decline in the U.S. Personal Saving Rate: Is It Real and Is It a Puzzle?" The Review, Federal Reserve Bank of St. Louis 89(2007) : 491-514. eScholarID:1g223
• Guidolin, M., Timmermann, A. "An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns." Journal of Applied Econometrics 21(2006) : 1-21. eScholarID:1b10238
• Guidolin, M. "High Equity Premia and Crash Fears. Rational Foundations." Economic Theory 28(2006) : 693-708. eScholarID:1b10237
• Guidolin, M. "Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle." Journal of Economics and Business 58(2006) : 85-118. eScholarID:1b10239
• Gonçalves, S., Guidolin, M. "Predictable Dynamics in the S&P P 500 Index Options Implied Volatility Surface." Journal of Business 79(2006) : 1591-1635. eScholarID:1b10229 | DOI:10.1086/500686
• Guidolin, M., Timmermann, A. "Term Structure of Risk under Alternative Econometric Specifications." Journal of Econometrics 131(2006) : 285-308. eScholarID:1b10236
• Cassese, Gianluca, and Guidolin, Massimo. "Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options." International Review of Financial Analysis 15, no. 2(2006) : 145-178. eScholarID:1g324
• Guidolin, Massimo, and Ono, Sadayuki. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?" Journal of Economics and Business 58, no. 5-6(2006) : 480-518. eScholarID:1g307
• Guidolin, Massimo, and Timmermann, Allan. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns." Economic Journal 115, no. 500(2005) : 111-143. eScholarID:1g268
• Guidolin, Massimo. "Home Bias and High Turnover in an Overlapping-generations Model with Learning." Review of International Economics 13(2005) : 725-756. eScholarID:1g218
• Guidolin, M., Timmermann, A. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities." Journal of Economic Dynamics and Control 27(2003) : 717-769. eScholarID:1b10232 | DOI:10.1016/S0165-1889(01)00069-0