Publications

by members of

Centre for Research on Pensions and Welfare Policies (CeRP)
Collegio Carlo Alberto
Moncalieri, Italy

Working papers

2008

1. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis. [Downloadable!]
2. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2008. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis. [Downloadable!]
3. Elisa Luciano & Giovanna Nicodano, 2008. "Ownership links, leverage and credit risk," Carlo Alberto Notebooks 69, Collegio Carlo Alberto. [Downloadable!]
4. Michele Belloni & Rob Alessie, 2008. "The Importance of Financial Incentives on Retirement Choices," Tinbergen Institute Discussion Papers 08-052/3, Tinbergen Institute. [Downloadable!]
5. Michele Belloni & Rob Alessie, 2008. "The Importance of Financial Incentives on Retirement Choices:New Evidence for Italy," Working Papers 08-10, Utrecht School of Economics. [Downloadable!]

2007

1. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis. [Downloadable!]
2. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
3. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis. [Downloadable!]
4. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
5. Simona Mola & Massimo Guidolin, 2007. "Affiliated mutual funds and analyst optimism," Working Papers 2007-017, Federal Reserve Bank of St. Louis. [Downloadable!]
6. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis. [Downloadable!]
7. Massimo Guidolin & Giovanna Nicodano, 2007. "Small Caps in International Diversified Portfolios," CeRP Working Papers 68, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
8. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing in Mixed Asset Portfolios: the Ex-Post Performance," CeRP Working Papers 69, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
9. Giovanni Mastrobuoni & Matthew Weinberg, 2007. "Heterogeneity in Intra-Monthly Consumption Patterns, Self-Control, and Savings at Retirement," Carlo Alberto Notebooks 36, Collegio Carlo Alberto. [Downloadable!]
10. Carolina Fugazza & Maela Giofré & Giovanna Nicodano, 2007. "International Diversification and Labor Income Risk," CeRP Working Papers 67, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
11. Margherita Borella & Elsa Fornero & Maria Cristina Rossi, 2007. "Does Consumption Respond to Predicted Increases in Cash-on-hand Availability? Evidence from the Italian “Severance Pay”," CeRP Working Papers 62, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
12. F. Rosati & M. Rossi, 2007. "Impact of school quality on child labor and school: the case of CONAFE Compensatory Education Program in Mexico," UCW Working Paper 36, Understanding Children's Work (UCW Project). [Downloadable!]
13. F.Rosati & M. Rossi, 2007. "Impact of school quality on child labor and school attendance: the case of CONAFE Compensatory Education Program in Mexico," UCW Working Paper 21, Understanding Children's Work (UCW Project). [Downloadable!]
14. Riccardo Calcagno & Roman Kraeussl & Chiara Monticone, 2007. "An Analysis of the Effects of the Severance Pay Reform on Credit to Italian SMEs," CeRP Working Papers 59, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]

2006

1. Massimo Guidolin & Eliana La Ferrara, 2006. "Diamonds are forever, wars are not. Is conflict bad for private firms?," Working Papers 2005-004, Federal Reserve Bank of St. Louis. [Downloadable!]
2. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
3. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis. [Downloadable!]
4. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
5. Simona Mola & Massimo Guidolin, 2006. "Why do analysts continue to provide favorable coverage for seasoned stocks?," Working Papers 2006-034, Federal Reserve Bank of St. Louis. [Downloadable!]
6. Antonio Abatemarco, 2006. "On the Measurement of Intra-Generational Lifetime Redistribution in Pension Systems," CeRP Working Papers 55, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
7. Giovanni Mastrobuoni, 2006. "The Social Security Earnings Test Removal. Money Saved or Money Spent by the Trust Fund?," Carlo Alberto Notebooks 25, Collegio Carlo Alberto. [Downloadable!]
8. Giovanni Mastrobuoni, 2006. "Labor Supply Effects of the Recent Social Security Benefit Cuts: Empirical Estimates Using Cohort Discontinuities," CeRP Working Papers 53, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
9. Giovanni Mastrobuoni, 2006. "The Social Security Earnings Test Removal. Money Saved or Money Spent by the Trust Fund?," CeRP Working Papers 51, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
10. Andrea Buffa & Giovanna Nicodano, 2006. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks 16, Collegio Carlo Alberto. [Downloadable!]
11. Onorato Castellino & Elsa Fornero, 2006. "Public Policy and the Transition to Private Pension Provision in the United States and Europe," CeRP Working Papers 48, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
12. Orazio Attanasio & Margherita Borella, 2006. "Stochastic Components of Individual Consumption: A Time Series Analysis of Grouped Data," NBER Working Papers 12456, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Michele Belloni & Carlo Maccheroni, 2006. "Actuarial Neutrality when Longevity Increases: An Application to the Italian Pension System," CeRP Working Papers 47, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
14. Mariacristina Rossi, 2006. "Examining the interaction between saving and contributions to Personal Pension Plans. Evidence from the BHPS," CeRP Working Papers 49, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
15. Andrea Buffa & Chiara Monticone, 2006. "Do European Pension Reforms Improve the Adequacy of Saving?," CeRP Working Papers 50, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]

2005

1. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
2. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
3. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis. [Downloadable!]
4. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis. [Downloadable!]
5. Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis. [Downloadable!]
6. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis. [Downloadable!]
7. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis. [Downloadable!]
8. Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis. [Downloadable!]
9. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis. [Downloadable!]
10. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
11. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis. [Downloadable!]
12. Massimo Guidolin & Eliana La Ferrara, 2005. "The economic effects of violent conflict: evidence from asset market reactions," Working Papers 2005-066, Federal Reserve Bank of St. Louis. [Downloadable!]
13. Massimo Guidolin & Giovanna Nicodano, 2005. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
14. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
15. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2005. "Investing for the Long-Run in European Real Estate. Does Predictability Matter?," CeRP Working Papers 40, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
16. Giovanni Mastrobuoni & Wioletta Dziuda, 2005. "The Euro Changeover and Its Effects on Price Transparency, and Inflation. Mission Euro, Mission Accomplished!," International Finance 0503003, EconWPA, revised 24 May 2005. [Downloadable!]
17. Giovanni Mastrobuoni, 2005. "Labor Supply Effects of the Recent Social Security Benefit Cuts: Empirical Estimates Using Cohort Discontinuities," Carlo Alberto Notebooks 33, Collegio Carlo Alberto, revised 2006. [Downloadable!]
18. Giovanni Mastrobuoni & Wioletta Dziuda, 2005. "The Euro Changeover and its Effects on Price Transparency and Inflation," Carlo Alberto Notebooks 26, Collegio Carlo Alberto, revised 2006. [Downloadable!]
19. Marco Da Rin & Giovanna Nicodano & Alessandro Sembenelli, 2005. "Public policy and the creation of active venture capital markets," Working Paper Series 430, European Central Bank. [Downloadable!]
20. Margherita Borella & Flavia Coda Moscarola, 2005. "Distributive Properties of Pensions Systems: A Simulation of the Italian Transition from Defined Benefit to Defined Contribution," CeRP Working Papers 42, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
21. Carolina Fugazza & Federica Teppa, 2005. "An Empirical Assessment of the Italian Severance Payment," CeRP Working Papers 38, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
22. Mariacristina Rossi, 2005. "Households' Consumption under the Habit Formation Hypothesis. Evidence from Italian Households using the Survey of Household Income and Wealth (SHIW)," Economics Discussion Papers 595, University of Essex, Department of Economics. [Downloadable!]
23. Alderman, Harold & Hoogeveen, Hans & Rossi, Mariacristina, 2005. "Reducing child malnutrition in Tanzania - combined effects of income growth and program interventions," Policy Research Working Paper Series 3567, The World Bank. [Downloadable!]

2004

1. Guidolin, Massimo & La Ferrara, Eliana, 2004. "Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?," CEPR Discussion Papers 4668, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
3. Massimo Guidolin, University of Virginia & Allan Timmermann, 2004. "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings 349, Econometric Society.
4. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004. "Privatization and Stock Market Liquidity," SIFR Research Report Series 23, Swedish Institute for Financial Research. [Downloadable!]
5. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004. "Privatization and Stock Market Liquidity," CEPR Discussion Papers 4449, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
6. Elsa Fornero & Carolina Fugazza & Giacomo Ponzetto, 2004. "A Comparative Analysis of the Costs of Italian Individual Pension Plans," CeRP Working Papers 33, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
7. Riccardo Calcagno & Florian Heider, 2004. "Market Based Compensation, Trading And Liquidity," Business Economics Working Papers wb046224, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
8. Calcagno, R. & Renneboog, L.D.R., 2004. "Capital structure and managerial compensation : the effects of remuneration seniority," Discussion Paper 120, Tilburg University, Center for Economic Research. [Downloadable!]
9. Antonio Mele & Filippo Altissimo, 2004. "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers dp476, Financial Markets Group. [Downloadable!] (restricted)
10. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society. [Downloadable!]
11. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group. [Downloadable!] (restricted)
12. Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies. [Downloadable!]

2003

1. Guidolin, Massimo & Allan Timmermann, 2003. "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003 95, Royal Economic Society. [Downloadable!]
2. Abbigail Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis. [Downloadable!]
3. Antonio Abatemarco, 2003. "Measuring Income Mobility over Equivalent Adults," ISER working papers 2003-15, Institute for Social and Economic Research. [Downloadable!]
4. Gabriella Chiesa & Giovanna Nicodano, 2003. "Privatization and Financial Market Development: Theoretical Issues," Working Papers 2003.1, Fondazione Eni Enrico Mattei. [Downloadable!]
5. Calcagno, R. & Wagner, W., 2003. "The inefficiency of the stock market equilibrium under moral hazard," Discussion Paper 107, Tilburg University, Center for Economic Research. [Downloadable!]
6. Furio C. Rosati & Mariacristina Rossi, 2003. "Children's Working Hours and School Enrollment: Evidence from Pakistan and Nicaragua," CEIS Research Paper 25, Tor Vergata University, CEIS. [Downloadable!]
7. Alessandra Guariglia & Mariacristina Rossi, 2003. "Private Medical Insurance and Saving: Evidence from the British Household Panel Survey," CEIS Research Paper 39, Tor Vergata University, CEIS. [Downloadable!]

2002

1. Calcagno, R. & Lovo, S.M., 2002. "Market efficiency and price formation when dealers are asymmetrically informed," Discussion Paper 42, Tilburg University, Center for Economic Research. [Downloadable!]
2. Guariglia Alessandra & Rossi Mariacristina, 2002. "Private Medical Insurance And Saving: Evidence From The British Household Panel Survey," Departmental Working Papers 165, Tor Vergata University, CEIS. [Downloadable!]
3. Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary, University of London, Department of Economics. [Downloadable!]

2001

1. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Allan Timmerman & Massimo Guidolin, 2001. "Option prices and implied volatility dynamics under Bayesian learning," CeNDEF Workshop Papers, January 2001 P3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
3. Allan Timmermann & Massimo Guidolin, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers dp397, Financial Markets Group. [Downloadable!] (restricted)
4. Margherita Borella, 2001. "The Error Structure of Earnings: an Analysis on Italian Longitudinal Data," CeRP Working Papers 07, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
5. Margherita Borella, 2001. "Social Security Systems and the Distribution of Income: an Application to the Italian Case," CeRP Working Papers 08, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
6. Nicolas Boccard & Riccardo Calcagno, 2001. "Asymmetries of Information in Electronic Systems," CSEF Working Papers 63, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy. [Downloadable!]
7. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, Groupe HEC. [Downloadable!]
8. Flavia Coda Moscarola, 2001. "The Effects of Immigration Inflows on the Sustainability of the Italian Welfare States," CeRP Working Papers 06, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
9. F. Rosati & M. Rossi, 2001. "Children's Working Hours, School Enrolment and Human Capital Accumulation: Evidence from Pakistan and Nicaragua," UCW Working Paper 8, Understanding Children's Work (UCW Project). [Downloadable!]
10. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
11. Fabio Fornari & Antonio Mele, 2001. "A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate," Temi di discussione (Economic working papers) 397, Bank of Italy, Economic Research Department. [Downloadable!]

2000

1. Massimo Guidolin & Allan Timmermann, 2000. "Implied Learning Paths from Option Prices," Econometric Society World Congress 2000 Contributed Papers 0447, Econometric Society. [Downloadable!]
2. Pier Marco Ferraresi & Elsa Fornero, 2000. "Social Security Transition in Italy: Costs, Distorsions and (some) Possible Corrections," CeRP Working Papers 02, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
3. Calcagno, R., 2000. "Is leverage effective in increasing performance under managerial moral hazard?," Discussion Paper 101, Tilburg University, Center for Economic Research. [Downloadable!]
4. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
5. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
6. F. Fornari & A. Mele, 2000. "An Equilibrium Model of the Term Structure with Stochastic Volatility," THEMA Working Papers 2000-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

1999

1. Bhattacharya, Sudipto & Nicodano, Giovanna, 1999. "Insider Trading, Investment and Liquidity," CEPR Discussion Papers 2251, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
2. Giovanna Nicodano & Sudipto Bhattacharya, 1999. "Insider Trading, Investment and Liquidity: A Welfare Analysis," FMG Discussion Papers dp334, Financial Markets Group. [Downloadable!] (restricted)
3. Boccard, N. & Calcagno, R., 1999. "Asymmetries of information in centralized order-driven markets," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1999016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
4. Boccard, N. & Calcagno, R., 1999. "Asymmetries of Information in Centralized Oder-Driven Markets," Papers 9935, Catholique de Louvain - Center for Operations Research and Economics.
5. Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics. [Downloadable!]
6. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]

1998

1. Calcagno, Riccardo & Lovo, Stefano M., 1998. "Bid-Ask Price Competition with Asymmetric Information between Market Makers," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1998012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
2. Calcagno, R. & Lovo, S.M., 1998. "Bid-Ask Price Competition with Asymmetric Information Between Market Makers," Papers 9816, Catholique de Louvain - Center for Operations Research and Economics.
3. Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
4. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

1995

1. Fornari, F. & Mele, A., 1995. "Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets," Papers 251, Banca Italia - Servizio di Studi.

1992

1. Giovanna Nicodano, 1992. "Corporate Information Sales and Market Liquidity: A Property Right Approach to Insider Trading," CEPR Financial Markets Paper 0025, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.

1990

1. Giovanna Nicodano, 1990. "Information Supply with a Linear Signalling Rule: A Note on Distorted Signals," CEPR Financial Markets Paper 0009, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.

1989

1. Nicodano, G., 1989. "Equilibrium Public Information In Asset Markets," Papers 105, Princeton, Department of Economics - Financial Research Center.

Undated

1. Marco Da Rin & Giovanna Nicodano & Alessandro Sembenelli, . "Public Policy and the Creation of Active Venture Capital Markets," Working Papers 270, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]

Journal articles

2008

1. Massimo Guidolin & Allison K. Rodean, 2008. "No volatility, no forecasting power for the term spread," Monetary Trends, Federal Reserve Bank of St. Louis, issue Apr. [Downloadable!]
2. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October. [Downloadable!] (restricted)

2007

1. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January. [Downloadable!] (restricted)
2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January. [Downloadable!] (restricted)
3. Massimo Guidolin & Allison K. Rodean, 2007. "Is the term spread still speaking to policymakers? some international evidence," International Economic Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]
4. Massimo Guidolin, 2007. "A Review of: "Book Review: Empirical Dynamic Asset Pricing"," Econometric Reviews, Taylor and Francis Journals, vol. 26(5), pages 597-604. [Downloadable!] (restricted)
5. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November. [Downloadable!] (restricted)
6. Massimo Guidolin & Elizabeth A. La Jeunesse, 2007. "The decline in the U.S. personal saving rate: is it real and is it a puzzle?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 491-514. [Downloadable!]
7. Massimo Guidolin & Eliana La Ferrara, 2007. "Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?," American Economic Review, American Economic Association, vol. 97(5), pages 1978-1993, December.
8. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2007. "Privatization and stock market liquidity," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 297-316, February. [Downloadable!] (restricted)
9. Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November. [Downloadable!] (restricted)

2006

1. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer, vol. 28(3), pages 693-708, 08. [Downloadable!] (restricted)
2. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308. [Downloadable!] (restricted)
3. Massimo Guidolin, 2006. "The dollar U-turn," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb. [Downloadable!]
4. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22. [Downloadable!]
5. Cassese, Gianluca & Guidolin, Massimo, 2006. "Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 145-178. [Downloadable!] (restricted)
6. Massimo Guidolin & Elizabeth A. La Jeunesse, 2006. "Cross-country personal saving rates," National Economic Trends, Federal Reserve Bank of St. Louis, issue May. [Downloadable!]
7. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118. [Downloadable!] (restricted)
8. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518. [Downloadable!] (restricted)
9. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May. [Downloadable!]
10. Bianco, Magda & Nicodano, Giovanna, 2006. "Pyramidal groups and debt," European Economic Review, Elsevier, vol. 50(4), pages 937-961, May. [Downloadable!] (restricted)
11. Da Rin, Marco & Nicodano, Giovanna & Sembenelli, Alessandro, 2006. "Public policy and the creation of active venture capital markets," Journal of Public Economics, Elsevier, vol. 90(8-9), pages 1699-1723, September. [Downloadable!] (restricted)
12. Elsa Fornero, 2006. "Fenge, R., and Pestieau, P.: Social Security and Early Retirement," Journal of Economics, Springer, vol. 89(2), pages 190-192, November. [Downloadable!] (restricted)
13. Margherita Borella & Flavia Coda Moscarola, 2006. "Distributive Properties of Pensions Systems: A Simulation of the Italian Transition from Defined Benefit to Notional Defined Contribution," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(1), pages 95-126, May.
14. Calcagno, Riccardo & Wagner, Wolf, 2006. "Dispersed initial ownership and the efficiency of the stock market under moral hazard," Journal of Mathematical Economics, Elsevier, vol. 42(1), pages 36-45, February. [Downloadable!] (restricted)
15. Riccardo Calcagno & Stefano Lovo, 2006. "Bid-Ask Price Competition with Asymmetric Information between Market-Makers," Review of Economic Studies, Blackwell Publishing, vol. 73(2), pages 329-355, 04. [Downloadable!] (restricted)
16. Alderman, Harold & Hoogeveen, Hans & Rossi, Mariacristina, 2006. "Reducing child malnutrition in Tanzania: Combined effects of income growth and program interventions," Economics and Human Biology, Elsevier, vol. 4(1), pages 1-23, January. [Downloadable!] (restricted)
17. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June. [Downloadable!] (restricted)

2005

1. Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]
2. Massimo Guidolin, 2005. "Home Bias and High Turnover in an Overlapping-generations Model with Learning," Review of International Economics, Blackwell Publishing, vol. 13(4), pages 725-756, 09. [Downloadable!] (restricted)
3. Massimo Guidolin & Allan Timmermann, 2005. "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, vol. 115(500), pages 111-143, 01. [Downloadable!] (restricted)
4. Massimo Guidolin & Elizabeth A. La Jeunesse, 2005. "Bubbling (or just frothy) house prices?," National Economic Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]
5. Fornero, Elsa, 2005. "The Economics of an Ageing Population: Macroeconomic Issues. Paolo Onofri, ed. Edward Elgar, 2004. ESRI Studies Series on Ageing; ISBN 1843767791, 448 pages, Price $150.00," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 337-338, October. [Downloadable!]

2004

1. Abbigail Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2004. "Subjective probabilities: psychological theories and economic applications," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 33-48. [Downloadable!]
2. Gianluca Cassese & Massimo Guidolin, 2004. "Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 275-321, 07. [Downloadable!] (restricted)
3. Nicodano, Giovanna & Sembenelli, Alessandro, 2004. "Private benefits, block transaction premiums and ownership structure," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 227-244. [Downloadable!] (restricted)
4. Margerita Borella, 2004. "The distributional impact of pension system reforms: an application to the Italian case," Fiscal Studies, Institute for Fiscal Studies, vol. 25(4), pages 415-437, December.
5. Guariglia, Alessandra & Rossi, Mariacristina, 2004. "Private medical insurance and saving: evidence from the British Household Panel Survey," Journal of Health Economics, Elsevier, vol. 23(4), pages 761-783, July. [Downloadable!] (restricted)

2003

1. Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March. [Downloadable!] (restricted)
2. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December. [Downloadable!] (restricted)
3. Massimo Guidolin & Allan Timmermann, 2003. "Recursive Modeling of Nonlinear Dynamics in UK Stock Returns," Manchester School, University of Manchester, vol. 71(4), pages 381-395, 07. [Downloadable!] (restricted)
4. Furio Camillo Rosati & Mariacristina Rossi, 2003. "Children's Working Hours and School Enrollment: Evidence from Pakistan and Nicaragua," World Bank Economic Review, Oxford University Press, vol. 17(2), pages 283-295, December.
5. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(3), pages 679-716, July. [Downloadable!] (restricted)

2002

1. Roberto ARTONI & Elsa FORNERO & Sandro GRONCHI & Giuseppe VITALETTI, 2002. "Sistema previdenziale italiano, Forum della SIE (a cura di Giuseppe Bognetti)," Rivista Italiana degli Economisti, SIE - Societa' Italiana degli Economisti (I), vol. 2(4), pages 249, August. [Downloadable!] (restricted)

2001

1. Sudipto Bhattacharya, 2001. "Insider Trading, Investment, and Liquidity: A Welfare Analysis," Journal of Finance, American Finance Association, vol. 56(3), pages 1141-1156, 06. [Downloadable!] (restricted)
2. Fornari, Fabio & Mele, Antonio, 2001. "Volatility Smiles and the Information Content of News," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 179-86, April. [Downloadable!] (restricted)
3. Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March. [Downloadable!] (restricted)

1999

1. Onorato Castellino & Elsa Fornero, 1999. "From PAYG to Funding in Italy: A Feasible Transition?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 24(4), pages 473-487, October. [Downloadable!] (restricted)

1998

1. Nicodano, Giovanna, 1998. "Corporate groups, dual-class shares and the value of voting rights," Journal of Banking & Finance, Elsevier, vol. 22(9), pages 1117-1137, September. [Downloadable!] (restricted)

1997

1. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb.. [Downloadable!]
2. Fornari, Fabio & Mele, Antonio, 1997. "Asymmetries and Non-linearities in Economic Activity," Applied Financial Economics, Taylor and Francis Journals, vol. 7(2), pages 203-06, April. [Downloadable!] (restricted)
3. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor and Francis Journals, vol. 16(2), pages 205-227. [Downloadable!] (restricted)

1996

1. Elsa FORNERO, 1996. "I fondi pensione. Rendimenti comparati e scelte previdenziali," Rivista Italiana degli Economisti, SIE - Societa' Italiana degli Economisti (I), vol. 3(4), December.
2. Fornari, Fabio & Mele, Antonio, 1996. "Modeling the changing asymmetry of conditional variances," Economics Letters, Elsevier, vol. 50(2), pages 197-203, February. [Downloadable!] (restricted)

1995

1. Fornero, Elsa, 1995. "Totally unfunded vs. partially funded pension systems: the case of Italy," Ricerche Economiche, Elsevier, vol. 49(4), pages 357-374, December. [Downloadable!] (restricted)

1994

1. Fornari, Fabio & Mele, Antonio, 1994. "A stochastic variance model for absolute returns," Economics Letters, Elsevier, vol. 46(3), pages 211-214, November. [Downloadable!] (restricted)

This page was last updated on 2008-9-1.