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Information about:
Massimo Guidolin

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Personal Details

First Name: Massimo
Middle Name:
Last Name: Guidolin
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RePEc Short-ID: pgu101

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Homepage: http://research.stlouisfed.org/econ/guidolin/index.html
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Journal Pages
  3. Number of Journal Pages, Weighted by Number of Authors
  4. Number of Downloads through RePEc Services over the past 12 months
  5. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," CeRP Working Papers 82, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
    Other versions:
    Published as:

  2. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "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!]
    Published as:

  3. Massimo Guidolin & Francesca Rinaldi, 2009. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Working Papers 2009-020, Federal Reserve Bank of St. Louis. [Downloadable!]

  4. Massimo Guidolin & Daniel L. Thornton, 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 977, European Central Bank. [Downloadable!]
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  5. 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!]

  6. 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!]
    Other versions:
    Published as:

  7. 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!]
    Published as:

  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. 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!]

  10. Simona Mola & Massimo Guidolin, 2007. "Affiliated mutual funds and analyst optimism," Working Papers 2007-017, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  11. 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!]

  12. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
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    Published as:

  13. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis. [Downloadable!]

  14. 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!]
    Published as:

  15. 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!]
    Published as:

  16. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  17. 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!]

  18. 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!]
    Published as:

  19. 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!]

  20. 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!]

  21. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

  22. 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!]
    Published as:

  23. 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!]

  24. 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!]
    Published as:

  25. 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!]
    Published as:

  26. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  27. 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!]

  28. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  29. 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!]
    Published as:

  30. 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!]
    Published as:

  31. 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)
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    Published as:

  32. 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.

  33. 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!]

  34. 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!]

  35. 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)
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    Published as:

  36. 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.

  37. Massimo Guidolin & Allan Timmermann, 2000. "Implied Learning Paths from Option Prices," Econometric Society World Congress 2000 Contributed Papers 0447, Econometric Society. [Downloadable!]

Articles

  1. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January. [Downloadable!] (restricted)
    Other versions:

  2. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June. [Downloadable!] (restricted)
    Other versions:

  3. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor and Francis Journals, vol. 19(6), pages 463-488. [Downloadable!] (restricted)
    Other versions:

  4. Massimo Guidolin & Yu Man Tam, 2009. "Taming the long-term spreads," Economic Synopses, Federal Reserve Bank of St. Louis. [Downloadable!]

  5. Mola, Simona & Guidolin, Massimo, 2009. "Affiliated mutual funds and analyst optimism," Journal of Financial Economics, Elsevier, vol. 93(1), pages 108-137, July. [Downloadable!] (restricted)
    Other versions:

  6. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399. [Downloadable!] (restricted)
    Other versions:

  7. 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!]

  8. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 1-48, Winter. [Downloadable!] (restricted)
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  9. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(2), pages 889-935, April. [Downloadable!] (restricted)
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  10. 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)

  11. 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)
    Other versions:

  12. 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)

  13. 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!]

  14. 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)
    Other versions:

  15. 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. [Downloadable!]
    Other versions:

  16. 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)
    Other versions:

  17. 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!]

  18. Massimo Guidolin, 2006. "The dollar U-turn," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb. [Downloadable!]

  19. 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!]
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  20. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer, vol. 28(3), pages 693-708, 08. [Downloadable!] (restricted)
    Other versions:

  21. 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)
    Other versions:

  22. 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)
    Other versions:

  23. 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!]
    Other versions:

  24. Massimo Guidolin & Elizabeth A. La Jeunesse, 2006. "Cross-country personal saving rates," National Economic Trends, Federal Reserve Bank of St. Louis, issue May. [Downloadable!]

  25. 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)
    Other versions:

  26. 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)

  27. 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)

  28. 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)
    Other versions:

  29. Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]

  30. 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!]

  31. 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!]

  32. 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)

  33. 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)

  34. 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)

  35. 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)
    Other versions:

NEP Fields

37 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AFR: Africa (1) 2005-02-13
  2. NEP-CBA: Central Banking (1) 2009-01-03
  3. NEP-CFN: Corporate Finance (3) 2003-06-16 2006-03-18 2006-05-27
  4. NEP-CMP: Computational Economics (1) 2005-05-23
  5. NEP-DGE: Dynamic General Equilibrium (1) 2009-08-02
  6. NEP-ECM: Econometrics (3) 2005-09-29 2006-12-16 2007-03-24
  7. NEP-EEC: European Economics (3) 2006-03-18 2006-05-27 2008-02-16
  8. NEP-ETS: Econometric Time Series (5) 2005-05-23 2005-05-23 2005-09-29 2006-12-16 2007-03-24 Author is listed
  9. NEP-EVO: Evolutionary Economics (1) 2005-05-23
  10. NEP-FIN: Finance (14) 2005-02-13 2005-02-13 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-11-05 2006-01-01 2006-03-18 2006-03-18 2006-05-27 Author is listed
  11. NEP-FMK: Financial Markets (10) 2005-11-05 2006-01-01 2006-03-18 2006-03-18 2006-05-27 2006-05-27 2006-07-09 2007-03-24 2007-06-23 2008-05-17 Author is listed
  12. NEP-FOR: Forecasting (6) 2005-09-29 2005-09-29 2006-12-16 2007-03-24 2008-05-17 2009-01-03 Author is listed
  13. NEP-IFN: International Finance (1) 2005-09-29
  14. NEP-MAC: Macroeconomics (5) 2005-09-29 2005-09-29 2007-03-24 2008-02-16 2009-01-03 Author is listed
  15. NEP-MON: Monetary Economics (2) 2007-03-24 2009-01-03
  16. NEP-PBE: Public Economics (1) 2007-03-24
  17. NEP-RMG: Risk Management (17) 2005-02-13 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-05-23 2005-09-29 2006-01-01 2006-03-18 2006-03-18 2006-05-27 2006-05-27 2006-12-16 2007-09-16 2008-01-05 2008-01-05 2008-02-16 Author is listed
  18. NEP-UPT: Utility Models & Prospect Theory (6) 2006-01-01 2006-03-18 2007-09-16 2009-08-02 2009-08-02 2009-08-08 Author is listed
  19. NEP-URE: Urban & Real Estate Economics (2) 2006-03-18 2006-05-27
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This page was last updated on 2009-11-19.

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