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Massimo Guidolin

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. 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.

    Mentioned in:

    1. Blogs review: The Events Study methodology
      by ? in Bruegel blog on 2012-10-08 14:51:26
  2. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers 2013-005, Federal Reserve Bank of St. Louis.

    Mentioned in:

    1. Dating the financial crisis using fixed income market yield spreads
      by ? in FRED blog on 2014-05-22 18:00:30
    2. Euro area “lowflation” becomes “deflation”
      by ? in FRED blog on 2015-03-19 18:00:39
  3. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.

    Mentioned in:

    1. Dating the financial crisis using fixed income market yield spreads
      by ? in FRED blog on 2014-05-22 18:00:30
    2. Euro area “lowflation” becomes “deflation”
      by ? in FRED blog on 2015-03-19 18:00:39

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. 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.

    Mentioned in:

    1. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (Journal of Applied Econometrics 2006) in ReplicationWiki ()
  2. 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.

    Mentioned in:

    1. Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? (AER 2007) in ReplicationWiki ()

Working papers

  1. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," BAFFI CAREFIN Working Papers 24220, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Sneideriene, Agne & Legenzova, Renata, 2025. "Greenwashing prevention in environmental, social, and governance (ESG) disclosures: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 74(C).
    2. Jaber Gahremanzade & Adel Shahvalizadeh & Petra Cajnko, 2025. "Investigating the Performance and Sustainability of Active Investment Funds in the Iranian Capital Market and the Position of Funds in Attracting Investors," New Challenges in Accounting and Finance, EUROKD, vol. 13, pages 52-74.

  2. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital," BAFFI CAREFIN Working Papers 23202, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Yang, Xiaodong & Shira, Ruba Khalid & Dang, Lan Phuong & Hao, Pu, 2025. "Unforeseen benefits: Can ESG enhance corporate access to commercial credit financing?," Research in International Business and Finance, Elsevier, vol. 75(C).
    2. Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Phoebe Koundouri & Conrad Landis & Nikitas Pittis, 2025. "ESG Momentum in International Equity Returns and the SDG content of financial asset portfolios," DEOS Working Papers 2523, Athens University of Economics and Business.
    4. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," BAFFI CAREFIN Working Papers 24220, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Nagy, Attila Zoltán & Steiner, Beatrix, 2025. "Fenntarthatóság vagy hozam?. Mekkora áldozatot vállalnak a befektetők a felelős jövőért? [Sustainability or return?. How much are investors willing to sacrifice for a responsible future?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 919-938.

  3. Massimo Guidolin & Davide La Cara & Massimiliano Marcellino, 2021. "Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks," BAFFI CAREFIN Working Papers 21169, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
    2. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.

  4. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
    2. Yue, Jun & Li, Yilin, 2023. "Media attention and corporate greenwashing behavior: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
    3. Martina Halouskov'a & v{S}tefan Ly'ocsa, 2025. "Forecasting U.S. equity market volatility with attention and sentiment to the economy," Papers 2503.19767, arXiv.org.
    4. Hartvig, Áron Dénes & Pap, Áron & Pálos, Péter, 2023. "EU Climate Change News Index: Forecasting EU ETS prices with online news," Finance Research Letters, Elsevier, vol. 54(C).
    5. Horváth, Roman & Kalistová, Anna & Lyócsa, Štefan & Miškufová, Marta & Moravcová, Michala, 2025. "Do hurricanes cause storm on the stock market? The case of US energy companies," International Review of Financial Analysis, Elsevier, vol. 97(C).
    6. Szymon Lis, 2024. "Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence," Papers 2411.13180, arXiv.org.
    7. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    8. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).

  5. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.

    Cited by:

    1. Conigliani, Caterina & Costantini, Valeria & Paglialunga, Elena & Tancredi, Andrea, 2024. "Forecasting the climate-conflict risk in Africa along climate-related scenarios and multiple socio-economic drivers," Economic Modelling, Elsevier, vol. 141(C).
    2. Qi, Lingzhi & Li, Xixi & Wang, Qiang & Jia, Suling, 2023. "fETSmcs: Feature-based ETS model component selection," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1303-1317.
    3. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
    4. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
    5. Wang, Xiaoqian & Kang, Yanfei & Hyndman, Rob J. & Li, Feng, 2023. "Distributed ARIMA models for ultra-long time series," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1163-1184.
    6. Afif Zuhri Muhammad Khodri Harahap & Mohd Kamarul Irwan Abdul Rahim & Noor Malinjasari & Suzila Mat Salleh & Rabiatul Adawiyah Ma'arof, 2025. "Enhancing the Inventory Management through Demand Forecasting," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 9(1), pages 2737-2744, January.
    7. Divya Aggarwal & Sougata Banerjee, 2025. "Forecasting of S&P 500 ESG Index by Using CEEMDAN and LSTM Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 339-355, March.
    8. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.
    9. Pedersen, Michael, 2025. "Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence," International Journal of Forecasting, Elsevier, vol. 41(2), pages 475-486.
    10. Shi, Qi, 2025. "Technical indicators and aggregate stock returns: An updated look," Journal of Multinational Financial Management, Elsevier, vol. 77(C).
    11. Jonathan Berrisch & Florian Ziel, 2022. "Distributional modeling and forecasting of natural gas prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1065-1086, September.
    12. Heymann, Fabian & Milojevic, Tatjana & Covatariu, Andrei & Verma, Piyush, 2023. "Digitalization in decarbonizing electricity systems – Phenomena, regional aspects, stakeholders, use cases, challenges and policy options," Energy, Elsevier, vol. 262(PB).
    13. Oscar Espinosa & Valeria Bejarano & Jeferson Ramos & Boris Martínez, 2023. "Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021," Health Economics Review, Springer, vol. 13(1), pages 1-20, December.
    14. Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel, 2022. "Distributional neural networks for electricity price forecasting," Papers 2207.02832, arXiv.org, revised Dec 2022.
    15. Nie, Yan & Zhang, Guoxing & Zhong, Luhao & Su, Bin & Xi, Xi, 2024. "Urban‒rural disparities in household energy and electricity consumption under the influence of electricity price reform policies," Energy Policy, Elsevier, vol. 184(C).
    16. Minghao Ran & Yingchao Wang & Qilu Qin & Jindi Huang & Jiading Jiang, 2025. "An Improved Grey Prediction Model Integrating Periodic Decomposition and Aggregation for Renewable Energy Forecasting: Case Studies of Solar and Wind Power," Sustainability, MDPI, vol. 17(11), pages 1-31, May.
    17. Richard Bean, 2023. "Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge," Energies, MDPI, vol. 16(3), pages 1-23, January.
    18. Katarzyna Chk{e}'c & Bartosz Uniejewski & Rafa{l} Weron, 2025. "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," Papers 2503.02518, arXiv.org.
    19. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).
    20. Robinson Kruse‐Becher, 2025. "Adaptive Now‐ and Forecasting of Global Temperatures Under Smooth Structural Changes," Environmetrics, John Wiley & Sons, Ltd., vol. 36(6), September.
    21. Bernhard Tröster & Ulrich Gunter, 2023. "The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors," Development and Change, International Institute of Social Studies, vol. 54(6), pages 1550-1574, November.
    22. Jacek Batóg & Barbara Batóg & Magdalena Mojsiewicz & Przemysław Pluskota, 2024. "Electrification of Public Urban Transport: Funding Opportunities, Bus Fleet, and Energy Use Forecasts for Poland," Energies, MDPI, vol. 17(23), pages 1-20, December.
    23. Zin Mar Oo & Ching‐Yang Lin & Makoto Kakinaka, 2025. "Deciphering Long‐Term Economic Growth: An Exploration With Leading Machine Learning Techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1531-1562, July.
    24. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    25. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    26. Agakishiev, Ilyas & Härdle, Wolfgang Karl & Kopa, Milos & Kozmik, Karel & Petukhina, Alla, 2025. "Multivariate probabilistic forecasting of electricity prices with trading applications," Energy Economics, Elsevier, vol. 141(C).
    27. Guo, Su & Zheng, Kun & He, Yi & Kurban, Aynur, 2023. "The artificial intelligence-assisted short-term optimal scheduling of a cascade hydro-photovoltaic complementary system with hybrid time steps," Renewable Energy, Elsevier, vol. 202(C), pages 1169-1189.
    28. Spiliotis, Evangelos & Petropoulos, Fotios, 2024. "On the update frequency of univariate forecasting models," European Journal of Operational Research, Elsevier, vol. 314(1), pages 111-121.
    29. Amjad Almusaed & Ibrahim Yitmen & Asaad Almssad, 2023. "Enhancing Smart Home Design with AI Models: A Case Study of Living Spaces Implementation Review," Energies, MDPI, vol. 16(6), pages 1-23, March.
    30. Rai, Amit & Shrivastava, Ashish & Jana, Kartick C., 2023. "Differential attention net: Multi-directed differential attention based hybrid deep learning model for solar power forecasting," Energy, Elsevier, vol. 263(PC).
    31. Tetiana Zatonatska & Olena Liashenko & Yana Fareniuk & Oleksandr Dluhopolskyi & Artur Dmowski & Marzena Cichorzewska, 2022. "The Migration Influence on the Forecasting of Health Care Budget Expenditures in the Direction of Sustainability: Case of Ukraine," Sustainability, MDPI, vol. 14(21), pages 1-17, November.
    32. Swaminathan, Kritika & Venkitasubramony, Rakesh, 2024. "Demand forecasting for fashion products: A systematic review," International Journal of Forecasting, Elsevier, vol. 40(1), pages 247-267.
    33. Paul Ghelasi & Florian Ziel, 2025. "A data-driven merit order: Learning a fundamental electricity price model," Papers 2501.02963, arXiv.org, revised Nov 2025.
    34. Niklas Valentin Lehmann, 2023. "Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts," Papers 2312.09081, arXiv.org, revised May 2025.
    35. Jozef Barunik & Lubos Hanus, 2023. "Learning the Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Jul 2025.
    36. Shafie Bahman & Hamidreza Zareipour, 2025. "Long-Term Multi-Resolution Probabilistic Load Forecasting Using Temporal Hierarchies," Energies, MDPI, vol. 18(11), pages 1-30, June.
    37. Ricardo Caetano & José Manuel Oliveira & Patrícia Ramos, 2025. "Transformer-Based Models for Probabilistic Time Series Forecasting with Explanatory Variables," Mathematics, MDPI, vol. 13(5), pages 1-29, February.
    38. Marco Zanotti, 2025. "The cost of ensembling: is it always worth combining?," Working Papers 554, University of Milano-Bicocca, Department of Economics.
    39. Anita M. Bunea & Mariangela Guidolin & Piero Manfredi & Pompeo Della Posta, 2022. "Diffusion of Solar PV Energy in the UK: A Comparison of Sectoral Patterns," Forecasting, MDPI, vol. 4(2), pages 1-21, April.
    40. Entezari, Negin & Fuinhas, José Alberto, 2024. "Measuring wholesale electricity price risk from climate change: Evidence from Portugal," Utilities Policy, Elsevier, vol. 91(C).
    41. Andrea Savio & Luigi De Giovanni & Mariangela Guidolin, 2022. "Modelling Energy Transition in Germany: An Analysis through Ordinary Differential Equations and System Dynamics," Forecasting, MDPI, vol. 4(2), pages 1-18, April.
    42. Bergsteinsson, Hjörleifur G. & Sørensen, Mikkel Lindstrøm & Møller, Jan Kloppenborg & Madsen, Henrik, 2023. "Heat load forecasting using adaptive spatial hierarchies," Applied Energy, Elsevier, vol. 350(C).
    43. Wesley Marcos Almeida & Claudimar Pereira Veiga, 2023. "Does demand forecasting matter to retailing?," Journal of Marketing Analytics, Palgrave Macmillan, vol. 11(2), pages 219-232, June.
    44. Zheng, Zhuang & Shafique, Muhammad & Luo, Xiaowei & Wang, Shengwei, 2024. "A systematic review towards integrative energy management of smart grids and urban energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
    45. Elalem, Yara Kayyali & Maier, Sebastian & Seifert, Ralf W., 2023. "A machine learning-based framework for forecasting sales of new products with short life cycles using deep neural networks," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1874-1894.
    46. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    47. Fernández, Joaquín Delgado & Menci, Sergio Potenciano & Lee, Chul Min & Rieger, Alexander & Fridgen, Gilbert, 2022. "Privacy-preserving federated learning for residential short-term load forecasting," Applied Energy, Elsevier, vol. 326(C).
    48. Coleen Tala & Romeo T. Quintos Jr, 2025. "Sipnayan sa Tambakan: Mathematical Ethnomodels Through the Lens of the Scrap Merchants," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 9(9), pages 3934-3957, September.
    49. Emmanuel Senyo Fianu, 2022. "Analyzing and Forecasting Multi-Commodity Prices Using Variants of Mode Decomposition-Based Extreme Learning Machine Hybridization Approach," Forecasting, MDPI, vol. 4(2), pages 1-27, June.
    50. Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
    51. Wang, Lu & Wang, Xing & Liang, Chao, 2024. "Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
    52. Ca’ Zorzi, Michele & Rubaszek, Michał, 2023. "How many fundamentals should we include in the behavioral equilibrium exchange rate model?," Economic Modelling, Elsevier, vol. 118(C).
    53. Chȩć, Katarzyna & Uniejewski, Bartosz & Weron, Rafał, 2025. "Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market," Journal of Commodity Markets, Elsevier, vol. 37(C).
    54. Meisenbacher, Stefan & Phipps, Kaleb & Taubert, Oskar & Weiel, Marie & Götz, Markus & Mikut, Ralf & Hagenmeyer, Veit, 2025. "AutoPQ: Automating quantile estimation from point forecasts in the context of sustainability," Applied Energy, Elsevier, vol. 392(C).
    55. Radovan Šomplák & Veronika Smejkalová & Martin Rosecký & Lenka Szásziová & Vlastimír Nevrlý & Dušan Hrabec & Martin Pavlas, 2023. "Comprehensive Review on Waste Generation Modeling," Sustainability, MDPI, vol. 15(4), pages 1-29, February.
    56. Singhal, Shakshi & Bano, Yasmeen & Singh, Ompal, 2025. "Investigating the role of customer's disadoption and dynamic shifts in mobile cellular diffusion: Evidence from emerging economies," Technological Forecasting and Social Change, Elsevier, vol. 219(C).
    57. Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
    58. Kafa, Nadine & Babai, M. Zied & Klibi, Walid, 2025. "Forecasting mail flow: A hierarchical approach for enhanced societal wellbeing," International Journal of Forecasting, Elsevier, vol. 41(1), pages 51-65.
    59. Caravaggio, Nicola & Resce, Giuliano & Vaquero-Piñeiro, Cristina, 2025. "Predicting policy funding allocation with Machine Learning," Socio-Economic Planning Sciences, Elsevier, vol. 98(C).
    60. Li, Xin & Xu, Yechi & Law, Rob & Wang, Shouyang, 2024. "Enhancing Tourism Demand Forecasting with a Transformer-based Framework," SocArXiv 5ezn3_v1, Center for Open Science.
    61. Brown, David P. & Cajueiro, Daniel O. & Eckert, Andrew & Silveira, Douglas, 2025. "Evaluating the role of information disclosure on bidding behavior in wholesale electricity markets," Energy Economics, Elsevier, vol. 146(C).
    62. Nghia Chu & Binh Dao & Nga Pham & Huy Nguyen & Hien Tran, 2022. "Predicting Mutual Funds' Performance using Deep Learning and Ensemble Techniques," Papers 2209.09649, arXiv.org, revised Jul 2023.
    63. Racek, Daniel & Thurner, Paul W. & Davidson, Brittany I. & Zhu, Xiao Xiang & Kauermann, Göran, 2024. "Conflict forecasting using remote sensing data: An application to the Syrian civil war," International Journal of Forecasting, Elsevier, vol. 40(1), pages 373-391.
    64. Julia Eichholz & Thorsten Knauer & Sandra Winkelmann, 2023. "Digital Maturity of Forecasting and its Impact in Times of Crisis," Schmalenbach Journal of Business Research, Springer, vol. 75(4), pages 443-481, December.
    65. Huang, Congzhi & Yang, Mengyuan, 2023. "Memory long and short term time series network for ultra-short-term photovoltaic power forecasting," Energy, Elsevier, vol. 279(C).
    66. Raja, Aitazaz Ali & Pinson, Pierre & Kazempour, Jalal & Grammatico, Sergio, 2024. "A market for trading forecasts: A wagering mechanism," International Journal of Forecasting, Elsevier, vol. 40(1), pages 142-159.
    67. Fałdziński, Marcin & Fiszeder, Piotr & Molnár, Peter, 2024. "Improving volatility forecasts: Evidence from range-based models," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    68. Mutele, Litshedzani & Carranza, Emmanuel John M., 2024. "Statistical analysis of gold production in South Africa using ARIMA, VAR and ARNN modelling techniques: Extrapolating future gold production, Resources–Reserves depletion, and Implication on South Afr," Resources Policy, Elsevier, vol. 93(C).
    69. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
    70. Li, Xin & Xu, Yechi & Law, Rob & Wang, Shouyang, 2024. "Enhancing tourism demand forecasting with a transformer-based framework," Annals of Tourism Research, Elsevier, vol. 107(C).
    71. Marco Zanotti, 2025. "On the stability of global forecasting models," Working Papers 553, University of Milano-Bicocca, Department of Economics.
    72. Takahashi, Carlos Kazunari & Figueiredo, Júlio César Bastos de & Scornavacca, Eusebio, 2024. "Investigating the diffusion of innovation: A comprehensive study of successive diffusion processes through analysis of search trends, patent records, and academic publications," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
    73. Paul Ghelasi & Florian Ziel, 2023. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," Papers 2305.16255, arXiv.org.
    74. Augusto Cerqua & Marco Letta & Gabriele Pinto, 2024. "On the (Mis)Use of Machine Learning with Panel Data," Papers 2411.09218, arXiv.org, revised May 2025.
    75. Theodorou, Evangelos & Spiliotis, Evangelos & Assimakopoulos, Vassilios, 2025. "Forecast accuracy and inventory performance: Insights on their relationship from the M5 competition data," European Journal of Operational Research, Elsevier, vol. 322(2), pages 414-426.
    76. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
    77. Diego Zappa & Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2023. "Editorial on the Special Issue on Insurance: complexity, risks and its connection with social sciences," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 125-130, December.
    78. Qi Zheng & Yunwei Cui & Rongning Wu, 2024. "On estimation of nonparametric regression models with autoregressive and moving average errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 76(2), pages 235-262, April.
    79. Jun Meng & Jingfang Fan & Uma S. Bhatt & Jürgen Kurths, 2023. "Arctic weather variability and connectivity," Nature Communications, Nature, vol. 14(1), pages 1-11, December.
    80. Karamolegkos, Spyridon & Koulouriotis, Dimitrios E., 2025. "Advancing short-term load forecasting with decomposed Fourier ARIMA: A case study on the Greek energy market," Energy, Elsevier, vol. 325(C).
    81. Allen, Sam & Koh, Jonathan & Segers, Johan & Ziegel, Johanna, 2024. "Tail calibration of probabilistic forecasts," LIDAM Discussion Papers ISBA 2024018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    82. Emanuela Raffinetti, 2023. "A Rank Graduation Accuracy measure to mitigate Artificial Intelligence risks," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 131-150, December.
    83. Ramos, Paulo Vitor B. & Villela, Saulo Moraes & Silva, Walquiria N. & Dias, Bruno H., 2023. "Residential energy consumption forecasting using deep learning models," Applied Energy, Elsevier, vol. 350(C).
    84. Said Rosli & Sulaimi Mardhiati & Majid Rohayu Ab & Aini Ainoriza Mohd & Olanrele Olusegun Olaopin & Akinsomi Omokolade, 2024. "Evaluating Market Attributes and Housing Affordability: Gaining Perspective on Future Value Trends," Real Estate Management and Valuation, Sciendo, vol. 32(3), pages 87-100.
    85. Marta Crispino & Vincenzo Mariani, 2025. "A Tool to Nowcast Tourist Overnight Stays with Payment Data and Complementary Indicators," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 11(1), pages 285-312, March.
    86. Jeroen Rombouts & Marie Ternes & Ines Wilms, 2024. "Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning," Papers 2402.09033, arXiv.org, revised May 2024.
    87. Victoria A Bensel & Kelsey Corcoran & Anthony J Lisi, 2025. "Forecasting the use of chiropractic services within the Veterans Health Administration," PLOS ONE, Public Library of Science, vol. 20(1), pages 1-8, January.
    88. Ghelasi, Paul & Ziel, Florian, 2024. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," International Journal of Forecasting, Elsevier, vol. 40(2), pages 581-596.
    89. Li, Xishu & Zuidwijk, Rob & de Koster, M.B.M, 2023. "Optimal competitive capacity strategies: Evidence from the container shipping market," Omega, Elsevier, vol. 115(C).
    90. Shanshan Wang & Shih‐Chih Chen & Mohd Helmi Ali & Ming‐Lang Tseng, 2024. "Nexus of environmental, social, and governance performance in China‐listed companies: Disclosure and green bond issuance," Business Strategy and the Environment, Wiley Blackwell, vol. 33(3), pages 1647-1660, March.
    91. Ye, Lili & Xie, Naiming & Boylan, John E. & Shang, Zhongju, 2024. "Forecasting seasonal demand for retail: A Fourier time-varying grey model," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1467-1485.
    92. Alroomi, Azzam & Karamatzanis, Georgios & Nikolopoulos, Konstantinos & Tilba, Anna & Xiao, Shujun, 2022. "Fathoming empirical forecasting competitions’ winners," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1519-1525.
    93. Yi Ding & Peng Wu & Jie Zhao & Ligang Zhou, 2025. "Forecasting product sales using text mining: a case study in new energy vehicle," Electronic Commerce Research, Springer, vol. 25(1), pages 495-527, February.
    94. Marco Zanotti, 2025. "Do global forecasting models require frequent retraining?," Working Papers 551, University of Milano-Bicocca, Department of Economics.
    95. Li, Xiaoyuan & Tian, Zhe & Wu, Xia & Feng, Wei & Niu, Jide, 2024. "Optimal planning for hybrid renewable energy systems under limited information based on uncertainty quantification," Renewable Energy, Elsevier, vol. 237(PD).
    96. Aitazaz Ali Raja & Pierre Pinson & Jalal Kazempour & Sergio Grammatico, 2022. "A Market for Trading Forecasts: A Wagering Mechanism," Papers 2205.02668, arXiv.org, revised Oct 2022.
    97. Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2025.
    98. Pan Tang & Yuwei Zhang, 2024. "China's business cycle forecasting: a machine learning approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2783-2811, November.
    99. Xing, Xiaoxuan & Gong, Dunwei & Wang, Yan & Sun, Xiaoyan & Zhang, Yong, 2025. "Acceptable cost-driven multivariate load forecasting for integrated coal mine energy systems," Applied Energy, Elsevier, vol. 397(C).
    100. Cristiana Tudor & Robert Sova, 2025. "An automated adaptive trading system for enhanced performance of emerging market portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-39, December.

  6. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
    2. Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    3. Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
    4. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

  7. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    2. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    4. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    5. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  8. Massimo Guidolin & Francesco Melloni & Manuela Pedio, 2019. "A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle," BAFFI CAREFIN Working Papers 19121, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024. "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 271-292, April.
    2. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).

  9. Massimo Guidolin & Manuela Pedio & Alessandra tosi, 2019. "Time-Varying Price Discovery in Sovereign Credit Markets," BAFFI CAREFIN Working Papers 19120, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Nagy, Olivér & Neszveda, Gábor, 2025. "Assessing geopolitical risk: Sovereign CDS insights from the Russo-Ukrainian War," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1995-2006.
    2. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    3. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Zubair Ali Raja & William J. Procasky & Renee Oyotode-Adebile, 2020. "The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 296-325, December.
    5. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

  10. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    2. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    4. Chen, Jiazi & Hong, Zhiwu & Niu, Linlin, 2025. "Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution," International Journal of Forecasting, Elsevier, vol. 41(1), pages 153-174.
    5. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    6. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    7. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  11. Roland Füss & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia In The Cross-Section of Global Equity," Working Papers on Finance 1913, University of St. Gallen, School of Finance, revised May 2020.

    Cited by:

    1. Kang, Yong Joo & Park, Dojoon & Eom, Young Ho, 2024. "Global contagion of US COVID-19 panic news," Emerging Markets Review, Elsevier, vol. 59(C).

  12. Roland Fuess & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns," BAFFI CAREFIN Working Papers 19116, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).

  13. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
    2. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    3. Marzioni, Stefano & Murè, Pina & Paccione, Cosimo & Spallone, Marco, 2025. "Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries," Energy Economics, Elsevier, vol. 145(C).
    4. Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, vol. 29(C), pages 113-131.
    5. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    6. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    7. Casarin, Roberto & Craiu, Radu V. & Wang, Qing, 2025. "Markov switching multiple-equation tensor regressions," Journal of Multivariate Analysis, Elsevier, vol. 208(C).
    8. Hadjiantoni, Stella & Kontoghiorghes, Erricos John, 2022. "An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 1-18.
    9. Beatrice Foroni & Luca Merlo & Lea Petrella, 2024. "Hidden Markov graphical models with state-dependent generalized hyperbolic distributions," Papers 2412.03668, arXiv.org.
    10. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
    11. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
    12. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
    13. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    14. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    15. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    16. Eva F. Janssens & Robin L. Lumsdaine & Sebastiaan H.L.C.G. Vermeulen, 2022. "An Epidemiological Model of Economic Crisis Spread across Sectors in the United States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 885-919, June.
    17. Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
    18. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
    19. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    20. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
    21. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
    22. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    23. Georg Keilbar & Weining Wang, 2022. "Modelling systemic risk using neural network quantile regression," Empirical Economics, Springer, vol. 62(1), pages 93-118, January.
    24. Xiaoye Jin, 2025. "Extreme Risk Connectedness in China’s Stock Market: Fresh Insights from Time-Varying General Dynamic Factor Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 1877-1909, September.
    25. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    26. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
    27. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    28. Marc Cortés Rufé & Yihao Yu & Jordi Martí Pidelaserra, 2025. "Systemic Risk in the Lithium and Copper Value Chains: A Network-Based Analysis Using Euclidean Distance and Graph Theory," Commodities, MDPI, vol. 4(4), pages 1-30, October.
    29. Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.

  14. Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).

  15. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2018. "Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas?," BAFFI CAREFIN Working Papers 1884, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  16. Massimo Guidolin & Manuela Pedio, 2018. "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors," BAFFI CAREFIN Working Papers 1886, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    2. Massimo Guidolin & Manuela Pedio, 2020. "Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?," BAFFI CAREFIN Working Papers 20140, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  17. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Sabri Boubaker & Tu D. Q. Le & Riadh Manita & Thanh Ngo, 2025. "The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis," Annals of Operations Research, Springer, vol. 347(1), pages 717-741, April.
    2. Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
    3. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2024. "Machine-learning stock market volatility: Predictability, drivers, and economic value," International Review of Financial Analysis, Elsevier, vol. 94(C).
    4. Hanauer, Matthias X. & Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2024. "Factor models for Chinese A-shares," International Review of Financial Analysis, Elsevier, vol. 91(C).

  18. Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
    2. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2023. "Towards a macroprudential regulatory framework for mutual funds?," Post-Print hal-04103373, HAL.

  19. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2017. "Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing," Working Papers 614, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023. "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. P. Zhukov E. & П. Жуков Е., 2019. "Новые модели анализа изменений стоимости компании, основанные на стохастических ставках дисконтирования // New Models for Analyzing Changes in Company Value Based on Stochastic Discount Rates," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(3), pages 35-48.
    3. Schücking, Maximilian & Jochem, Patrick, 2020. "Two-stage stochastic program optimizing the total cost of ownership of electric vehicles in commercial fleets," Working Paper Series in Production and Energy 50, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
    4. Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
    5. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    6. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    7. Schücking, Maximilian & Jochem, Patrick, 2021. "Two-stage stochastic program optimizing the cost of electric vehicles in commercial fleets," Applied Energy, Elsevier, vol. 293(C).
    8. Massimo Guidolin & Manuela Pedio, 2020. "Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?," BAFFI CAREFIN Working Papers 20140, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    9. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.
    10. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    11. Massimo Guidolin & Manuela Pedio, 2018. "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors," BAFFI CAREFIN Working Papers 1886, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  20. Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Michał Latoszek & Robert Ślepaczuk, 2019. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers 2019-14, Faculty of Economic Sciences, University of Warsaw.
    2. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
    3. Björn Uhl, 2024. "Sharpe-optimal volatility futures carry," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 288-302, May.

  21. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Hristov, Nikolay & Hülsewig, Oliver, 2017. "Unexpected loan losses and bank capital in an estimated DSGE model of the euro area," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
    2. Lin, Saiyan & Chen, Rongda & Lv, Zhihong & Zhou, Tianqing & Jin, Chenglu, 2019. "Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
    4. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    5. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
    6. Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," Working Papers 676, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Wang, Cindy S.H. & Fan, Rui & Xie, Yiqiang, 2023. "Market systemic risk, predictability and macroeconomics news," Finance Research Letters, Elsevier, vol. 56(C).
    8. Hattori, Takahiro & Yoshida, Jiro, 2023. "The impact of Bank of Japan’s exchange-traded fund purchases," Journal of Financial Stability, Elsevier, vol. 65(C).
    9. Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020. "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, vol. 52(C).

  22. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
    2. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
    3. Du, Kai, 2019. "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 134-157.
    4. Martin Magris & Perttu Barholm & Juho Kanniainen, 2017. "Implied volatility smile dynamics in the presence of jumps," Papers 1711.02925, arXiv.org, revised May 2020.
    5. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    6. Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
    7. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    8. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    9. Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.
    10. Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).

  23. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

    Cited by:

    1. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Sensarma, Rudra & Bhattacharyya, Indranil, 2016. "The impact of monetary policy on corporate bonds in India," Journal of Policy Modeling, Elsevier, vol. 38(3), pages 587-602.
    3. Rhea Choudhary, 2022. "AnalysingthespillovereffectsoftheSouthAfricanReserveBanksbondpurchaseprogramme," Working Papers 11039, South African Reserve Bank.
    4. Rhea Choudhary, 2022. "Analysing the spillover effects of the South African Reserve Banks bond purchase programme," Working Papers 11025, South African Reserve Bank.

  24. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?," Working Paper 2013/22, Norges Bank.

    Cited by:

    1. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    2. Juan Carlos Cuestas, 2019. "Co-movement between residential and commercial housing prices: Evidence from a new database," Working Papers 2019/11, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.

  25. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers 2013-005, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Kim, Jae H. & Ji, Philip Inyeob, 2015. "Significance testing in empirical finance: A critical review and assessment," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 1-14.
    3. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Estimating yield spreads volatility using GARCH-type models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    4. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    5. Thomas Flavin & Lisa Sheenan, 2025. "Can green bonds be a safe haven for equity investors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2270-2283, July.
    6. Paccagnini, Alessia, 2016. "The macroeconomic determinants of the US term structure during the Great Moderation," Economic Modelling, Elsevier, vol. 52(PA), pages 216-225.
    7. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
    8. Hamad Aldawsari & Taufiq Choudhry & Di Luo, 2025. "CEO power and firm risk at the onset of the 2007 financial crisis and the COVID-19 health crisis: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 64(4), pages 1633-1670, May.
    9. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    10. Sheng Zhu & Ella Kavanagh & Niall O'Sullivan, 2021. "Constructing a financial conditions index for the United Kingdom: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2976-2989, April.
    11. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
    12. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
    13. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
    14. Daniela Scidá, 2023. "Structural VAR and financial networks: A minimum distance approach to spatial modeling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 49-68, January.
    15. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    16. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
    17. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
    18. Guglielmo Maria Caporale & Alessandro Girardi, 2016. "Business cycles, international trade and capital flows: evidence from Latin America," Empirical Economics, Springer, vol. 50(2), pages 231-252, March.
    19. Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019. "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 317-329, July.

  26. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.

    Cited by:

    1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?," Working Paper 2013/22, Norges Bank.
    2. Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
    3. Joseph P. Byrne & Boulis M. Ibrahim & Xiaoyu Zong, 2020. "Asset Prices and Capital Share Risks: Theory and Evidence," Papers 2006.14023, arXiv.org.
    4. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
    5. Larsen, Vegard H. & Thorsrud, Leif Anders & Zhulanova, Julia, 2021. "News-driven inflation expectations and information rigidities," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 507-520.
    6. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2023. "Towards a macroprudential regulatory framework for mutual funds?," Post-Print hal-04103373, HAL.
    7. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Hilde C. Bjørnland & Julia Skretting, 2024. "The shale oil boom and the US economy: Spillovers and time‐varying effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(6), pages 1000-1020, September.
    9. Felix Haase & Matthias Neuenkirch, 2023. "Macroeconomic Expectations and State-Dependent Factor Returns," CESifo Working Paper Series 10720, CESifo.
    10. Joseph P Byrne & Shuo Cao, 2024. "Decomposing Uncertainty in Macro-Finance Term Structure Models," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(3), pages 428-449.
    11. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    12. MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
    13. Casas Villalba, Maria Isabel & Mao, Xiuping & Lopes Moreira da Veiga, María Helena, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.

  27. Erik Berwart & Massimo Guidolin & Andreas Milidonis, 2013. "An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings," Working Papers 482, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Milidonis, Andreas, 2013. "Compensation incentives of credit rating agencies and predictability of changes in bond ratings and financial strength ratings," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3716-3732.
    2. Kraemer, Moritz & Klusak, Patrycja & Vu, Huong, 2020. "First-mover disadvantage - The sovereign ratings mousetrap," CEPS Papers 26352, Centre for European Policy Studies.
    3. Bhattacharya, Utpal & Wei, Kelsey D. & Xia, Han, 2019. "Follow the money: Investor trading around investor-paid credit rating changes," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 68-91.
    4. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    5. Bonsall, Samuel B. & Gillette, Jacquelyn R. & Pundrich, Gabriel & So, Eric, 2024. "Conflicts of interest in subscriber-paid credit ratings," Journal of Accounting and Economics, Elsevier, vol. 77(1).
    6. Quan M. P. Nguyen & Hung Xuan Do & Alexander Molchanov & Lily Nguyen & Nhut H. Nguyen, 2024. "Asymmetric trading responses to credit rating announcements from issuer‐ versus investor‐paid rating agencies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 51(1-2), pages 84-112, January.
    7. Tao Chen & Shinichi Kamiya & Pingyi Lou & Andreas Milidonis, 2023. "Analyst coverage, executive compensation and corporate risk‐taking: Evidence from property–casualty insurance firms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(4), pages 899-939, December.
    8. Florian Kiesel, 2021. "It's the tone, stupid! Soft information in credit rating reports and financial markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 553-585, September.
    9. Wai Choi Lee & Jianfu Shen & Tsun Se Cheong & Michal Wojewodzki, 2021. "Detecting conflicts of interest in credit rating changes: a distribution dynamics approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
    10. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P. & Papakyriakou, Panayiotis, 2015. "The adverse effects of systematic leakage ahead of official sovereign debt rating announcements," Journal of Financial Economics, Elsevier, vol. 116(3), pages 526-547.

  28. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Goodell, John W., 2019. "Comparing normative institutionalism with intended rationality in cultural-finance research," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 124-134.
    2. Loic Berger & Louis Eeckhoudt, 2021. "Risk, ambiguity, and the value of diversification," Working Papers 2021-iRisk-02, IESEG School of Management.
    3. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    5. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
    6. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Giulia Piccillo & Poramapa Poonpakdee, 2023. "Ambiguous Business Cycles, Recessions and Uncertainty: A Quantitative Analysis," CESifo Working Paper Series 10646, CESifo.
    8. Huyên Pham & Xiaoli Wei & Chao Zhou, 2021. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Working Papers hal-01867133, HAL.
    9. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    10. Eduard Gaar & David Scherer & Dirk Schiereck, 2022. "The home bias and the local bias: A survey," Management Review Quarterly, Springer, vol. 72(1), pages 21-57, February.
    11. Liu, Xuan & Liu, Haiyong & Cai, Zongwu, 2024. "Time-varying relative risk aversion: Theoretical mechanism and empirical evidence," Journal of Empirical Finance, Elsevier, vol. 78(C).
    12. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
    13. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    14. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    15. Junyong Lee & Kyounghun Lee & Frederick Dongchuhl Oh, 2023. "Religion and Equity Home Bias," Open Economies Review, Springer, vol. 34(5), pages 1015-1038, November.
    16. Huyen Pham & Xiaoli Wei & Chao Zhou, 2018. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Papers 1809.01464, arXiv.org, revised Dec 2021.
    17. Rossella Agliardi, 2018. "Value-at-risk under ambiguity aversion," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-13, December.
    18. Lin, Qian & Luo, Yulei & Sun, Xianming, 2022. "Robust investment strategies with two risky assets," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    19. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
    20. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).

  29. Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
    2. Tanha, Hassan & Dempsey, Michael, 2016. "The evolving dynamics of the Australian SPI 200 implied volatility surface," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 44-57.
    3. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    4. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
    5. Mingzhi Du & Jimmy E. Hilliard, 2025. "Informed Option Trading of Target Firms' Rivals Prior to M&A Announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1683-1692, October.
    6. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    7. Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
    8. Gradojevic Nikola, 2016. "Multi-criteria classification for pricing European options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 123-139, April.
    9. Wen, Conghua & Zhai, Jia & Wang, Yinuo & Cao, Yi, 2024. "Implied volatility is (almost) past-dependent: Linear vs non-linear models," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    10. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    11. Stavros Degiannakis & Panagiotis Delis & George Filis & George Giannopoulos, 2025. "Trading VIX on Volatility Forecasts: Another Volatility Puzzle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1602-1618, July.
    12. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    13. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
    14. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    15. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
    17. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    18. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
    19. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    20. Shi, Yunkun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng & Zhang, Xuan, 2022. "Stock price default boundary: A Black-Cox model approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    21. Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.
    22. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).

  30. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets," Working Papers 2011-003, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
    2. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
    3. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.

  31. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
    2. Blanka Horvath & Zacharia Issa & Aitor Muguruza, 2021. "Clustering Market Regimes using the Wasserstein Distance," Papers 2110.11848, arXiv.org.
    3. Pham, Linh & Nguyen, Canh Phuc, 2022. "How do stock, oil, and economic policy uncertainty influence the green bond market?," Finance Research Letters, Elsevier, vol. 45(C).
    4. Massimo Guidolin & Alexei Orlov, 2020. "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers 20146, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
    6. Jun Lu & Shao Yi, 2022. "Reducing Overestimating and Underestimating Volatility via the Augmented Blending-ARCH Model," Applied Economics and Finance, Redfame publishing, vol. 9(2), pages 48-59, May.
    7. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
    8. Ibrahim A. Onour, 2021. "The impact of COVID-19 pandemic shock on major Asian stock markets: evidence of decoupling effects," Economic Consultant, Scientific and Educational Initiative LLC, vol. 34(2), pages 21-32.
    9. Jean-Marie Dufour & Richard Luger, 2016. "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers 2016s-63, CIRANO.
    10. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
    11. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
    12. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
    13. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    14. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
    15. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
    16. Maddalena Cavicchioli, 2014. "Autocovariance and Linear Transformations of Markov Switching VARMA Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 275-289, December.
    17. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    18. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
    19. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    20. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    21. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    22. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    23. Balcilar, Mehmet & Usman, Ojonugwa & Duman, Gazi Murat, 2024. "Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions," Emerging Markets Review, Elsevier, vol. 62(C).
    24. Nabil Maghrebi & Mark J. Holmes & Kosuke Oya, 2014. "Financial instability and the short-term dynamics of volatility expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 24(6), pages 377-395, March.
    25. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
    26. Kristof Lommers & Ouns El Harzli & Jack Kim, 2021. "Confronting Machine Learning With Financial Research," Papers 2103.00366, arXiv.org, revised Mar 2021.
    27. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    28. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    29. Nikolaos Papanikolaou, 2020. "Markov-Switching Model of Family Income Quintile Shares," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(2), pages 207-222, June.
    30. Andrzej Geise & Mariola Pilatowska, 2013. "Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 175-194.
    31. Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
    32. Andrea Bucci & Vito Ciciretti, 2021. "Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models," Papers 2104.03667, arXiv.org.
    33. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
    34. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
    35. Yang, Lin & Pantelous, Athanasios A. & Assa, Hirbod, 2016. "Robust Stability, Stabilisation And H-Infinity Control For Premium-Reserve Models In A Markovian Regime Switching Discrete-Time Framework," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 747-778, September.
    36. Jun Lu & Shao Yi, 2022. "Reducing overestimating and underestimating volatility via the augmented blending-ARCH model," Papers 2203.12456, arXiv.org.
    37. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
    38. Pami Dua & Divya Tuteja, 2017. "Impact Of Eurozone Sovereign Debt Crisis On China And India," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(05), pages 1137-1164, December.
    39. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    40. Hanna, Alan J., 2018. "A top-down approach to identifying bull and bear market states," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 93-110.
    41. Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
    42. Raeid Saqur & Ken Kato & Nicholas Vinden & Frank Rudzicz, 2024. "NIFTY Financial News Headlines Dataset," Papers 2405.09747, arXiv.org.
    43. Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
    44. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2015. "Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?," BAFFI CAREFIN Working Papers 1619, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    45. Koslik, Jan-Ole, 2025. "Hidden semi-Markov models with inhomogeneous state dwell-time distributions," Computational Statistics & Data Analysis, Elsevier, vol. 209(C).
    46. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    47. Gökçer Özgür, 2021. "Shadow banking and financial intermediation," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 731-757, November.
    48. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
    49. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    50. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.

  32. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Gebka, Bartosz, 2025. "Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?," Economic Modelling, Elsevier, vol. 148(C).
    2. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
    3. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
    4. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2025. "Forecasting realised volatility using regime-switching models," International Review of Economics & Finance, Elsevier, vol. 101(C).
    5. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    6. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    7. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    8. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
    9. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.

  33. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.

    Cited by:

    1. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.
    2. Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
    3. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
    4. Fabio Bagliano & Carolina Fugazza & Giovanna Nicodano, 2013. "Optimal life-cycle portfolios for heterogeneous workers," Working Papers 260, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    5. Alice A. Melkumian, 2012. "The Opportunity Cost of Holding a “Naive” Portfolio," Journal of Economic Insight, Missouri Valley Economic Association, vol. 38(1), pages 23-42.
    6. Rohit Malhorta, 2016. "Demystifying Optimal Welfare Weights Controversy From A Social Strategist Perspective," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 5(2), pages 33-48, DECEMBER.
    7. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

  34. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Daniel L. Thornton, 2012. "The Federal Reserve’s response to the financial crisis: what it did and what it should have done," Working Papers 2012-050, Federal Reserve Bank of St. Louis.
    3. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    4. Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022. "Monetary policy expectation errors," BIS Working Papers 996, Bank for International Settlements.
    5. C.J.M. Kool & D.L. Thornton, 2012. "How Effective Is Central Bank Forward Guidance?," Working Papers 12-05, Utrecht School of Economics.
    6. Ayse Tuncer & Mehmet Ivrendi, 2025. "Exploring the Nexus Between Short- and Long-Run Rate of Interests in Turkey’s Bond Market," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 11(1), pages 39-62, June.
    7. Peter Tulip & Stephanie Wallace, 2012. "Estimates of Uncertainty around the RBA's Forecasts," RBA Research Discussion Papers rdp2012-07, Reserve Bank of Australia.
    8. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    9. Daniel L. Thornton, 2012. "Evidence on the portfolio balance channel of quantitative easing," Working Papers 2012-015, Federal Reserve Bank of St. Louis.
    10. Daniel L. Thornton, 2012. "Greenspan’s conundrum and the Fed’s ability to affect long-term yields," Working Papers 2012-036, Federal Reserve Bank of St. Louis.
    11. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    13. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    14. Michael Wickens, 2022. "Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis," Open Economies Review, Springer, vol. 33(3), pages 391-406, July.
    15. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
    16. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  35. Massimo Guidolin & Yu Man Tam, 2010. "A yield spread perspective on the great financial crisis: break-point test evidence," Working Papers 2010-026, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015. "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 247-256.
    2. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.
    3. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 3-11, March.
    5. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
    6. Rashad Hasanov & Prasad Sankar Bhattacharya, 2023. "Political regimes and financial crises," Scottish Journal of Political Economy, Scottish Economic Society, vol. 70(4), pages 285-318, September.
    7. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021. "Estimating yield spreads volatility using GARCH-type models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    8. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2013. "How did the financial crisis alter the correlations of U.S. yield spreads?," Working Papers 2013-005, Federal Reserve Bank of St. Louis.
    9. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    10. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    11. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    12. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
    13. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    14. Paul Francois Muzindutsi & Sinethemba Mposelwa, 2016. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in Brics Countries: A Multivariate Co-integration Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 289-304, October.
    15. Yahya, Muhammad & Allahdadi, Mohammad Reza & Uddin, Gazi Salah & Park, Donghyun & Wang, Gang-Jin, 2024. "Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets," Finance Research Letters, Elsevier, vol. 59(C).
    16. Elyas Elyasiani & Jason Keegan, 2017. "Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks," Working Papers 17-5, Federal Reserve Bank of Philadelphia.
    17. Choudhry, Taufiq, 2016. "Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 303-311.
    18. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.
    19. De Pace, Pierangelo & Weber, Kyle D., 2016. "The time-varying leading properties of the high yield spread in the United States," International Journal of Forecasting, Elsevier, vol. 32(1), pages 203-230.
    20. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
    21. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    22. Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
    23. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.

  36. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
    2. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.
    4. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    5. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    6. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance icma-dp2017-07, Henley Business School, University of Reading.
    7. Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2024. "Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks," Papers 2407.15532, arXiv.org, revised Feb 2025.
    8. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
    9. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    10. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.

  37. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.
    2. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    3. Panpan Zhu & Qingjie Zhou & Yinpeng Zhang, 2024. "Investor attention and consumer price index inflation rate: Evidence from the United States," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
    4. Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
    5. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Ana Sofia Monteiro & Helder Sebastião & Nuno Silva, 2025. "Prediction and Allocation of Stocks, Bonds, and REITs in the US Market," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1191-1230, March.
    7. Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, University of Reading.
    8. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    9. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
    10. Sander, Magnus, 2018. "Market timing over the business cycle," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 130-145.
    11. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
    12. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
    13. Ma, Feng & Wu, Hanlin & Zeng, Qing, 2024. "Biodiversity and stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    14. Ellington, Michael & Kalli, Maria, 2025. "Predictive distributions and the market return: The role of market illiquidity," European Journal of Operational Research, Elsevier, vol. 323(1), pages 309-322.
    15. Massimo Guidolin & Stuart Hyde, 2012. "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers 455, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. Conlon, Thomas & Cotter, John & Kynigakis, Iason, 2025. "Asset allocation with factor-based covariance matrices," European Journal of Operational Research, Elsevier, vol. 325(1), pages 189-203.
    17. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 205-232.
    18. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    19. Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    20. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    21. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
    22. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
    23. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    24. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    25. Monia Magnani & Massimo Guidolin, 2025. "Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles," BAFFI CAREFIN Working Papers 25252, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    26. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    27. Hao Chen & Zhixin Liu & Yinpeng Zhang & You Wu, 2020. "The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase," Sustainability, MDPI, vol. 12(6), pages 1-18, March.
    28. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    29. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    30. Constantin Anghelache & Madalina-Gabriela Anghel & Stefan Virgil Iacob, 2020. "The Market Risk Analysis By Quantification Method," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 170-180, October.
    31. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.

  38. Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers 2010-028, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    2. Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
    3. Eduardo Ariel Corso, 2014. "Ambiguity, ambiguity aversion and stores of value: The case of Argentina," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-13, December.
    4. Luis García‐Feijóo & Ariel M. Viale, 2023. "Ambiguity and risk factors in bank stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 993-1019, December.
    5. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
    6. Matthew Pritsker, 2012. "Knightian uncertainty and interbank lending," Supervisory Research and Analysis Working Papers RPA 12-4, Federal Reserve Bank of Boston.
    7. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
    8. Alexander Peysakhovich & Uma R. Karmarkar, 2016. "Asymmetric Effects of Favorable and Unfavorable Information on Decision Making Under Ambiguity," Management Science, INFORMS, vol. 62(8), pages 2163-2178, August.
    9. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    10. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
    11. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    12. Chen, An & Vanduffel, Steven & Wilke, Morten, 2025. "Optimal payoffs under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 320(3), pages 754-764.
    13. Rossella Agliardi, 2017. "Asymmetric Choquet random walks and ambiguity aversion or seeking," Theory and Decision, Springer, vol. 83(4), pages 591-602, December.
    14. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    15. Evren, Özgür, 2019. "Recursive non-expected utility: Connecting ambiguity attitudes to risk preferences and the level of ambiguity," Games and Economic Behavior, Elsevier, vol. 114(C), pages 285-307.
    16. Attaoui, Sami & Cao, Wenbin & Duan, Xiaoman & Liu, Hening, 2021. "Optimal capital structure, ambiguity aversion, and leverage puzzles," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    17. Mona Parsaei & Davood Askarany & Mahtab Maleki & Ali Rahmani, 2024. "Risk Management in Product Diversification: The Role of Managerial Overconfidence in Cost Stickiness—Evidence from Iran," Risks, MDPI, vol. 12(10), pages 1-21, September.
    18. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    19. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
    20. Aggarwal, Divya & Damodaran, Uday, 2020. "Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
    21. He, Ying & Dyer, James S. & Butler, John C. & Jia, Jianmin, 2019. "An additive model of decision making under risk and ambiguity," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 78-92.
    22. Antoniou, Constantinos & Harris, Richard D.F. & Zhang, Ruogu, 2015. "Ambiguity aversion and stock market participation: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 57-70.
    23. Huber, Christoph & Rose, Julia, 2020. "Do individual attitudes towards imprecision survive in experimental asset markets?," OSF Preprints bw8fc, Center for Open Science.
    24. Xiaoyu Cheng, 2022. "Robust Data-Driven Decisions Under Model Uncertainty," Papers 2205.04573, arXiv.org.
    25. Keyu Wu & Ernst Fehr & Sean Hofland & Martin Schonger, 2024. "On the psychological foundations of ambiguity and compound risk aversion," ECON - Working Papers 444, Department of Economics - University of Zurich.
    26. Christoph Kuzmics & Brian W. Rogers & Xiannong Zhang, 2022. "An Ellsberg paradox for ambiguity aversion," Graz Economics Papers 2022-05, University of Graz, Department of Economics.
    27. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
    28. Antoine Billot & Sujoy Mukerji & Jean-Marc Tallon, 2019. "Market Allocations under Ambiguity: A Survey," Working Papers 897, Queen Mary University of London, School of Economics and Finance.
    29. Aurélien Baillon & Zhenxing Huang & Asli Selim & Peter P. Wakker, 2018. "Measuring Ambiguity Attitudes for All (Natural) Events," Econometrica, Econometric Society, vol. 86(5), pages 1839-1858, September.
    30. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 85-105.
    31. Fast, Victoria & Sachs, Nikolai & Schnurr, Daniel, 2021. "Privacy Decision-Making in Digital Markets: Eliciting Individuals' Preferences for Transparency," 23rd ITS Biennial Conference, Online Conference / Gothenburg 2021. Digital societies and industrial transformations: Policies, markets, and technologies in a post-Covid world 238020, International Telecommunications Society (ITS).
    32. Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
    33. Len Patrick Dominic M. Garces & Yang Shen, 2024. "Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment," Papers 2407.02831, arXiv.org.
    34. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    35. Kim Peijnenburg, 2014. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," 2014 Meeting Papers 967, Society for Economic Dynamics.
    36. André, Eric, 2016. "Crisp monetary acts in multiple-priors models of decision under ambiguity," Journal of Mathematical Economics, Elsevier, vol. 67(C), pages 153-161.
    37. Kast, Robert & Lapied, André & Roubaud, David, 2014. "Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet–Brownian motions," Economic Modelling, Elsevier, vol. 38(C), pages 495-503.
    38. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    39. Takao Asano & Yusuke Osaki, 2023. "Cross Risk Apportionment and Non-financial Correlated Background Uncertainty," KIER Working Papers 1098, Kyoto University, Institute of Economic Research.
    40. Dennis Dlugosch & Kristian Horn & Mei Wang, 2014. "Behavioral determinants of home bias - theory and experiment," Working Papers 2014-11, Faculty of Economics and Statistics, Universität Innsbruck.
    41. Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".
    42. Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
    43. N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
    44. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    45. Eisei Ohtaki, 2016. "Optimality of the Friedman rule under ambiguity," Working Papers e103, Tokyo Center for Economic Research.
    46. Takayuki Ogawa & Jun Sakamoto, 2018. "Welfare Implications of Mitigating Investment Uncertainty," Discussion Papers in Economics and Business 18-33-Rev., Osaka University, Graduate School of Economics, revised Dec 2018.
    47. Massimo Marinacci, 2015. "Model Uncertainty," Working Papers 553, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    48. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
    49. Andrea Albertazzi & Friederike Mengel & Ronald Peeters, 2021. "Benchmarking information aggregation in experimental markets," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1500-1516, October.
    50. Alyssa G. Anderson, 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
    51. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    52. Fairley, Kim & Weitzel, Utz, 2017. "Ambiguity and risk measures in the lab and students’ real-life borrowing behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 67(C), pages 85-98.
    53. Takashi Nishiwaki, 2020. "Does Ambiguity Generate Demand for Options?," Working Papers 2011, Waseda University, Faculty of Political Science and Economics.
    54. Takayuki Ogawa & Jun Sakamoto, 2021. "Welfare implications of mitigating investment uncertainty," Annals of Finance, Springer, vol. 17(4), pages 559-582, December.
    55. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    56. Friberg, Richard & Seiler, Thomas, 2017. "Risk and ambiguity in 10-Ks: An examination of cash holding and derivatives use," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 608-631.
    57. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
    58. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
    59. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    60. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
    61. Anwer S. Ahmed & Andrew S. McMartin & Irfan Safdar, 2020. "Earnings volatility, ambiguity, and crisis‐period stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2939-2963, September.
    62. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018. "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers 2134R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2020.
    63. Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
    64. Lee, Deok-Hyeon & Min, Byoung-Kyu & Kim, Tong Suk, 2019. "Dispersion of beliefs, ambiguity, and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 43-56.
    65. Laakkonen, Helinä, 2015. "Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market," Bank of Finland Research Discussion Papers 4/2015, Bank of Finland.
    66. Garlappi, Lorenzo & Giammarino, Ron & Lazrak, Ali, 2017. "Ambiguity and the corporation: Group disagreement and underinvestment," Journal of Financial Economics, Elsevier, vol. 125(3), pages 417-433.
    67. Bäuerle, Nicole & Mahayni, Antje, 2024. "Optimal investment in ambiguous financial markets with learning," European Journal of Operational Research, Elsevier, vol. 315(1), pages 393-410.
    68. Wei-ling Chen & Leh-chyan So, 2014. "Validation of the Merton Distance to the Default Model under Ambiguity," JRFM, MDPI, vol. 7(1), pages 1-15, March.
    69. Karahan, Cenk C. & Soykök, Emre, 2022. "Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors," International Review of Financial Analysis, Elsevier, vol. 84(C).
    70. Kellerer, Belinda, 2019. "Portfolio Optimization and Ambiguity Aversion," Junior Management Science (JUMS), Junior Management Science e. V., vol. 4(3), pages 305-338.
    71. Eduardo A. Corso & Máximo Sangiácomo, 2023. "Financial de-dollarization in Argentina. When the wind always blows from the East," Working Papers 256, Red Nacional de Investigadores en Economía (RedNIE).
    72. Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.
    73. Aleksandr Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series 2016/04, European University at St. Petersburg, Department of Economics.
    74. Garces, Len Patrick Dominic M. & Shen, Yang, 2025. "Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment," European Journal of Operational Research, Elsevier, vol. 322(2), pages 693-712.
    75. Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
    76. Eisei Ohtaki & Hiroyuki Ozaki, 2015. "Monetary equilibria and Knightian uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 59(3), pages 435-459, August.
    77. Guillemin, François, 2020. "Governance by depositors, bank runs and ambiguity aversion," Research in International Business and Finance, Elsevier, vol. 54(C).
    78. Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
    79. Jim Engle-Warnick & Diego Pulido & Marine de Montaignac, 2016. "Trust, ambiguity, and financial decision-making," CIRANO Working Papers 2016s-44, CIRANO.
    80. Eduardo Corso & Maximo Sangiacomo, 2023. "Financial De-Dollarization in Argentina. When the Wind Always Blows from the East," BCRA Working Paper Series 2023106, Central Bank of Argentina, Economic Research Department.
    81. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
    82. My, Kene Boun & Brunette, Marielle & Couture, Stéphane & Van Driessche, Sarah, 2024. "Are ambiguity preferences aligned with risk preferences?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 111(C).
    83. Qi, Jin & Sim, Melvyn & Sun, Defeng & Yuan, Xiaoming, 2016. "Preferences for travel time under risk and ambiguity: Implications in path selection and network equilibrium," Transportation Research Part B: Methodological, Elsevier, vol. 94(C), pages 264-284.
    84. Tai-Yuen Hon & Massoud Moslehpour & Kai-Yin Woo, 2021. "Review on Behavioral Finance with Empirical Evidence," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 15-41, December.
    85. Aram Balagyozyan & Christos Giannikos, 2018. "Ambiguity and the Excess Consumption Growth Puzzle," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 5-15, June.
    86. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    87. Mayberry, Robert & Boles, James S. & Donthu, Naveen & Lucke, James T., 2024. "Crisis response in an era of Knightian uncertainty," Journal of Business Research, Elsevier, vol. 170(C).
    88. Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye, 2013. "Sparse Portfolio Selection via Quasi-Norm Regularization," Papers 1312.6350, arXiv.org.
    89. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
    90. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
    91. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    92. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
    93. Nicole Bauerle & Antje Mahayni, 2023. "Optimal investment in ambiguous financial markets with learning," Papers 2303.08521, arXiv.org, revised Feb 2024.
    94. Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.

  39. 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.

    Cited by:

    1. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    2. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
    3. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    4. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    6. Nuno Azevedo & Diogo Pinheiro & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2016. "Who would invest only in the risk-free asset?," Papers 1608.02446, arXiv.org.
    7. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    8. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    9. N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2018. "Who would invest only in the risk-free asset?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-14, September.
    10. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
    11. Meyer, Steffen & Uhr, Charline, 2024. "Ambiguity and private investors’ behavior after forced fund liquidations," Journal of Financial Economics, Elsevier, vol. 156(C).
    12. Alyssa G. Anderson, 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
    13. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    14. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
    15. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    16. Hassett, Kevin & Zhong, Weifeng, 2017. "On the Observational Implications of Knightian Uncertainty," MPRA Paper 82998, University Library of Munich, Germany.

  40. 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).

    Cited by:

    1. Aharon, David Y. & Ali, Shoaib & Brahim, Mariem, 2024. "Connectedness at extremes between real estate tokens and real estate stocks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    2. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    3. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    4. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    5. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.
    7. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
    8. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    9. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
    10. Agyemang, Abraham & Chowdhury, Iftekhar & Balli, Faruk, 2021. "Quantifying Return Spillovers in Global Real Estate Markets," Journal of Housing Economics, Elsevier, vol. 52(C).
    11. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
    12. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," Thema Working Papers 2017-20, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
    13. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.
    14. Yanotti, Maria B. & Kangogo, Moses & Wright, Danika & Sarkar, Somwrita & Lyu, Fei, 2024. "House price dynamics and internal migration across Australia," SocArXiv r5eg2, Center for Open Science.
    15. Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," New Challenges in Accounting and Finance, EUROKD, vol. 6, pages 31-49.
    16. Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    17. Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," Post-Print hal-03592183, HAL.
    18. Fabio Bagliano & Carolina Fugazza & Giovanna Nicodano, 2013. "Optimal life-cycle portfolios for heterogeneous workers," Working Papers 260, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    19. Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, June.
    20. Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2020. "Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?," Working Papers 2020100, University of Pretoria, Department of Economics.
    21. Salisu, Afees A. & Akinsomi, Omokolade & Ametefe, Frank Kwakutse & Hammed, Yinka S., 2024. "Gold market volatility and REITs' returns during tranquil and turbulent episodes," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    22. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
    23. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

  41. 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.

    Cited by:

    1. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 23-44, March.
    2. Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
    3. M. Mallikarjuna & R. Prabhakara Rao, 2019. "Evaluation of forecasting methods from selected stock market returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
    4. Juan Carlos Escanciano, 2010. "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models," CAEPR Working Papers 2010-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    5. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
    6. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
    7. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
    8. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.
    9. Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. Yi Wei, 2021. "Absolute Value Constraint: The Reason for Invalid Performance Evaluation Results of Neural Network Models for Stock Price Prediction," Papers 2101.10942, arXiv.org, revised Mar 2021.
    11. Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
    12. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
    13. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
    14. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    15. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
    16. Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019. "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, vol. 66(C).
    17. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    18. David G. McMillan, 2012. "Does non-linearity help us understand, model and forecast UK stock and bond returns: evidence from the BEYR," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 125-143, March.
    19. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    20. David G McMillan, 2012. "Long-run stock price-house price relation: evidence from an ESTR model," Economics Bulletin, AccessEcon, vol. 32(2), pages 1737-1746.
    21. Marcos López de Prado & Joseph Simonian & Francesco A. Fabozzi & Frank J. Fabozzi, 2025. "Enhancing Markowitz's portfolio selection paradigm with machine learning," Annals of Operations Research, Springer, vol. 346(1), pages 319-340, March.
    22. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Working Papers 202217, University of Pretoria, Department of Economics.
    23. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    24. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2025. "Forecasting realised volatility using regime-switching models," International Review of Economics & Finance, Elsevier, vol. 101(C).
    25. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    26. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    27. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
    28. Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    29. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
    30. George Kapetanios & James Mitchell & Yongcheol Shin, 2010. "A Nonlinear Panel Model of Cross-sectional Dependence," Working Papers 673, Queen Mary University of London, School of Economics and Finance.
    31. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
    32. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    33. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    34. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    35. Andrés Felipe Galeano Zurbaran, 2018. "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo 17208, Quantil.
    36. Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.
    37. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    38. Shiu-Sheng Chen, 2012. "Consumer confidence and stock returns over market fluctuations," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1585-1597, October.
    39. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    40. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    41. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    42. Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, Department of Economics and Business Economics, Aarhus University.
    43. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    44. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.

  42. 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.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    3. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
    4. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.

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

    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    2. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
    3. Emanuel R. Leao & Sergio C. Lagoa & David McMillan, 2015. "A contribution to the study of the German treasury bills market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1024927-102, December.
    4. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    5. Hans Patrick Bidias-Menik & Simplice Gaël Tonmo, 2020. "Interest Rate Predictability In Some Selected African Countries," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 45-60.
    6. C.J.M. Kool & D.L. Thornton, 2012. "How Effective Is Central Bank Forward Guidance?," Working Papers 12-05, Utrecht School of Economics.
    7. Paul Francois Muzindutsi & Sinethemba Mposelwa, 2016. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in Brics Countries: A Multivariate Co-integration Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 289-304, October.
    8. Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
    9. K. Azim Özdemir & Özgür Özel, 2011. "Regime changes in monetary policy and the Expectation Hypothesis of the term structure in Turkey," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 261-274, May.
    10. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    11. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    12. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
    13. Renato França & Raquel M. Gaspar, 2023. "On the Bias of the Unbiased Expectation Theory," Mathematics, MDPI, vol. 12(1), pages 1-20, December.
    14. Daniel L. Thornton, 2012. "How did we get to inflation targeting and where do we need to go to now? a perspective from the U.S. experience," Review, Federal Reserve Bank of St. Louis, vol. 94(Jan), pages 65-81.
    15. Daniel L. Thornton, 2009. "How did we get to inflation targeting and where do we go now? a perspective from the U.S. experience," Working Papers 2009-038, Federal Reserve Bank of St. Louis.

  44. 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.

    Cited by:

    1. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
    2. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    3. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Massimo Guidolin & Stuart Hyde, 2012. "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers 455, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
    6. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
    7. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    8. Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018. "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 92-108.

  45. 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.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Managi, Shunsuke & Okimoto, Tatsuyoshi & Matsuda, Akimi, 2012. "Do Socially Responsible Investment Indexes Outperform Conventional Indexes?," MPRA Paper 36662, University Library of Munich, Germany.
    3. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    4. Gurudeo Anand Tularam & Rajibur Reza, 2016. "Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1139437-113, December.
    5. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.

  46. Timmermann, Allan & Guidolin, Massimo, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    2. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    4. 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.
    5. Crespo-Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava & Obersteiner, Michael, 2021. "Regime-dependent commodity price dynamics: A predictive analysis," IHS Working Paper Series 28, Institute for Advanced Studies.
    6. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    7. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    8. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    10. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    12. Guidolin, Massimo & Thornton, Daniel L., 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 977, European Central Bank.
    13. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
    14. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
    15. Maddalena Cavicchioli, 2025. "Forecasting Markov switching vector autoregressions: Evidence from simulation and application," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(1), pages 136-152, January.
    16. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    17. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
    18. Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    19. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    20. Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
    21. Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
    22. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    23. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
    24. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    25. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    26. Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
    27. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    28. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
    29. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    30. Miguel Belmonte & Gary Koop, 2013. "Model Switching and Model Averaging in Time-Varying Parameter Regression Models," Working Papers 1302, University of Strathclyde Business School, Department of Economics.
    31. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
    32. Verena Monschang & Bernd Wilfling, 2025. "Formalizing a Postprocessing Procedure for Linear–Convex Combination Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1280-1293, July.
    33. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
    34. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
    35. Safari, Ali & Davallou, Maryam, 2018. "Oil price forecasting using a hybrid model," Energy, Elsevier, vol. 148(C), pages 49-58.
    36. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    37. Zi‐Yi Guo, 2021. "Out‐of‐sample performance of bias‐corrected estimators for diffusion processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 243-268, March.
    38. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
    39. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    40. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    41. 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.
    42. Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
    43. Hamid Baghestani & Mohammad Arzaghi & Ilker Kaya, 2015. "On the accuracy of Blue Chip forecasts of interest rates and country risk premiums," Applied Economics, Taylor & Francis Journals, vol. 47(2), pages 113-122, January.
    44. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
    45. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.
    46. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    47. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
    48. Audrino, Francesco & Serwart, Jan, 2024. "Yield curve trading strategies exploiting sentiment data," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

  47. Massimo Guidolin & Simona Mola, 2007. "Affiliated mutual funds and analyst optimism," Working Papers 2007-017, Federal Reserve Bank of St. Louis.

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    1. Benjamin Golez & José M. Marín, 2010. "Price support in the stock market," Working Papers 2010-16, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Zhang, Yuan-Yuan & Zhang, Yue-Jun, 2022. "The impact of institutional analyst forecast divergence on crude oil market: Evidence from the mixed frequency models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    3. Huang, Lixin & Li, Wei & Wang, Hong & Wu, Liansheng, 2022. "Stock dividend and analyst optimistic bias in earnings forecast," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 643-659.
    4. Liu, Guangqiang & Xie, Ziqin & Liu, Xiaowen & Zhang, Siyuan, 2024. "How does finance and accounting supervision affect stock price crash risk?," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    5. Bhattacharya, Utpal & Shon, Janghoon & Zhang, Yu, 2025. "Rating on a behavioral curve," Journal of Corporate Finance, Elsevier, vol. 91(C).
    6. Juyoun Ryoo & Cheolwoo Lee & Jin Q Jeon, 2020. "Sustainability of Analyst Recommendations in Multiple Lead Underwriter IPOs," Sustainability, MDPI, vol. 12(5), pages 1-36, March.
    7. Kam C. Chan & Xuanyu Jiang & Donghui Wu & Nianhang Xu & Hong Zeng, 2020. "When Is the Client King? Evidence from Affiliated‐Analyst Recommendations in China's Split‐Share Reform," Contemporary Accounting Research, John Wiley & Sons, vol. 37(2), pages 1044-1072, June.
    8. Kaplanski, Guy & Levy, Haim, 2017. "Analysts and sentiment: A causality study," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 315-327.
    9. Ayadi, Mohamed A. & Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2018. "Impact of sponsorship on fixed-income fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 121-137.
    10. Samie Ahmed Sayed, 2016. "Are Stars Worth Following? Measuring the Target Price Predictive Ability of Star Analysts in an Emerging Market," IIM Kozhikode Society & Management Review, , vol. 5(2), pages 173-185, July.
    11. Michael Firth & Chen Lin & Ping Liu & Yuhai Xuan, 2013. "The Client Is King: Do Mutual Fund Relationships Bias Analyst Recommendations?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 51(1), pages 165-200, March.
    12. Bagattini, Giulio & Fecht, Falko & Maddaloni, Angela, 2023. "Liquidity support and distress resilience in bank-affiliated mutual funds," SAFE Working Paper Series 385, Leibniz Institute for Financial Research SAFE.
    13. Wang, Ying & Liu, Zisen, 2024. "Under the dome: Air pollution and analyst forecast optimism," Research in International Business and Finance, Elsevier, vol. 70(PA).
    14. Ben, Fang & Li, Zhe & Sun, Jing & Wang, Hongmei & Zhao, Xin, 2024. "Ecological product value accounting and analyst behavior," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Wu, Yanran & Wu, Shan & Xu, Fujia & Jiang, Jie, 2024. "Wisdom of crowds or awkward squad? Social interaction and the information efficiency of the Chinese capital market," Research in International Business and Finance, Elsevier, vol. 71(C).
    16. Ouyang, Hongbing & Liu, Xiaojun & Huang, Kang, 2024. "Analyst cliques coverage and the speed of leverage adjustment: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 96(PC).
    17. Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei, 2019. "Do analyst recommendations matter for rival companies?," International Review of Financial Analysis, Elsevier, vol. 65(C).
    18. Krolikowski, Marcin W. & Chen, Gaole & Mohr, Joseph E., 2016. "Optimism pattern of all-star analysts," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 222-228.
    19. Jose N. Uribe, 2020. "Multipoint contact without forbearance? How coverage synergies shape equity analysts' forecasting performance," Strategic Management Journal, Wiley Blackwell, vol. 41(10), pages 1901-1932, October.
    20. Charitou, Andreas & Karamanou, Irene & Kopita, Anastasia, 2025. "Discontinuing analyst coverage due to resource reallocation: Euphemism for unfavorable firm outlook?," Journal of Corporate Finance, Elsevier, vol. 91(C).
    21. Prem G. Mathew & H. Semih Yildirim, 2015. "Does director affiliation lead to analyst bias?," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 272-287, January.
    22. Chih-Hsiang Chang & Shan-Shan Chen & Song-Lin Hsieh, 2017. "Asymmetric Reinforcement Learning and Conditioned Responses During the 2007–2009 Global Financial Crisis: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, June.
    23. Yury O. Kucheev & Felipe Ruiz & Tomas Sorensson, 2017. "Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine," Journal of Financial Services Research, Springer;Western Finance Association, vol. 52(3), pages 277-305, December.
    24. Huang, Haozhi & Li, Mingsheng & Shi, Jing, 2016. "Which matters: “Paying to play” or stable business relationship? Evidence on analyst recommendation and mutual fund commission fee payment," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 403-423.
    25. Golez, Benjamin & Marin, Jose M., 2015. "Price support by bank-affiliated mutual funds," Journal of Financial Economics, Elsevier, vol. 115(3), pages 614-638.
    26. Gong, Xiao-Li & Liu, Jia, 2023. "Institutional investor information network, analyst forecasting and stock price crash risk," Research in International Business and Finance, Elsevier, vol. 65(C).
    27. Chen, Chuanglian & Yuting, Lin & Bowei, Su & Shujie, Yao, 2025. "Peer effect of fund trading and the risk of individual stock," Journal of Asian Economics, Elsevier, vol. 97(C).
    28. Mengxue Li & Sheng Yao, 2025. "Can Climate Risk Disclosure Attract Analyst Coverage? A Study Based on the Dual Perspective of Information Supply and Demand," Sustainability, MDPI, vol. 17(9), pages 1-25, April.
    29. Ye, Xixi & Gao, Tao & Zhang, Meijia & Zheng, Zhanhao, 2025. "Concealment and detection: The influence of management tone on analyst forecast revisions," International Review of Financial Analysis, Elsevier, vol. 99(C).
    30. Jeremy Burke & Angela A. Hung & Jack Clift & Steven Garber & Joanne K. Yoong, 2015. "Impacts of Conflicts of Interest in the Financial Services Industry," Working Papers WR-1076, RAND Corporation.
    31. Gil Aharoni & Bryan Lim & Lubomir P. Litov & Jordan B. Neyland, 2023. "Expert advice in the presence of conflicts of interest: the case of star-crossed acquisitions," Review of Accounting Studies, Springer, vol. 28(4), pages 1972-2001, December.
    32. Sun, Lin & Teo, Melvyn, 2019. "Public hedge funds," Journal of Financial Economics, Elsevier, vol. 131(1), pages 44-60.
    33. Meng, Yifan & Yang, Mo & Li, Weiping, 2024. "Skilled analysts and earnings management in Chinese listed companies," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 227-243.
    34. Li, Yi & Zhang, Wei & Wang, Pengfei, 2021. "Working online or offline: Which is more effective?," Research in International Business and Finance, Elsevier, vol. 58(C).
    35. Felipe Cortes & Francisco Marcet, 2023. "Analysts’ Connections and M&A Outcomes," Management Science, INFORMS, vol. 69(7), pages 4108-4133, July.
    36. Luong, Thanh Son & Qiu, Buhui & Wu, Yi (Ava), 2021. "Does it pay to be socially connected with wall street brokerages? Evidence from cost of equity," Journal of Corporate Finance, Elsevier, vol. 68(C).
    37. Xu, Nianhang & Jiang, Xuanyu & Chan, Kam C. & Yi, Zhihong, 2013. "Analyst coverage, optimism, and stock price crash risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 217-239.
    38. Cheolwoo Lee, 2013. "Analyst firm parent–subsidiary relationship and conflict of interest: evidence from IPO recommendations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 763-789, September.
    39. Mary J. Benner & Ram Ranganathan, 2013. "Divergent Reactions to Convergent Strategies: Investor Beliefs and Analyst Reactions During Technological Change," Organization Science, INFORMS, vol. 24(2), pages 378-394, April.
    40. Chen, Tao & Harford, Jarrad & Lin, Chen, 2015. "Do analysts matter for governance? Evidence from natural experiments," Journal of Financial Economics, Elsevier, vol. 115(2), pages 383-410.
    41. Jiao, Yawen, 2024. "Managing decision fatigue: Evidence from analysts’ earnings forecasts," Journal of Accounting and Economics, Elsevier, vol. 77(1).
    42. William Baker & Gregory Dumont, 2014. "Equity Analyst Recommendations: A Case for Affirmative Disclosure?," Journal of Consumer Affairs, Wiley Blackwell, vol. 48(1), pages 96-123, March.
    43. Li, Qian & Liu, Shangqun, 2023. "Does alternative data reduce stock price crash risk? Evidence from third-party online sales disclosure in China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    44. Leilei Gu & Jinyu Liu & Yuchao Peng, 2022. "Locality Stereotype, CEO Trustworthiness and Stock Price Crash Risk: Evidence from China," Journal of Business Ethics, Springer, vol. 175(4), pages 773-797, February.
    45. Haozhi Huang & Mingsheng Li & Jing Shi, 2020. "Should Financial Gatekeepers be Publicly Traded?," Journal of Business Ethics, Springer, vol. 164(1), pages 175-200, June.
    46. Fu, Fanjie & Yao, Shujie & Fang, Jing & Zhang, Fan & Lin, Chuan, 2025. "CEOs' hometown connections and optimism in analyst earnings forecasts: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1031-1052.
    47. Yonca Ertimur & Volkan Muslu & Frank Zhang, 2011. "Why are recommendations optimistic? Evidence from analysts’ coverage initiations," Review of Accounting Studies, Springer, vol. 16(4), pages 679-718, December.
    48. Andreas Charitou & Irene Karamanou, 2020. "Sleeping with the enemy: should investment banks be allowed to engage in prop trading?," Review of Accounting Studies, Springer, vol. 25(2), pages 513-557, June.
    49. Jordan, Bradford D. & Liu, Mark H. & Wu, Qun, 2012. "Do investment banks listen to their own analysts?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1452-1463.
    50. Zhao, Chen & Li, Yubin & Govindaraj, Suresh & Zhong, Zhaodong (Ken), 2022. "CDS trading and analyst optimism," The British Accounting Review, Elsevier, vol. 54(4).
    51. Zhang, Chaolin & Yu, Fangbo, 2024. "Can local fintech development improve analysts’ earnings forecast accuracy? Evidence from China," Finance Research Letters, Elsevier, vol. 63(C).
    52. Wu, Yanran & Liu, Tingting & Han, Liyan & Yin, Libo, 2018. "Optimistic bias of analysts' earnings forecasts: Does investor sentiment matter in China?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 147-163.
    53. Mo, Kyoungwon & Lee, Kyung Yun, 2021. "Affiliated Mutual Fund Investments and Discretionary Accruals: Evidence from Korea," Finance Research Letters, Elsevier, vol. 43(C).
    54. Hirshleifer, David & Levi, Yaron & Lourie, Ben & Teoh, Siew Hong, 2019. "Decision fatigue and heuristic analyst forecasts," Journal of Financial Economics, Elsevier, vol. 133(1), pages 83-98.
    55. Li, Shi & Wu, Chaopeng & Yang, Shijie, 2021. "Affiliated block shareholders and analyst optimism," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    56. An, Suwei, 2023. "Essays on incentive contracts, M&As, and firm risk," Other publications TiSEM dd97d2f5-1c9d-47c5-ba62-f, Tilburg University, School of Economics and Management.
    57. Zeng, Yamin & Yuan, Qingbo & Zhang, Junsheng, 2015. "Blurred stars: Mutual fund ratings in the shadow of conflicts of interest," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 284-295.
    58. Chan, Jesse & Lin, Steve & Yu, Yong & Zhao, Wuyang, 2018. "Analysts’ stock ownership and stock recommendations," Journal of Accounting and Economics, Elsevier, vol. 66(2), pages 476-498.
    59. Sun, Qian & Cheng, Xiaoke & Gao, Shenghao & Yang, Mingjing, 2020. "Are SEO investors misled by analyst optimism bias? Evidence from investor bids in SEO auctions," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 90-104.
    60. Kong, Dongmin & Lin, Zhiyang & Wang, Yanan & Xiang, Junyi, 2021. "Natural disasters and analysts' earnings forecasts," Journal of Corporate Finance, Elsevier, vol. 66(C).
    61. Armen Hovakimian & Ekkachai Saenyasiri, 2014. "US Analyst Regulation and the Earnings Forecast Bias around the World," European Financial Management, European Financial Management Association, vol. 20(3), pages 435-461, June.
    62. Tupper, Christina H. & Guldiken, Orhun & Benischke, Mirko, 2018. "Capital market liability of foreignness of IPO firms," Journal of World Business, Elsevier, vol. 53(4), pages 555-567.

  48. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.

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    1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    2. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
    3. Marco Tronzano, 2020. "Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)," JRFM, MDPI, vol. 13(3), pages 1-21, February.
    4. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    5. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
    6. Nguyet Nguyen, 2018. "Hidden Markov Model for Stock Trading," IJFS, MDPI, vol. 6(2), pages 1-17, March.
    7. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
    8. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    9. Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
    10. Haibin Xie & Shouyang Wang, 2015. "Risk-return trade-off, information diffusion, and U.S. stock market predictability," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-20, December.
    11. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    12. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
    13. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
    14. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
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    16. Samuel Tabot Enow, 2025. "The intertemporal relationship between downside risks and expected stock returns: Evidence from time-varying transition probability models," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 7(2), pages 319-323, April.
    17. Felix Haase, 2024. "Sum-of-the-Parts Revised: Economic Regimes and Flexible Probabilities," Research Papers in Economics 2024-10, University of Trier, Department of Economics.
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    36. Kang-Soek Lee, 2017. "Safe-haven currency: An empirical identification," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 924-947, September.
    37. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
    38. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    39. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    40. Nguyet Nguyen & Dung Nguyen, 2015. "Hidden Markov Model for Stock Selection," Risks, MDPI, vol. 3(4), pages 1-19, October.
    41. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, May.
    42. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    43. Jang, Bong-Gyu & Kim, Kyeong Tae, 2015. "Optimal reinsurance and asset allocation under regime switching," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 37-47.
    44. Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
    45. Bera, Anil Kumar & Uyar, Umut & Kangalli Uyar, Sinem Guler, 2020. "Analysis of the five-factor asset pricing model with wavelet multiscaling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 414-423.
    46. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    47. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    48. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.
    49. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
    50. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
    51. Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
    52. Yousefi, Hamed & Najand, Mohammad, 2022. "Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
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    55. Li, Dakai, 2024. "Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 115-122.
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    6. Gino Cenedese, 2015. "Safe haven currencies: a portfolio perspective," Bank of England working papers 533, Bank of England.
    7. Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
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    11. Rabitsch, Katrin & Stepanchuk, Serhiy, 2014. "A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods," Department of Economics Working Paper Series 162, WU Vienna University of Economics and Business.
    12. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
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    161. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
    162. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
    163. Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019. "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 113-124.
    164. Ryo Kinoshita, 2015. "Asset allocation under higher moments with the GARCH filter," Empirical Economics, Springer, vol. 49(1), pages 235-254, August.
    165. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    166. 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.
    167. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    168. Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
    169. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    170. Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
    171. Byron J. Idrovo-Aguirre & Francisco J. Lozano & Javier E. Contreras-Reyes, 2021. "Prosperity or Real Estate Bubble? Exuberance Probability Index of Real Housing Prices in Chile," IJFS, MDPI, vol. 9(3), pages 1-24, September.
    172. Yudong Wang & Chongfeng Wu & Li Yang, 2015. "Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?," Management Science, INFORMS, vol. 61(12), pages 2870-2889, December.
    173. 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.
    174. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
    175. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
    176. Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    177. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    178. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    179. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    180. Cheng, Xin & Chen, Hongyi & Zhou, Yinggang, 2021. "Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis," Journal of International Money and Finance, Elsevier, vol. 113(C).
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    184. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
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  50. 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.

    Cited by:

    1. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    3. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
    4. 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.
    5. Giorgio Bellettini & Filippo Taddei, 2009. "Real Estate Prices and the Importance of Bequest Taxation," CESifo Working Paper Series 2577, CESifo.
    6. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    8. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
    9. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
    10. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
    11. Brière, Marie & Signori, Ombretta, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 27(1), pages 209-222.
    12. Christian Rehring, 2012. "Real Estate in a Mixed‐Asset Portfolio: The Role of the Investment Horizon," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 65-95, March.
    13. Bellettini Giorgio & Taddei Filippo & Zanella Giulio, 2013. "Bequest taxes, donations, and house prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 355-379, October.
    14. Zhu Bing, 2018. "The Time-Varying Nature of Reits," Real Estate Management and Valuation, Sciendo, vol. 26(1), pages 26-38, March.
    15. Diego A. Salzman & Remco C.J. Zwinkels, 2013. "Behavioural Real Estate," Tinbergen Institute Discussion Papers 13-088/IV/DSF58, Tinbergen Institute.
    16. Gregory H. MacKinnon & Ashraf Al Zaman, 2009. "Real Estate for the Long Term: The Effect of Return Predictability on Long‐Horizon Allocations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 117-153, March.
    17. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago.
    18. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    19. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    20. Zaghum Umar & Dennis Olson, 2022. "Strategic asset allocation and the demand for real estate: international evidence," Empirical Economics, Springer, vol. 62(5), pages 2461-2513, May.
    21. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    22. Eli Beracha & David H. Downs & Greg MacKinnon, 2017. "The 4% rule: Does real estate make a difference?," Journal of Property Research, Taylor & Francis Journals, vol. 34(3), pages 181-210, July.
    23. Diego Salzman, 2013. "Behavioural Real Estate," ERES eres2013_334, European Real Estate Society (ERES).
    24. Elias OIKARINEN & Martin HOESLI & Camilo SERRANO, 2009. "Linkages Between Direct and Securitized Real Estate," Swiss Finance Institute Research Paper Series 09-26, Swiss Finance Institute.
    25. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
    26. Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc, 2016. "Real estate investment: Market volatility and optimal holding period under risk aversion," Economic Modelling, Elsevier, vol. 58(C), pages 543-555.
    27. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
    28. Aekkachai NITTAYAGASETWAT & Jiroj BURANASIRI, 2016. "Performance Comparison Between Real Estate Securities and Real Estate Investment Using Stochastic Dominance and Mean-Variance Analysis," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 3(1), pages 208-219, October.
    29. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.
    30. Christian Rehring & Steffen Sebastian, 2011. "Dynamics of commercial real estate asset markets, return volatility and the investment horizon," Journal of Property Research, Taylor & Francis Journals, vol. 28(4), pages 291-315, June.
    31. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

  51. 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.

    Cited by:

    1. Nancy Matos Reyes & Robert McDonald & Jaime Rivera Camino, 2022. "La influencia del conflicto social y la licencia social para operar sobre el valor de la empresa," Estudios Gerenciales, Universidad Icesi, vol. 38(165), pages 406-423.
    2. Kashif Zaheer & Faheem Aslam & Yasir Tariq Mohmand & Paulo Ferreira, 2024. "On the Dynamic Changes in the Global Stock Markets’ Network during the Russia–Ukraine War," Economies, MDPI, vol. 12(2), pages 1-27, February.
    3. Hanedar, Avni Önder & Hanedar, Elmas Yaldız, 2017. "Ottoman stock returns during the Turco-Italian and Balkan Wars of 1910-1914," eabh Papers 17-02, The European Association for Banking and Financial History (EABH).
    4. Layna Mosley & Victoria Paniagua & Erik Wibbels, 2020. "Moving markets? Government bond investors and microeconomic policy changes," Economics and Politics, Wiley Blackwell, vol. 32(2), pages 197-249, July.
    5. Jamal Bouoiyour & Refk Selmi, 2019. "The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business," Papers 1903.08076, arXiv.org.
    6. Christos Kollias & Stephanos Papadamou, 2012. "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series 67, DIW Berlin, German Institute for Economic Research.
    7. Assis, T.P. & Cordeiro, F.F. & Schiavon, L.C., 2023. "How stock market reacts to environmental disasters and judicial decisions: A case study of Mariana’s dam collapse in Brazil," International Review of Law and Economics, Elsevier, vol. 73(C).
    8. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    9. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    10. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Sène, Babacar, 2022. "The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities," Finance Research Letters, Elsevier, vol. 50(C).
    11. Mr. Philip Barrett & Sophia Chen & Miss Mali Chivakul & Ms. Deniz O Igan, 2021. "Pricing Protest: The Response of Financial Markets to Social Unrest," IMF Working Papers 2021/079, International Monetary Fund.
    12. Akay, Alpaslan & Bargain, Olivier & Elsayed, Ahmed, 2018. "Everybody's a Victim? Global Terror, Well-Being and Political Attitudes," Working Papers in Economics 733, University of Gothenburg, Department of Economics.
    13. Godwin Olasehinde-Williams & Mehmet Balcilar, 2018. "The Long-run Effect of Geopolitical Risks on Insurance Premiums," Working Papers 15-44, Eastern Mediterranean University, Department of Economics.
    14. Vesco, P. & Baliki, G. & Brück, T. & Döring, S. & Eriksson, A. & Fjelde, H. & Guha-Sapir, D. & Hall, J. & Knutsen, C. H. & Leis, M. R. & Mueller, H. & Rauh, C. & Rudolfsen, I. & Swain, A., 2024. "The Impacts of Armed Conflict on Human Development," Janeway Institute Working Papers 2426, Faculty of Economics, University of Cambridge.
    15. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    16. Ofir D. Rubin & Rico Ihle, 2017. "Measuring Temporal Dimensions of the Intensity of Violent Political Conflict," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 132(2), pages 621-642, June.
    17. Kallberg, Jarl & Liu, Crocker H. & Pasquariello, Paolo, 2008. "Updating expectations: An analysis of post-9/11 returns," Journal of Financial Markets, Elsevier, vol. 11(4), pages 400-432, November.
    18. Jiang, Wei & Dong, Lingfei & Liu, Xutang & Zou, Liming, 2024. "Volatility spillovers among economic policy uncertainty, energy and carbon markets—The quantile time-frequency perspective," Energy, Elsevier, vol. 307(C).
    19. Boubaker, Sabri & Goodell, John W. & Pandey, Dharen Kumar & Kumari, Vineeta, 2022. "Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 48(C).
    20. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    21. Hanedar, Avni Önder & Yaldız Hanedar, Elmas, 2017. "Stock market reactions to wars and political risks: A cliometric perspective for a falling empire," MPRA Paper 85600, University Library of Munich, Germany, revised 25 Mar 2018.
    22. Pham, Linh & Hsu, Kuang-Chung, 2025. "Metals of the future in a world in crisis: Geopolitical disruptions and the cleantech metal industry," Energy Economics, Elsevier, vol. 141(C).
    23. Ramiah, Vikash & Wallace, Damien & Veron, Jose Francisco & Reddy, Krishna & Elliott, Robert, 2019. "The effects of recent terrorist attacks on risk and return in commodity markets," Energy Economics, Elsevier, vol. 77(C), pages 13-22.
    24. Klaus Abbink & Jordi Brandts & Benedikt Herrmann & Henrik Orzen, 2008. "Inter-Group Conflict and Intra-Group Punishment in an Experimental Contest Game," UFAE and IAE Working Papers 723.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    25. Bahar Ulupinar & Isa Camyar, 2025. "Geopolitics and investment cycles in the United States," Economics Bulletin, AccessEcon, vol. 45(2), pages 1013-1028.
    26. Shroff, Sumita & Agrawal, Nidhi & Paliwal, Udai Lal & Yadav, Miklesh Prasad, 2025. "How do selected asset classes react to sudden shocks? Evidence from Israel-Hamas conflict using Event Study approach," Research in International Business and Finance, Elsevier, vol. 75(C).
    27. Dominic Rohner, 2018. "Success Factors for Peace Treaties: A Review of Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 18.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    28. Chen, Stephen, 2017. "Profiting from FDI in conflict zones," Journal of World Business, Elsevier, vol. 52(6), pages 760-768.
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    74. MD ASIF UL ALAM & Erik Devos & Zifeng Feng, 2023. "Firm reaction to geopolitical crises: Evidence from the Russia‐Ukraine conflict," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 163-182, December.
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    80. Adekoya, Oluwasegun B. & Abakah, Emmanuel J.A. & Oliyide, Johnson A. & Luis A, Gil-Alana, 2023. "Factors behind the performance of green bond markets," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 92-106.
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  52. 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).

    Cited by:

    1. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.

  53. 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.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    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.
    4. Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    6. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
    7. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    8. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
    9. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    11. Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
    12. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    13. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
    14. Schlosser, William E., 2020. "Real price appreciation forecast tool: Two delivered log market price cycles in the Puget Sound markets of western Washington, USA, from 1992 through 2019," Forest Policy and Economics, Elsevier, vol. 113(C).
    15. 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.
    16. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    17. 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.
    18. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.

  54. 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).

    Cited by:

    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.
    2. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    3. 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.
    4. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
    6. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    7. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    8. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    9. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
    10. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    11. 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.
    12. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
    13. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

  55. 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.

    Cited by:

    1. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
    2. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
    3. Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas, 2013. "Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach," Working Papers 13-03, Office of Financial Research, US Department of the Treasury.
    4. Andr'es L. Su'arez-Cetrulo & Alejandro Cervantes & David Quintana, 2025. "ProteuS: A Generative Approach for Simulating Concept Drift in Financial Markets," Papers 2509.11844, arXiv.org.
    5. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 145-155.
    6. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
    7. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
    8. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    9. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
    10. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2010. "Value versus Growth: Time-Varying Expected Stock Returns," NBER Working Papers 15993, National Bureau of Economic Research, Inc.
    11. Thomas J.Flavin & Dolores Lagoa-Varela, 2019. "On the stability of Stock-bond comovements across market conditions in the Eurozone periphery," Economics Department Working Paper Series n295-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    12. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    13. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
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  56. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Avanidhar Subrahmanyam, 2008. "Learning from experience and trading volume," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 245-260, December.
    3. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
    4. Du, Kai, 2019. "Investor expectations, earnings management, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 134-157.
    5. Hommes, C.H. & Zhu, M., 2012. "Behavioral Learning Equilibria," CeNDEF Working Papers 12-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    6. Christos Koulovatianos, 2015. "Strategic Exploitation of a Common-Property Resource Under Rational Learning About its Reproduction," Dynamic Games and Applications, Springer, vol. 5(1), pages 94-119, March.
    7. Avanidhar Subrahmanyam, 2009. "Optimal financial education," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 1-9, January.
    8. Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
    9. Wieland, Volker & Koulovatianos, Christos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers 8514, C.E.P.R. Discussion Papers.
    10. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
    11. Bullard, James & Suda, Jacek, 2016. "The stability of macroeconomic systems with Bayesian learners," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 1-16.
    12. Ken Kangda Wren, 2025. "The Risk-Neutral Equivalent Pricing of Model-Uncertainty," Papers 2502.13744, arXiv.org, revised Oct 2025.
    13. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
    14. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    15. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. 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.
    17. Koulovatianos, Christos, 2010. "A Paradox of Environmental Awareness Campaigns," MPRA Paper 27260, University Library of Munich, Germany.
    18. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    19. Subrahmanyam, Avanidhar, 2008. "Learning from experience and trading volume," Review of Financial Economics, Elsevier, vol. 17(4), pages 245-260, December.
    20. Consiglio, Andrea & Russino, Annalisa, 2007. "How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1910-1937, June.
    21. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll‐over Assumption for the Risk‐Free Asset," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 125-157, September.
    22. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
    23. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    24. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    25. Gandré, Pauline, 2020. "US stock prices and recency-biased learning in the run-up to the Global Financial Crisis and its aftermath," Journal of International Money and Finance, Elsevier, vol. 104(C).

  57. 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.

    Cited by:

    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
    2. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," Risks, MDPI, vol. 12(2), pages 1-26, February.
    3. Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019. "Investor experiences and international capital flows," Economics Working Papers 1710, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Francis E. Warnock, 2001. "Home bias and high turnover reconsidered," International Finance Discussion Papers 702, Board of Governors of the Federal Reserve System (U.S.).
    5. Chad Cleaver & Francis E. Warnock, 2002. "Financial centers and the geography of capital flows," International Finance Discussion Papers 722, Board of Governors of the Federal Reserve System (U.S.).
    6. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    8. Geoffrey J. Warren, 2010. "Equity home bias in Australian superannuation funds," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 69-93, April.
    9. Massimo Guidolin & Francesca Rinaldi, 2011. "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature," Working Papers 417, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Chan, Kalok & Covrig, Vicentiu, 2012. "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 793-817.
    11. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers 1016, Board of Governors of the Federal Reserve System (U.S.).

  58. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
    2. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2010. "Value versus Growth: Time-Varying Expected Stock Returns," NBER Working Papers 15993, National Bureau of Economic Research, Inc.
    3. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
    4. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    5. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.
    6. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    7. Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Yizhan Shu & John M. Mulvey, 2024. "Dynamic Factor Allocation Leveraging Regime-Switching Signals," Papers 2410.14841, arXiv.org.
    9. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    10. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2023. "Towards a macroprudential regulatory framework for mutual funds?," Post-Print hal-04103373, HAL.
    11. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    12. 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.
    13. 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.
    14. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
    15. Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
    16. Kontonikas, Alexandros & Kostakis, Alexandros, 2010. "On monetary policy and stock market anomalies," SIRE Discussion Papers 2010-103, Scottish Institute for Research in Economics (SIRE).
    17. González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
    18. Chih-Nan Chen & Chien-Hsiu Lin, 2022. "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 483-506, August.
    19. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    20. Raeid Saqur, 2024. "What Teaches Robots to Walk, Teaches Them to Trade too -- Regime Adaptive Execution using Informed Data and LLMs," Papers 2406.15508, arXiv.org.
    21. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
    22. Chung, San-Lin & Hung, Mao-Wei & Wei, Tzu-Wen & Yeh, Chung-Ying, 2024. "Strategic asset allocation with distorted beliefs," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 804-831.
    23. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, vol. 164(1), pages 60-78, September.
    24. Elizabeth Fons & Paula Dawson & Jeffrey Yau & Xiao-jun Zeng & John Keane, 2019. "A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing," Papers 1902.10849, arXiv.org.
    25. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
    26. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
    27. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
    28. Jieting Chen & Yuichiro Kawaguchi, 2018. "Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market," IJFS, MDPI, vol. 6(2), pages 1-19, May.
    29. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    30. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
    31. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
    32. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    33. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    34. Carol Alexander & Anca Dimitriu, 2005. "Detecting Switching Strategies in Equity Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-07, Henley Business School, University of Reading.
    35. Azamat Abdymomunov & James Morley, 2011. "Time variation of CAPM betas across market volatility regimes," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1463-1478.
    36. Yoldas Emre, 2012. "Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-37, December.
    37. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
    38. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    39. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    40. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    41. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
    42. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
    43. Erdemlioglu, Deniz & Joliet, Robert, 2019. "Long-term asset allocation, risk tolerance and market sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 1-19.
    44. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.

  59. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(1), pages 123-150, September.
    2. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    3. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. 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.
    5. Jacek Suda, 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
    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.

  60. 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.

    Cited by:

    1. Amine Bouden, 2008. "The Behavior Of The Implied Volatility Surface: Evidence From Crude Oil Futures Options," World Scientific Book Chapters, in: Mondher Bellalah & Jean-Luc Prigent & Jean-Michel Sahut & Georges Pariente & Olivier Levyne & Michel (ed.), Risk Management And Value Valuation and Asset Pricing, chapter 8, pages 151-175, World Scientific Publishing Co. Pte. Ltd..
    2. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
    3. Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.

  61. 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.

    Cited by:

    1. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
    2. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
    3. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.

  62. 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.

    Cited by:

    1. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
    2. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
    3. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    4. Le, Van & Zurbruegg, Ralf, 2010. "The role of trading volume in volatility forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 533-555, December.
    5. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
    6. Liu, Xialu & Xiao, Han & Chen, Rong, 2016. "Convolutional autoregressive models for functional time series," Journal of Econometrics, Elsevier, vol. 194(2), pages 263-282.
    7. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
    8. Chen, Si & Zhou, Zhen & Li, Shenghong, 2016. "An efficient estimate and forecast of the implied volatility surface: A nonlinear Kalman filter approach," Economic Modelling, Elsevier, vol. 58(C), pages 655-664.
    9. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
    10. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    11. Yue, Tian & Li, Lu-Lu & Ruan, Xinfeng & Zhang, Jin E., 2024. "Smirking in the energy market: Evidence from the Chinese crude oil options market," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    12. Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
    13. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    14. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
    15. Shao, Hualu & Zhou, Baicheng & Gong, Shaoqing, 2025. "Prediction of the implied volatility surface–An empirical analysis of the SSE 50ETF option based on CNNs," Finance Research Letters, Elsevier, vol. 77(C).
    16. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    17. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
    18. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    19. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    20. Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    22. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    23. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
    24. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    25. Pham, Linh & Do, Hung Xuan, 2022. "Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management," Energy Economics, Elsevier, vol. 112(C).
    26. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    27. Chunbo Liu & Cheng Zhang & Zhiping Zhou, 2018. "From funding liquidity to market liquidity: Evidence from the index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1189-1205, October.
    28. Francesco Audrino & Dominik Colagelo, 2007. "Forecasting Implied Volatility Surfaces," University of St. Gallen Department of Economics working paper series 2007 2007-42, Department of Economics, University of St. Gallen.
    29. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    30. Jiayi Luo & Cindy Long Yu, 2023. "The Application of Symbolic Regression on Identifying Implied Volatility Surface," Mathematics, MDPI, vol. 11(9), pages 1-28, April.
    31. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    32. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the term structure of option implied volatility: The power of an adaptive method," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
    33. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    34. Zihao Chen & Yuyang Li & Cindy Long Yu, 2024. "Modeling Implied Volatility Surface Using B-Splines with Time-Dependent Coefficients Predicted by Tree-Based Machine Learning Methods," Mathematics, MDPI, vol. 12(7), pages 1-30, April.
    35. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
    36. Jiahao Weng & Yan Xie, 2024. "Degree of Irrationality: Sentiment and Implied Volatility Surface," Papers 2405.11730, arXiv.org.
    37. Mihir Dash, 2019. "Modeling of implied volatility surfaces of nifty index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-11, September.
    38. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
    39. Lim, Kian Guan & Chen, Ying & Yap, Nelson K.L., 2019. "Intraday information from S&P 500 Index futures options," Journal of Financial Markets, Elsevier, vol. 42(C), pages 29-55.
    40. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    41. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
    42. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    43. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    44. Yue, Tian & Gehricke, Sebastian A. & Zhang, Jin E. & Pan, Zheyao, 2021. "The implied volatility smirk in the Chinese equity options market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    45. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
    46. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
    47. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    48. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.
    49. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
    50. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    51. Jia, Xiaolan & Ruan, Xinfeng & Zhang, Jin E., 2023. "Carr and Wu’s (2020) framework in the oil ETF option market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    52. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    53. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.

  63. 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.

    Cited by:

    1. Andrew Ang & Geert Bekaert, 2003. "How do Regimes Affect Asset Allocation?," NBER Working Papers 10080, National Bureau of Economic Research, Inc.
    2. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
    3. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
    4. Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, University Library of Munich, Germany.
    5. Julian, Inchauspe & Helen, Cabalu, 2013. "What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals," MPRA Paper 93049, University Library of Munich, Germany.
    6. Rihab Bedoui & Houda BenMabrouk, 2017. "CAPM with various utility functions: Theoretical developments and application to international data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343230-134, January.
    7. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
    8. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    9. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns under switching regimes - a new test of market efficiency," Cardiff Economics Working Papers E2006/13, Cardiff University, Cardiff Business School, Economics Section.
    10. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    11. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    12. Takahiro Komatsu & Naoki Makimoto, 2015. "Dynamic Investment Strategy with Factor Models Under Regime Switches," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 209-237, May.
    13. Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
    14. Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. Marie Briere & Alexandre Burgues & Ombretta Signori, 2008. "Volatility Exposure for Strategic Asset Allocation," Working Papers CEB 08-034.RS, ULB -- Universite Libre de Bruxelles.
    16. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.

  64. 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.

    Cited by:

    1. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
    2. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
    3. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    4. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
    5. J. Sa‐Aadu & James Shilling & Ashish Tiwari, 2010. "On the Portfolio Properties of Real Estate in Good Times and Bad Times1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 529-565, September.
    6. 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.
    7. Minford, Patrick & Peel, David & Meenagh, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers.
    8. John Powell & Rubén Roa & Jing Shi & Viliphonh Xayavong, 2007. "A Test for Long-Term Cyclical Clustering of Stock Market Regimes," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 205-221, December.
    9. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
    10. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
    11. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
    12. 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.
    13. Bernd Scherer, 2009. "A note on portfolio choice for sovereign wealth funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 315-327, September.
    14. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.

  65. La Ferrara, Eliana & Guidolin, Massimo, 2004. "Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms?," CEPR Discussion Papers 4668, C.E.P.R. Discussion Papers.

    Cited by:

    1. Burger, Martijn & Ianchovichina, Elena & Rijkers, Bob, 2013. "Risky business : political instability and greenfield foreign direct investment in the Arab world," Policy Research Working Paper Series 6716, The World Bank.
    2. Guilhem Cassan & Marc Sangnier, 2022. "The impact of 2020 French municipal elections on the spread of COVID-19," Journal of Population Economics, Springer;European Society for Population Economics, vol. 35(3), pages 963-988, July.
    3. Schneider, Anselm & Hinton, Jennifer & Collste, David & González, Tais Sonetti & Cortes-Calderon, Sofia Valeria & Aguiar, Ana Paula, 2019. "Matters arising: Can transnational corporations leverage systemic change towards a "sustainable" future?," SocArXiv c4ak5, Center for Open Science.
    4. Libman, Alexander & Stone, Randall W. & Vinokurov, Evgeny, 2022. "Russian power and the state-owned enterprise," European Journal of Political Economy, Elsevier, vol. 73(C).
    5. Verwimp, Philip & Van Bavel, Jan, 2013. "Schooling, violent conflict, and gender in Burundi," Policy Research Working Paper Series 6418, The World Bank.
    6. Mitchener, Kris James & Oosterlinck, Kim & Weidenmier, Marc D. & Haber, Stephen, 2015. "Victory or repudiation? Predicting winners in civil wars using international financial markets," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 310-319.
    7. Michael Callen & Jonathan Weigel & Noam Yuchtman & Michael J. Callen, 2023. "Experiments about Institutions," CESifo Working Paper Series 10833, CESifo.
    8. Panel, Sophie & Pietri, Antoine, 2022. "God did not save the kings: Environmental consequences of the 1982 Falklands War," Ecological Economics, Elsevier, vol. 201(C).
    9. Wolfgang Stojetz & Tilman Brück, 2023. "Exposure to collective gender-based violence causes intimate partner violence," HiCN Working Papers 389, Households in Conflict Network.
    10. Draca, Mirko & Garred, Jason & Stickland, Leanne & Warrinnier, Nele, 2022. "On Target? The Incidence of Sanctions Across Listed Firms in Iran," The Warwick Economics Research Paper Series (TWERPS) 1400, University of Warwick, Department of Economics.
    11. Li Dai & Lorraine Eden & Paul W. Beamish, 2017. "Caught in the crossfire: Dimensions of vulnerability and foreign multinationals' exit from war-afflicted countries," Strategic Management Journal, Wiley Blackwell, vol. 38(7), pages 1478-1498, July.
    12. Ndikumana, Léonce & Sarr, Mare, 2019. "Capital flight, foreign direct investment and natural resources in Africa," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    13. Qian, Nancy & Nunn, Nathan, 2012. "Aiding Conflict: The Impact of U.S. Food Aid on Civil War," CEPR Discussion Papers 8799, C.E.P.R. Discussion Papers.
    14. Saeed Ghasseminejad & Mohammad R. Jahan-Parvar, 2020. "The Impact of Financial Sanctions: The Case of Iran 2011-2016," International Finance Discussion Papers 1281, Board of Governors of the Federal Reserve System (U.S.).
    15. Lei, Yu-Hsiang & Michaels, Guy, 2011. "Do giant oilfield discoveries fuel internal armed conflicts?," LSE Research Online Documents on Economics 48088, London School of Economics and Political Science, LSE Library.
    16. 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.
    17. Richard Akresh & Philip Verwimp & Tom Bundervoet, 2011. "Civil War, Crop Failure, and Child Stunting in Rwanda," Economic Development and Cultural Change, University of Chicago Press, vol. 59(4), pages 777-810.
    18. Eder, Christoph & Halla, Martin & Hilmbauer-Hofmarcher, Philipp, 2024. "The Long-Term Effects of Military Occupations: Evidence from Post-World War II Austria," Department of Economics Working Paper Series 366, WU Vienna University of Economics and Business.
    19. Singh, Prakarsh, 2011. "Impact of terrorism on investment decisions of farmers: evidence from the Punjab insurgency," MPRA Paper 33328, University Library of Munich, Germany.
    20. Carly Petracco & Helena Schweiger, 2012. "The impact of armed conflict on firms’ performance and perceptions," Working Papers 152, European Bank for Reconstruction and Development, Office of the Chief Economist.
    21. Sonno, Tommaso, 2020. "Globalization and conflicts: the good, the bad and the ugly of corporations in Africa," LSE Research Online Documents on Economics 108225, London School of Economics and Political Science, LSE Library.
    22. Le, Kien & Nguyen, My, 2018. "Aerial Bombardment and Educational Attainment," MPRA Paper 90766, University Library of Munich, Germany.
    23. Roxana Guti'errez-Romero, 2024. "Femicide Laws, Unilateral Divorce, and Abortion Decriminalization Fail to Stop Women from Being Killed in Mexico," Papers 2407.06722, arXiv.org, revised Jul 2025.
    24. François-Xavier Delaloye & Michel Habib & Alexandre Ziegler, 2012. "Swiss banking secrecy: the stock market evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 143-176, March.
    25. Ksoll, Christopher & Macchiavello, Rocco & Morjaria, Ameet, 2023. "Electoral violence and supply chain disruptions in Kenya's floriculture industry," LSE Research Online Documents on Economics 112128, London School of Economics and Political Science, LSE Library.
    26. Mr. Philip Barrett & Sophia Chen & Miss Mali Chivakul & Ms. Deniz O Igan, 2021. "Pricing Protest: The Response of Financial Markets to Social Unrest," IMF Working Papers 2021/079, International Monetary Fund.
    27. Ouarda Merrouche, 2006. "Economic Consequences of Wars: Evidence from Landmine Contamination in Mozambique," Economics Working Papers ECO2006/22, European University Institute.
    28. Bundervoet, Tom & Verwimp, Philip & Akresh, Richard, 2007. "Health and Civil War in Rural Burundi," IZA Discussion Papers 2951, Institute of Labor Economics (IZA).
    29. Richard Akresh & Leonardo Lucchetti & Harsha Thirumurthy, 2010. "Wars and Child Health: Evidence from the Eritrean-Ethiopian Conflict," HiCN Working Papers 89, Households in Conflict Network.
    30. Macchiavello, Rocco & Morjaria, Ameet & Ksoll, Christopher, 2010. "The Effect of Ethnic Violence on an Export-Oriented Industry," CEPR Discussion Papers 8074, C.E.P.R. Discussion Papers.
    31. Bocar A. Ba & Abdoulaye Ndiaye & Roman G. Rivera & Alexander Whitefield, 2024. "Mispricing Narratives after Social Unrest," Opportunity and Inclusive Growth Institute Working Papers 096, Federal Reserve Bank of Minneapolis.
    32. Marc Rockmore, 2011. "The Cost of Fear: The Welfare Effects of the Risk of Violence in Northern Uganda," HiCN Working Papers 109, Households in Conflict Network.
    33. Luca David Opromolla & Giordano Mion, 2017. "The Diffusion of Knowledge via Managers' Mobility," Working Papers w201701, Banco de Portugal, Economics and Research Department.
    34. Abdelaziz Eissa, Mohamed & Al Refai, Hisham, 2024. "Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study," International Review of Economics & Finance, Elsevier, vol. 94(C).
    35. Armand Mboutchouang Kountchou & Soazic Elise Wang Sonne & Gadom Djal Gadom, 2019. "The Local Impact of Armed Conflict on Children’s Nutrition and Health Outcomes: Evidence from Chad," HiCN Working Papers 301, Households in Conflict Network.
    36. Federle, Jonathan & Meier, André & Müller, Gernot J. & Mutschler, Willi & Schularick, Moritz, 2024. "The price of war," Kiel Working Papers 2262, Kiel Institute for the World Economy (IfW Kiel).
    37. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    38. Ofir D. Rubin & Rico Ihle, 2017. "Measuring Temporal Dimensions of the Intensity of Violent Political Conflict," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 132(2), pages 621-642, June.
    39. Carol Reade & Mark McKenna & Jennifer Oetzel, 2019. "Unmanaged migration and the role of MNEs in reducing push factors and promoting peace: A strategic HRM perspective," Journal of International Business Policy, Palgrave Macmillan, vol. 2(4), pages 377-396, December.
    40. Zhang, Wenwen & Chiu, Yi-Bin & Hsiao, Cody Yu-Ling, 2022. "Effects of country risks and government subsidies on renewable energy firms’ performance: Evidence from China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 158(C).
    41. Juan F. Vargas, 2011. "The persistent colombian conflict bubnational analysis of the duration of violence," Documentos de Trabajo 7934, Universidad del Rosario.
    42. Morales, Javier & Tercero, Víctor & Camacho-Vallejo, José-Fernando & Cordero, Alvaro E. & López Nerio, Luis E. & Almaguer, F-Javier, 2016. "Trend and fractality assessment of Mexico’s stock exchange," Applied Mathematics and Computation, Elsevier, vol. 285(C), pages 103-113.
    43. Nadav Ben Itzhak, 2018. "The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem," Bank of Israel Working Papers 2018.08, Bank of Israel.
    44. Del Prete, Davide & Di Maio, Michele & Rahman, Aminur, 2023. "Firms amid conflict: Performance, production inputs, and market competition," Journal of Development Economics, Elsevier, vol. 164(C).
    45. Suphi Sen & Marie-Theres von Schickfus, 2017. "Will Assets be Stranded or Bailed Out? Expectations of Investors in the Face of Climate Policy," ifo Working Paper Series 238, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    46. Leonce Ndikumana & Mare Sarr, 2019. "Capital Flight, Foreign Direct Investment and Natural Resources in Africa," UMASS Amherst Economics Working Papers 2019-12, University of Massachusetts Amherst, Department of Economics.
    47. Le, Kien & Nguyen, My, 2022. "War and Intimate Partner Violence in Africa," MPRA Paper 114507, University Library of Munich, Germany.
    48. Ouarda Merrouche, 2007. "Landmines, Poverty and Recovery: Instrumental Variables Evidence from Mozambique," Working Papers 200709, Geary Institute, University College Dublin.
    49. Galasso, Vincenzo, 2022. "The cost of political uncertainty: Evidence from Catalonia," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 250-259.
    50. Dominic Rohner, 2018. "Success Factors for Peace Treaties: A Review of Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 18.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    51. PatriÌ cia Justino & Wolfgang Stojetz, 2018. "On the Legacies of Wartime Governance," HiCN Working Papers 263, Households in Conflict Network.
    52. Chen, Stephen, 2017. "Profiting from FDI in conflict zones," Journal of World Business, Elsevier, vol. 52(6), pages 760-768.
    53. Manuel Hoffmann & Matthias Neuenkirch, 2015. "The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine," Research Papers in Economics 2015-01, University of Trier, Department of Economics.
    54. Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer, 2014. "Trend and Fractality Assessment of Mexico's Stock Exchange," Papers 1411.3399, arXiv.org.
    55. Arinze Nwokolo, 2018. "Oil Price Shocks and Civil Conflict: Evidence from Nigeria," HiCN Working Papers 274, Households in Conflict Network.
    56. Elster, Yael & Zussman, Asaf & Zussman, Noam, 2017. "Rockets: The housing market effects of a credible terrorist threat," Journal of Urban Economics, Elsevier, vol. 99(C), pages 136-147.
    57. Klapper, Leora & Richmond, Christine & Tran, Trang, 2013. "Civil conflict and firm performance : evidence from Cote d'Ivoire," Policy Research Working Paper Series 6640, The World Bank.
    58. Bernal, Carolina & Prem, Mounu & Vargas, Juan F. & Ortiz, Mónica, 2024. "Peaceful entry: Entrepreneurship dynamics during Colombia’s peace agreement," Journal of Development Economics, Elsevier, vol. 166(C).
    59. Bashar Abu Khalaf & Munirah Sarhan AlQahtani & Maryam Saad Al-Naimi & Meya Mardini, 2025. "Geopolitical Risk and Its Influence on Egyptian Non-Financial Firms’ Performance: The Moderating Role of FinTech," FinTech, MDPI, vol. 4(3), pages 1-20, July.
    60. Xiuping Ji & Naipeng (Tom) Bu & Chen Zheng & Honggen Xiao & Caixia Liu & Xuesheng Chen & Kangping Wang, 2024. "Stock market reaction to the COVID-19 pandemic: an event study," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 167-186, January.
    61. David Kreitmeir & Nathan Lane & Paul A. Raschky, 2020. "The Value of Names - Civil Society, Information, and Governing Multinationals on the Global Periphery," SoDa Laboratories Working Paper Series 2020-10, Monash University, SoDa Laboratories.
    62. Claudia Custodio & Bernardo Mendes & Diogo Mendes, 2021. "Firm responses to violent conflicts," NOVAFRICA Working Paper Series wp2106, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
    63. García, Juana & Rettberg, Angelika & Dupont, Federico, 2024. "Unpacking the peace dividend: A subnational analysis of the relationship between business, peace, and economic growth in nine Colombian cities," Business Horizons, Elsevier, vol. 67(6), pages 755-768.
    64. Wiig, Arne & Kolstad, Ivar, 2010. "Multinational corporations and host country institutions: A case study of CSR activities in Angola," International Business Review, Elsevier, vol. 19(2), pages 178-190, April.
    65. Mirko Draca & Jason Garred & Leanne Stickland & Nele Warrinnier, 2023. "On Target? Sanctions and the Economic Interests of Elite Policymakers in Iran," The Economic Journal, Royal Economic Society, vol. 133(649), pages 159-200.
    66. William Seitz, 2012. "Trade Restrictions and Conflict Commodities: Market reactions to regulations on conflict minerals from the Democratic Republic of the Congo," OxCarre Working Papers 102, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    67. Babet Hogetoorn & Michiel Gerritse, 2021. "The impact of terrorism on international mergers and acquisitions: Evidence from firm-level decisions," Journal of Peace Research, Peace Research Institute Oslo, vol. 58(3), pages 523-538, May.
    68. Burger, Martijn & Ianchovichina, Elena & Rijkers, Bob, 2015. "Risky Business: Political Instability and Sectoral Greenfield Foreign Direct Investment in the Arab World," Conference papers 332623, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    69. Kyle Hyndman, 2005. "Status Quo Effects in Bargaining: An Empirical Analysis of OPEC," Industrial Organization 0511016, University Library of Munich, Germany.
    70. Raddatz, Claudio, 2009. "Multilateral debt relief through the eyes of financial markets," Policy Research Working Paper Series 4872, The World Bank.
    71. Léonce Ndikumana & Mare Sarr, 2016. "Capital flight and foreign direct investment in Africa: An investigation of the role of natural resource endowment," WIDER Working Paper Series wp-2016-58, World Institute for Development Economic Research (UNU-WIDER).
    72. Nora Stel, 2014. "Business in Genocide – Understanding the how and why of corporate complicity in genocides," Working Papers 2014/28, Maastricht School of Management.
    73. Besley, Timothy & Mueller, Hannes, 2009. "Estimating the peace dividend: the impact of violence on house prices in Northern Ireland," LSE Research Online Documents on Economics 25427, London School of Economics and Political Science, LSE Library.
    74. Roberto Ramos, 2013. "Banning US Foreign Bribery: Do US Firms Win?," Working Papers wp2013_1309, CEMFI.
    75. Hartwell, Christopher A. & Zadorozhna, Olha, 2024. "The connections that bind: Political connectivity in the face of geopolitical disruption," Journal of International Management, Elsevier, vol. 30(3).
    76. Giulia Lamattina, 2008. "Conflict Migration and Social Networks: Empirical Evidence from Sri Lanka," Rivista di Politica Economica, SIPI Spa, vol. 98(6), pages 161-194, November-.
    77. Utar, Hale, 2022. "Firms and Labor in Times of Violence: Evidence from the Mexican Drug War," IZA Discussion Papers 15160, Institute of Labor Economics (IZA).
    78. Wright, Jonathan & Gürkaynak, Refet, 2013. "Identification and Inference Using Event Studies," CEPR Discussion Papers 9388, C.E.P.R. Discussion Papers.
    79. Nino, Gustavo & Baylis, Kathy & Crost, Benjamin, 2022. "Conflict and Small-scale Investment: Evidence from Colombia Peace Agreement," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322323, Agricultural and Applied Economics Association.
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    81. Leopoldo Fergusson, 2017. "Who wants violence? The political economy of conflict and state building in Colombia," Documentos CEDE 15890, Universidad de los Andes, Facultad de Economía, CEDE.
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    89. Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16943, Universidad EAFIT.
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    92. Tommaso Ciarli & Chiara Kofol & Carlo Menon, 2015. "Business as Unusual. An Explanation of the Increase of Private Economic Activity in High-Conflict Areas in Afghanistan," SERC Discussion Papers 0182, Centre for Economic Performance, LSE.
    93. Christophe Muller & Pierre Pecher, 2018. "Transborder Ethnic Kin and Local Prosperity: Evidence form Night-Time Light Intensity in Africa," LIDAM Discussion Papers IRES 2018006, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    94. Guilhem Cassan & Marc Sangnier, 2020. "Liberté, Egalité, Fraternité... Contaminé? Estimating the impact of French municipal elections on COVID-19 spread in France," AMSE Working Papers 2024, Aix-Marseille School of Economics, France.
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    113. Ouarda Merrouche, 2006. "The long-term educational cost of war: evidence from landmine contamination in Cambodia," IFS Working Papers W06/11, Institute for Fiscal Studies.
    114. Suphi Sen & Marie-Theres von Schickfus, 2019. "Climate Policy, Stranded Assets, and Investors' Expectations," CESifo Working Paper Series 7945, CESifo.
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    119. Hönig, Tillman, 2017. "The Impact of Peace: Evidence from Nigeria," MPRA Paper 83302, University Library of Munich, Germany.
    120. Elisa Giuliani, 2010. "Multinational Corporations, Technology Spillovers and Human Rights's Impacts on Developing Countries," LEM Papers Series 2010/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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    122. Amodio, Francesco & Baccini, Leonardo & Chiovelli, Giorgio & Di Maio, Michele, 2023. "Trade Liberalization, Economic Activity, and Political Violence in the Global South: Evidence from PTAs," IZA Discussion Papers 16011, Institute of Labor Economics (IZA).
    123. Olha Zadorozhna, 2012. "How much do the neighbors pay? Economic costs of international gas disputes," IEFE Working Papers 48, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
    124. Witte, Caroline T. & Burger, Martijn J. & Pennings, Enrico, 2020. "When political instability devaluates home-host ties," Journal of World Business, Elsevier, vol. 55(4).
    125. Ali M. Kutan & Mehmet E. Yaya, 2016. "Armed conflict and financial and economic risk: evidence from Colombia," Risk Management, Palgrave Macmillan, vol. 18(2), pages 159-187, August.
    126. Angrist, Joshua & Kugler, Adriana, 2007. "Rural Windfall or a New Resource Curse? Coca, Income, and Civil Conflict in Colombia," IZA Discussion Papers 2790, Institute of Labor Economics (IZA).
    127. Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
    128. Fenske, James & Wang, Shizhuo, 2020. "Tradition and mortality: Evidence from twin infanticide in Africa," CAGE Online Working Paper Series 525, Competitive Advantage in the Global Economy (CAGE).
    129. Olaf De Groot, 2010. "The Spillover Effects Of Conflict On Economic Growth In Neighbouring Countries In Africa," Defence and Peace Economics, Taylor & Francis Journals, vol. 21(2), pages 149-164.
    130. Reshad N. Ahsan & Kazi Iqbal, 2020. "How does violence affect exporters? Evidence from political strikes in Bangladesh," Review of International Economics, Wiley Blackwell, vol. 28(3), pages 599-625, August.
    131. Klor, Esteban & Saiegh, Sebastian & Satyanath, Shanker, 2016. "Crony Capitalism and the Targeting of Violence: Labor Repression During Argentina's Last Dictatorship," CEPR Discussion Papers 11650, C.E.P.R. Discussion Papers.
    132. Carlos Castro & Diego A. Agudelo & Sergio Preciado, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16988, Universidad EAFIT.
    133. Florian Leon & Ibrahima Dosso, 2020. "Civil conflict and firm recovery: Evidence from post-electoral crisis in Côte d'Ivoire," Working Papers hal-02865559, HAL.
    134. Dominic Rohner, 2022. "Conflict, Civil Wars and Human Development," Cahiers de Recherches Economiques du Département d'économie 22.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    135. Ramos Maqueda,Manuel & Chen,Daniel Li, 2021. "The Role of Justice in Development : The Data Revolution," Policy Research Working Paper Series 9720, The World Bank.
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  66. Timmermann, Allan & Guidolin, Massimo, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    2. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
    3. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
    4. Chrétien, Stéphane & Coggins, Frank, 2010. "Performance and conservatism of monthly FHS VaR: An international investigation," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 323-333, December.
    5. Bec, Frédérique & Gollier, Christian, 2014. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," IDEI Working Papers 835, Institut d'Économie Industrielle (IDEI), Toulouse.
    6. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    7. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
    8. 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.
    9. Mike K. P. So & Chi-Ming Wong, 2012. "Estimation of multiple period expected shortfall and median shortfall for risk management," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 739-754, March.
    10. Tatsuyoshi Okimoto, 2014. "Asymmetric Increasing Trends in Dependence in International Equity Markets," CAMA Working Papers 2014-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
    12. 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.
    13. Barbara Rossi, 2015. "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set," Working Papers 689, Barcelona School of Economics.
    14. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    15. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
    16. 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.
    17. Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
    18. Gurgul, Henryk & Syrek, Robert, 2010. "Polish stock market and some foreign markets – dependence analysis by regime-switching copulas," MPRA Paper 68576, University Library of Munich, Germany, revised 2010.
    19. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    20. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    21. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    22. Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
    23. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
    24. Zhou, Zhiping & Wang, Kai, 2025. "War discourse predicts stock market volatility: A century of evidence," Finance Research Letters, Elsevier, vol. 82(C).
    25. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Norwegian School of Economics, Department of Business and Management Science.
    26. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
    27. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    28. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
    29. Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-32, May.
    30. 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.
    31. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
    32. Solange Berstein & Rómulo Chumacero, 2008. "VaR Limits for Pension Funds: An Evaluation," Working Papers 26, Superintendencia de Pensiones, revised May 2008.
    33. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    34. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
    35. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    36. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    37. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
    38. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    39. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
    40. Xu, Yanyan & Liu, Jing & Ma, Feng & Chu, Jielei, 2024. "Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 543-560.
    41. Daniel de Almeida & Ana-Maria Fuertes & Luiz Koodi Hotta, 2025. "Out-of-Sample Predictability of the Equity Risk Premium," Mathematics, MDPI, vol. 13(2), pages 1-23, January.
    42. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
    43. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    44. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    45. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    46. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    47. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
    48. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    49. Lönnbark, Carl, 2017. "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, vol. 23(C), pages 202-209.
    50. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

  67. Timmermann, Allan & Guidolin, Massimo, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers.

    Cited by:

    1. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Guidolin, Massimo & Wang, Kai, 2023. "The empirical performance of option implied volatility surface-driven optimal portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 618(C).
    3. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    4. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
    5. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay, 2014. "Crude oil moments and PNG stock returns," Energy Economics, Elsevier, vol. 44(C), pages 222-235.
    6. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    7. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    8. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    9. Carsten Krabbe Nielsen, 2004. "Rational overconfidence and excess volatility in General Equilibrium," Econometric Society 2004 Australasian Meetings 279, Econometric Society.
    10. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
    11. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    12. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
    13. Rainer Baule & Bart Frijns & Milena E. Tieves, 2018. "Volatility discovery and volatility quoting on markets for options and warrants," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 758-774, July.
    14. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012. "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
    15. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    16. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    17. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    18. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    19. Tao Li, 2013. "Investors' Heterogeneity and Implied Volatility Smiles," Management Science, INFORMS, vol. 59(10), pages 2392-2412, October.
    20. Élise PAYZAN LE NESTOUR, 2010. "Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem," Swiss Finance Institute Research Paper Series 10-28, Swiss Finance Institute.
    21. Nielsen, Carsten Krabbe, 2008. "On rationally confident beliefs and rational overconfidence," Mathematical Social Sciences, Elsevier, vol. 55(3), pages 381-404, May.
    22. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    23. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    24. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    25. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
    26. Shu Ling Chiang & Ming Shann Tsai, 2019. "Valuation of an option using non-parametric methods," Review of Derivatives Research, Springer, vol. 22(3), pages 419-447, October.
    27. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    28. Alejandro Bernales & Massimo Guidolin, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers 565, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    29. Anais Maillet, 2015. "Food price volatility and farmers' production decisions under imperfect information," FOODSECURE Technical papers 8, LEI Wageningen UR.
    30. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    31. M. Duembgen & L. C. G. Rogers, 2014. "Estimate nothing," Papers 1401.5666, arXiv.org.
    32. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    33. 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.
    34. 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.
    35. Liu, Yi-Fang & Zhang, Wei & Xu, Hai-Chuan, 2014. "Collective behavior and options volatility smile: An agent-based explanation," Economic Modelling, Elsevier, vol. 39(C), pages 232-239.
    36. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
    37. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    38. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
    39. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.
    40. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    41. Bernales, Alejandro & Verousis, Thanos & Voukelatos, Nikolaos, 2020. "Do investors follow the herd in option markets?," Journal of Banking & Finance, Elsevier, vol. 119(C).
    42. Quaye, Enoch & Tunaru, Radu, 2022. "The stock implied volatility and the implied dividend volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    43. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    44. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria.

  68. 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.

    Cited by:

    1. A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
    2. Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
    3. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
    4. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    5. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
    6. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    7. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria.

  69. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.

    Cited by:

    1. Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
    2. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.

Articles

  1. Guidolin, Massimo & Hansen, Erwin & Cabrera, Gabriel, 2025. "Time-varying risk aversion and international stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    See citations under working paper version above.
  2. Massimo Guidolin & Monia Magnani, 2024. "Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings," Risks, MDPI, vol. 12(2), pages 1-26, February.
    See citations under working paper version above.
  3. Monia Magnani & Massimo Guidolin & Ian Berk, 2024. "Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital," Journal of Asset Management, Palgrave Macmillan, vol. 25(7), pages 666-699, December.
    See citations under working paper version above.
  4. Massimo Guidolin & Giulia F. Panzeri, 2024. "Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models," Forecasting, MDPI, vol. 6(3), pages 1-33, September.

    Cited by:

    1. Ming Che Lee, 2025. "A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting," Mathematics, MDPI, vol. 13(19), pages 1-22, September.

  5. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "New ESG rating drivers in the cross‐section of European stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 133-162, December.

    Cited by:

    1. Rongxuan Liu & Derek Wang & Shanshan Zheng & Ning Cai, 2025. "The Retrospective and Predictive Effectiveness of ESG Ratings: Evidence from China," Sustainability, MDPI, vol. 17(11), pages 1-20, May.
    2. Donghui Zhao & Sue Lin Ngan & Ainul Huda Jamil & Mohd Fairuz Md Salleh & Wan Sallha Yusoff, 2025. "Peer Effects on ESG Disclosure: Drivers and Implications for Sustainable Corporate Governance," Sustainability, MDPI, vol. 17(10), pages 1-21, May.

  6. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2023. "The dynamics of returns predictability in cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 29(6), pages 583-611, April.

    Cited by:

    1. Francesco Puoti & Fabrizio Pittorino & Manuel Roveri, 2025. "Quantifying Cryptocurrency Unpredictability: A Comprehensive Study of Complexity and Forecasting," Papers 2502.09079, arXiv.org.
    2. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Fallah, Mir Feiz & Pourmansouri, Rezvan & Ahmadpour, Bahador, 2024. "Presenting a new deep learning-based method with the incorporation of error effects to predict certain cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    4. Ballis, Antonis & Karagiorgis, Ariston & Anastasiou, Dimitrios & Kallandranis, Christos, 2025. "Cryptocurrency dynamics during global crises: Insights from Bitcoin’s interplay with traditional markets," International Review of Economics & Finance, Elsevier, vol. 103(C).

  7. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    See citations under working paper version above.
  8. Massimo Guidolin & Alexei G. Orlov, 2022. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-61, September.
    See citations under working paper version above.
  9. Guidolin, Massimo & Pedio, Manuela, 2021. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, vol. 42(C).
    See citations under working paper version above.
  10. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.

    Cited by:

    1. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    2. Yiling Ye & Xiaowen Zhuang & Cai Yi & Dinggao Liu & Zhenpeng Tang, 2025. "Enhancing Agricultural Futures Return Prediction: Insights from Rolling VMD, Economic Factors, and Mixed Ensembles," Agriculture, MDPI, vol. 15(11), pages 1-33, May.
    3. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    4. Jeong, Minhyuk & Ahn, Kwangwon, 2025. "Energy organization sentiment and oil return forecast," Energy Economics, Elsevier, vol. 141(C).
    5. Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
    6. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    7. Zhang, Yue-Jun & Zhang, Han, 2023. "Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?," International Review of Financial Analysis, Elsevier, vol. 85(C).
    8. Yue-Jun Zhang & Han Zhang & Rangan Gupta, 2023. "A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    9. Xiu Wu & Jinting Zhang & Daojun Zhang, 2021. "Explore Associations between Subjective Well-Being and Eco-Logical Footprints with Fixed Effects Panel Regressions," Land, MDPI, vol. 10(9), pages 1-15, September.
    10. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    11. Cerqueti, Roy & Ficcadenti, Valerio & Mattera, Raffaele, 2024. "Investors’ attention and network spillover for commodity market forecasting," Socio-Economic Planning Sciences, Elsevier, vol. 95(C).
    12. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    13. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.

  11. Guidolin, Massimo & Pedio, Manuela & Tosi, Alessandra, 2021. "Time-varying price discovery in sovereign credit markets," Finance Research Letters, Elsevier, vol. 38(C).
    See citations under working paper version above.
  12. Alexander Berglund & Massimo Guidolin & Manuela Pedio, 2020. "Monetary policy after the crisis: A threat to hedge funds' alphas?," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 219-238, May.

    Cited by:

    1. Aiken, Adam L. & Kang, Minjeong, 2023. "Hedge fund manager timing and selectivity skill over time. A holdings-based estimate," Finance Research Letters, Elsevier, vol. 58(PB).

  13. Guidolin, Massimo & Ricci, Andrea, 2020. "Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 1-11.

    Cited by:

    1. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
    2. Pengfei Ge & Chuxiong Tang & Yuhui Chen & Yichao Liu & Rui Zhu, 2025. "Green Bonds: Greenwashing or Genuinely Green? A Study Based on Stock Mispricing," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 46(6), pages 3396-3413, September.
    3. Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

  14. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
    See citations under working paper version above.
  15. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
    See citations under working paper version above.
  16. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.

    Cited by:

    1. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    2. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    3. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    4. Chen, Jiazi & Hong, Zhiwu & Niu, Linlin, 2025. "Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution," International Journal of Forecasting, Elsevier, vol. 41(1), pages 153-174.
    5. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
    6. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    7. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    8. Audrino, Francesco & Serwart, Jan, 2024. "Yield curve trading strategies exploiting sentiment data," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

  17. Berwart, Erik & Guidolin, Massimo & Milidonis, Andreas, 2019. "An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 88-118.
    See citations under working paper version above.
  18. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.

    Cited by:

    1. Alexandr Patalaha & Maria A. Shchepeleva, 2023. "Bank Crisis Management Policies and the New Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 43-60, December.
    2. Shen, Junjie & Huang, Shupei, 2022. "Copper cross-market volatility transition based on a coupled hidden Markov model and the complex network method," Resources Policy, Elsevier, vol. 75(C).
    3. Abakah, Emmanuel Joel Aikins & Shao, David Xuefeng & Tiwari, Aviral Kumar & Lee, Chien-Chiang, 2024. "Asymmetric relationship between carbon market and energy markets," Energy, Elsevier, vol. 313(C).
    4. Malin Song & Zixu Sui & Xin Zhao, 2023. "A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model," Annals of Operations Research, Springer, vol. 330(1), pages 787-806, November.
    5. Prashant Sharma & Geetika Arora & Sushil Kalyani & Hanna Olasiuk & Padmini Jindal, 2024. "Sectoral Performance of ESG Enabled Stocks during COVID-19 Pandemic in the Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 232-238, October.
    6. Si, Deng-Kui & Li, Xiao-Lin & Xu, XuChuan & Fang, Yi, 2021. "The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China," Energy Economics, Elsevier, vol. 102(C).
    7. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    8. Polyzos, Stathis & Samitas, Aristeidis & Katsaiti, Marina-Selini, 2020. "Who is unhappy for Brexit? A machine-learning, agent-based study on financial instability," International Review of Financial Analysis, Elsevier, vol. 72(C).
    9. Chen, Steven Shu-Hsiu, 2024. "Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds," Finance Research Letters, Elsevier, vol. 69(PB).
    10. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    11. Hadhri, Sinda, 2023. "News-based economic policy uncertainty and financial contagion: An international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 63-76.
    12. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    13. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    14. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    15. Chibane, Messaoud & Gabriel, Amadeus & Giménez Roche, Gabriel A., 2022. "Credit booms and crisis-emergent asset comovement: The problem of latent correlation," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 270-279.
    16. Elżbieta Kacperska & Jakub Kraciuk, 2021. "Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany," Energies, MDPI, vol. 14(23), pages 1-17, November.
    17. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    18. Wan, Xiaoyuan & Zhang, Jiachen, 2024. "Systematic COVID risk, idiosyncratic COVID risk and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    19. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    20. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh, 2025. "Is it just green? Asymmetry behavior of returns in green investments," International Review of Economics & Finance, Elsevier, vol. 100(C).
    21. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    22. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    23. Marina Yu. Malkina, 2024. "Financial contagion in the US, European and Chinese stock markets during global shocks," Journal of New Economy, Ural State University of Economics, vol. 25(4), pages 47-67, December.
    24. Luo, Changqing & Fu, Xinxin & Chen, Carl R. & Dong, Liang, 2025. "Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    25. Yuntong Liu & Yu Wei & Yi Liu & Wenjuan Li, 2020. "Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2020, pages 1-12, December.
    26. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).

  19. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.

    Cited by:

    1. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Hartvig, Áron Dénes & Pap, Áron & Pálos, Péter, 2023. "EU Climate Change News Index: Forecasting EU ETS prices with online news," Finance Research Letters, Elsevier, vol. 54(C).
    3. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
    4. Lee, Chien-Chiang & Chen, Mei-Ping, 2021. "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 830-852.

  20. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
    See citations under working paper version above.
  21. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
    See citations under working paper version above.
  22. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    See citations under working paper version above.
  23. Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
    See citations under working paper version above.
  24. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    3. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    4. Muhammad Tahir Suleman & Umaid A Sheikh & Emilios C. Galariotis & David Roubaud, 2025. "The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns," Annals of Operations Research, Springer, vol. 347(1), pages 633-677, April.
    5. Chen, Louisa & Verousis, Thanos & Wang, Kai & Zhou, Zhiping, 2023. "Financial stress and commodity price volatility," Energy Economics, Elsevier, vol. 125(C).
    6. Marina Yu. Malkina, 2024. "Financial Contagion of the Commodity Markets from the Stock Market during Pandemic and New Sanctions Shocks," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(2), pages 452-475.
    7. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
    8. Zhiping Zhou & Xuan Zhang, 2022. "Quantifying nonlinear effects of BRIC and G4 liquidity on oil prices," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 9(1), pages 1-13, December.
    9. Marina Yu. Malkina & Anton O. Ovcharov, 2022. "Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 8-28, August.
    10. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    11. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    12. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    13. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    14. Jiang, Hai & Tang, Shenfeng & Li, Lifang & Xu, Fangming & Di, Qian, 2022. "Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis," Research in International Business and Finance, Elsevier, vol. 60(C).

  25. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
    See citations under working paper version above.
  26. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    See citations under working paper version above.
  27. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
    See citations under working paper version above.
  28. Guidolin, Massimo & Liu, Hening, 2016. "Ambiguity Aversion and Underdiversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(4), pages 1297-1323, August.
    See citations under working paper version above.
  29. Massimo Guidolin & Erwin Hansen, 2016. "Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(3), pages 217-239, March.

    Cited by:

    1. Nikola Gradojevic & Dragan Kukolj, 2024. "Unlocking the black box: Non-parametric option pricing before and during COVID-19," Annals of Operations Research, Springer, vol. 334(1), pages 59-82, March.

  30. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.

    Cited by:

    1. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Gelmini, Matteo & Uberti, Pierpaolo, 2024. "The equally weighted portfolio still remains a challenging benchmark," International Economics, Elsevier, vol. 179(C).
    3. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
    4. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
    5. Ana Sofia Monteiro & Helder Sebastião & Nuno Silva, 2025. "Prediction and Allocation of Stocks, Bonds, and REITs in the US Market," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1191-1230, March.
    6. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, vol. 4(1), pages 1-27, January.
    7. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    8. Jaydip Sen & Sidra Mehtab, 2021. "Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market," Papers 2107.11371, arXiv.org.
    9. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    10. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
    11. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.

  31. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    See citations under working paper version above.
  32. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.

    Cited by:

    1. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    2. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
    4. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    5. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    6. Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
    7. Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
    8. David Ling & Sugata Ray & Alan Tidwell & Luqi Xu, 2025. "Value Implications of REITing and De-REITing," The Journal of Real Estate Finance and Economics, Springer, vol. 71(2), pages 285-313, August.
    9. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
    10. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.

  33. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2014. "Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(4), pages 510-535, August.
    See citations under working paper version above.
  34. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

    Cited by:

    1. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.
    2. Massimo Guidolin & Manuela Pedio & Milena Petrova, 2019. "The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis," BAFFI CAREFIN Working Papers 19122, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
    4. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2021. "What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 81-107, January.
    5. Vasilios Plakandaras & Ioannis Pragidis & Paris Karypidis, 2024. "Deciphering the U.S. metropolitan house price dynamics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 52(2), pages 434-485, March.
    6. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.

  35. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    See citations under working paper version above.
  36. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    See citations under working paper version above.
  37. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.

    Cited by:

    1. Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.
    2. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Conlon, Thomas & Cotter, John & Kynigakis, Iason, 2025. "Asset allocation with factor-based covariance matrices," European Journal of Operational Research, Elsevier, vol. 325(1), pages 189-203.
    4. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    5. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    6. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.

  38. Massimo Guidolin & Stuart Hyde, 2014. "Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2135-2153, December.

    Cited by:

    1. Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.

  39. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2014. "Unconventional monetary policies and the corporate bond market," Finance Research Letters, Elsevier, vol. 11(3), pages 203-212.

    Cited by:

    1. Österholm, Pär, 2018. "The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs," Finance Research Letters, Elsevier, vol. 24(C), pages 186-192.
    2. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    4. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
    5. Dai, Haiyan & Dong, Xueqin & Xue, Fang, 2024. "Corporate credit risk and bond yield spreads: Market reactions to the spreads," Finance Research Letters, Elsevier, vol. 67(PB).

  40. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.

    Cited by:

    1. David G. McMillan, 2021. "Forecasting sector stock market returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 291-300, July.
    2. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
    3. Leirvik, Thomas, 2014. "The bond–stock mix under time-varying interest rates and predictable stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 231-237.
    4. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    5. Mikihito Nishi, 2023. "Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions," Papers 2309.04926, arXiv.org, revised May 2024.
    6. Önder, Ali Sina & Yilmazkuday, Hakan, 2016. "Trade partner diversification and growth: How trade links matter," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 241-258.
    7. Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
    8. Christos Floros & Emilios Galariotis & Konstantinos Gkillas & Efstathios Magerakis & Constantin Zopounidis, 2024. "Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach," Annals of Operations Research, Springer, vol. 341(2), pages 859-895, October.
    9. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
    10. Hammami, Yacine & Zhu, Jie, 2020. "Understanding time-varying short-horizon predictability✰," Finance Research Letters, Elsevier, vol. 32(C).
    11. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    12. Massimo Guidolin & Serena Ionta, 2025. "Forecasting Asset Returns Using Nelson–Siegel Factors Estimated from the US Yield Curve," Econometrics, MDPI, vol. 13(2), pages 1-36, April.
    13. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    14. C. Boucher & A. Jasinski & S. Tokpavi, 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Post-Print hal-04352991, HAL.
    15. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.

  41. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    See citations under working paper version above.
  42. Guidolin, Massimo & Tam, Yu Man, 2013. "A yield spread perspective on the great financial crisis: Break-point test evidence," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 18-39.
    See citations under working paper version above.
  43. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.

    Cited by:

    1. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction Between Financial and Business Cycles," Working Papers 2017:24, Department of Economics, University of Venice "Ca' Foscari".
    2. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
    3. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
    4. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.

  44. Caterina Forti Grazzini & Massimo Guidolin, 2013. "Forecasting yield spreads under crisis-induced multiple breakpoints," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1656-1664, December.

    Cited by:

    1. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.

  45. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    See citations under working paper version above.
  46. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.

    Cited by:

    1. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.
    2. Bouaddi, Mohammed & Taamouti, Abderrahim, 2013. "Portfolio selection in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2943-2962.
    3. Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
    4. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    5. Pagnottoni, Paolo & Spelta, Alessandro, 2023. "The motifs of risk transmission in multivariate time series: Application to commodity prices," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
    6. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.

  47. Massimo Guidolin & Federica Ria, 2011. "Regime shifts in mean-variance efficient frontiers: Some international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 322-349, November.
    See citations under working paper version above.
  48. Massimo Guidolin & Eliana La Ferrara, 2010. "The economic effects of violent conflict: Evidence from asset market reactions," Journal of Peace Research, Peace Research Institute Oslo, vol. 47(6), pages 671-684, November.
    See citations under working paper version above.
  49. Massimo Guidolin & Christopher J. Neely, 2010. "The effects of large-scale asset purchases on TIPS inflation expectations," Economic Synopses, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Georgiadis, Georgios & Gräb, Johannes, 2016. "Global financial market impact of the announcement of the ECB's asset purchase programme," Journal of Financial Stability, Elsevier, vol. 26(C), pages 257-265.
    2. Bill Dupor & Rong Li, 2013. "The Expected Inflation Channel of Government Spending in the Postwar U.S," Working Papers 2013-026, Federal Reserve Bank of St. Louis.
    3. Tatom, John, 2011. "Monetary policy in disarray," MPRA Paper 34607, University Library of Munich, Germany.
    4. Boris Hofmann & Feng Zhu, 2013. "Central bank asset purchases and inflation expectations," BIS Quarterly Review, Bank for International Settlements, March.
    5. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    6. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," Sciences Po Economics Publications (main) hal-03554141, HAL.
    7. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional PaThéof Central Bank Asset Purchases," Working papers 885, Banque de France.
    8. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    9. Hubert, Paul & Blot, Christophe & Bozou, Caroline & Creel, Jérôme, 2024. "Same actions, different effects: The conditionality of monetary policy instruments," Journal of Monetary Economics, Elsevier, vol. 147(S).
    10. Masahiro Kawai, 2015. "International Spillovers of Monetary Policy: US Federal Reserve's Quantitative Easing and Bank of Japan's Quantitative and Qualitative Easing," ADBI Working Papers 512, Asian Development Bank Institute.
    11. Tatjana Dahlhaus & Kristina Hess & Abeer Reza, 2014. "International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada," Staff Working Papers 14-43, Bank of Canada.
    12. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    13. Diego Moccero & Shingo Watanabe & Boris Cournède, 2011. "What Drives Inflation in the Major OECD Economies?," OECD Economics Department Working Papers 854, OECD Publishing.

  50. Massimo Guidolin & Francesca Rinaldi, 2010. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 105-135.
    See citations under working paper version above.
  51. 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.
    See citations under working paper version above.
  52. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    See citations under working paper version above.
  53. 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.
    See citations under working paper version above.
  54. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
    See citations under working paper version above.
  55. 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.
    See citations under working paper version above.
  56. Mola, Simona & Guidolin, Massimo, 2009. "Affiliated mutual funds and analyst optimism," Journal of Financial Economics, Elsevier, vol. 93(1), pages 108-137, July.
    See citations under working paper version above.
  57. 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.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    2. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    3. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
    4. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    5. Massimo Guidolin & Federica Ria, 2010. "Regime shifts in mean-variance efficient frontiers: some international evidence," Working Papers 2010-040, Federal Reserve Bank of St. Louis.
    6. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.

  58. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    See citations under working paper version above.
  59. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.

    Cited by:

    1. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Schindler, Felix, 2009. "Long-term benefits from investing in international real estate," ZEW Discussion Papers 09-023, ZEW - Leibniz Centre for European Economic Research.

  60. 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.

    Cited by:

    1. Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
    2. Hamid Baghestani, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 156-162, August.

  61. 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.
    See citations under working paper version above.
  62. 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, vol. 89(Nov), pages 491-514.

    Cited by:

    1. Bing Han & David Hirshleifer & Johan Walden, 2023. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," Journal of Finance, American Finance Association, vol. 78(3), pages 1647-1704, June.
    2. Shoshana Amyra Grossbard & Alfredo Marvao Pereira & Shoshana Grossbard, 2010. "Will Women Save more than Men? A Theoretical Model of Savings and Marriage," CESifo Working Paper Series 3146, CESifo.
    3. Liu, Taoxiong & Liu, Zhuohao, 2022. "A growth model with endogenous technological revolutions and cycles," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    4. Doepke, Matthias & Tertilt, Michèle, 2016. "Families in Macroeconomics," IZA Discussion Papers 9802, Institute of Labor Economics (IZA).
    5. Till Treeck, 2014. "Did Inequality Cause The U.S. Financial Crisis?," Journal of Economic Surveys, Wiley Blackwell, vol. 28(3), pages 421-448, July.
    6. Bunting, David, 2009. "The saving decline: Macro-facts, micro-behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 282-295, May.
    7. Coeurdacier, Nicolas & Guibaud, Stéphane & Jin, Keyu, 2015. "Credit constraints and growth in a global economy," LSE Research Online Documents on Economics 62016, London School of Economics and Political Science, LSE Library.
    8. Alessandro Vercelli, 2014. "Financial and nuclear meltdowns: the fragility of chain-reaction critical processes," Chapters, in: Riccardo Bellofiore & Giovanna Vertova (ed.), The Great Recession and the Contradictions of Contemporary Capitalism, chapter 12, pages 208-220, Edward Elgar Publishing.
    9. Fernando Rugitsky, 2015. "Financialization, Housing Bubble, and the Great Recession: an interpretation based on a circuit of capital model," Working Papers, Department of Economics 2015_24, University of São Paulo (FEA-USP).
    10. Till van Treeck, 2008. "The political economy debate on ‘financialisation’ – a macroeconomic perspective," IMK Working Paper 01-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    11. van Treeck, Till. & Sturn, Simon., 2012. "Income inequality as a cause of the Great Recession? : A survey of current debates," ILO Working Papers 994709343402676, International Labour Organization.
    12. Riccardo Fiorentini, 2011. "Global Imbalances, the International Crisis and the Role of the Dollar," Working Papers 18/2011, University of Verona, Department of Economics.
    13. Michler Albrecht F. & Thieme H. Jörg, 2009. "Finanzmarktkrise: Marktversagen oder Staatsversagen? / Financial crisis: Failure of markets or politics?," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 60(1), pages 185-222, January.
    14. Antonio, Paradiso, 2010. "Long-term interest rates, asset prices, and personal saving ratio: Evidence from the 1990s," MPRA Paper 26754, University Library of Munich, Germany.
    15. Douglas, R & MacCulloch, Robert, 2016. "Welfare: Savings not Taxation," Working Papers 31890, Department of Economics, The University of Auckland.
    16. Barry Z. Cynamon & Steven M. Fazzari, 2013. "Inequality and Household Finance during the Consumer Age," Economics Working Paper Archive wp_752, Levy Economics Institute.
    17. J. M. Applegate & Marco A. Janssen, 2022. "Job Mobility and Wealth Inequality," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 1-25, January.
    18. Till van Treeck, 2012. "Did inequality cause the U.S. financial crisis?," IMK Working Paper 91-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    19. Zeynep Copur & Michael S. Gutter, 2019. "Economic, Sociological, and Psychological Factors of the Saving Behavior: Turkey Case," Journal of Family and Economic Issues, Springer, vol. 40(2), pages 305-322, June.
    20. Bela Szemely, 2013. "Explaining the Decline of the U.S. Saving Rate: the Joint Role of Health Expenditure and Employer Contributions," 2013 Meeting Papers 93, Society for Economic Dynamics.
    21. Jon D. Wisman, 2012. "Wage Stagnation, Rising Inequality and the Financial Crisis of 2008," Working Papers 2012-01, American University, Department of Economics.
    22. Riccardo Fiorentini & Guido Montani, 2012. "The New Global Political Economy," Books, Edward Elgar Publishing, number 14443, August.
    23. Till van Treeck, 2008. "Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending," IMK Working Paper 06-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    24. Stein, Jerome L., 2010. "A tale of two debt crises: a stochastic optimal control analysis," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-24.
    25. Elizabeth Whitaker & Janet Bokemeiner & Scott Loveridge, 2013. "Interactional Associations of Gender on Savings Behavior: Showing Gender’s Continued Influence on Economic Action," Journal of Family and Economic Issues, Springer, vol. 34(1), pages 105-119, March.
    26. Tomoo Kikuchi & George Vachadze, 2018. "Minimum investment requirement, financial market imperfection and self-fulfilling belief," Journal of Evolutionary Economics, Springer, vol. 28(2), pages 305-332, April.
    27. Riccardo Bellofiore & Giovanna Vertova (ed.), 2014. "The Great Recession and the Contradictions of Contemporary Capitalism," Books, Edward Elgar Publishing, number 14637, August.
    28. Hans-Joachim Dübel, 2014. "Transatlantic mortgage credit boom and bust - the impact of market structure and regulation," Chapters, in: Susan Wachter & Man Cho & Moon Joong Tcha (ed.), The Global Financial Crisis and Housing, chapter 6, pages 112-146, Edward Elgar Publishing.
    29. Michael Walden, 2012. "Will Households Change Their Saving Behaviour After the “Great Recession”? The Role of Human Capital," Journal of Consumer Policy, Springer, vol. 35(2), pages 237-254, June.
    30. Paradiso, Antonio & Rao, B. Bhaskara, 2011. "What Caused the Decline in the US Saving Ratio?," MPRA Paper 28023, University Library of Munich, Germany.
    31. Jon D. Wisman & Barton Baker, 2009. "Increasing Inequality, Status Insecurity, Ideology, and the Financial Crisis of 2008," Working Papers 2009-14 JEL classificatio, American University, Department of Economics.
    32. Jon D. Wisman & Barton Baker, 2011. "Increasing Inequality and the Financial Crises of 1929 and 2008," Working Papers 2011-01 JEL classificatio, American University, Department of Economics.
    33. Nicolas Canry, 2020. "Why and How Should Human Capital be Measured in National Accounts?," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 517-518-5, pages 61-79.
    34. Trofimov, Ivan D., 2022. "Determinants of the profit rates in the OECD economies: A panel data analysis of the Kalecki's profit equation," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 380-397.
    35. Anja Koebrich Leon, 2013. "Religion and Economic Outcomes – Household Savings Behavior in the USA," Working Paper Series in Economics 268, University of Lüneburg, Institute of Economics.
    36. Rishabh Kumar, 2015. "Savings from top incomes and accumulation in the United States context: Results from disaggregated national accounts," Working Papers 1524, New School for Social Research, Department of Economics.
    37. Santiago José Gahn & Alejandro González, 2022. "On the empirical content of the convergence debate: Cross‐country evidence on growth and capacity utilisation," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 825-855, July.
    38. Aronsson, Thomas & Sjögren, Tomas, 2014. "Tax policy and present-biased preferences: Paternalism under international capital mobility," Journal of Economic Behavior & Organization, Elsevier, vol. 106(C), pages 298-316.
    39. Tam, Leona & Dholakia, Utpal M., 2011. "Delay and duration effects of time frames on personal savings estimates and behavior," Organizational Behavior and Human Decision Processes, Elsevier, vol. 114(2), pages 142-152, March.
    40. Alessandro Vercelli, 2014. "Nuclear and financial meltdowns; The impact of the Fukushima accident on the transition to a low-carbon economy," Working papers wpaper76, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    41. Barry Z. Cynamon & Steven M. Fazzari, 2017. "Household Income, Demand, and Saving: Deriving Macro Data With Micro Data Concepts," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 63(1), pages 53-69, March.
    42. Olivier Allain, 2021. "A supermultiplier model of the natural rate of growth," Metroeconomica, Wiley Blackwell, vol. 72(3), pages 612-634, July.
    43. Shoshana Amyra Grossbard & Alfredo Marvão Pereira, 2013. "Savings and Economies of Marriage: Intra-Marriage Financial Distributions as Determinants of Savings," Working Papers 95, Economics Department, William & Mary.

  63. 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.
    See citations under working paper version above.
  64. 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.
    See citations under working paper version above.
  65. 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.
    See citations under working paper version above.
  66. 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.
    See citations under working paper version above.
  67. 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.
    See citations under working paper version above.
  68. Massimo Guidolin & Elizabeth A. La Jeunesse, 2006. "Cross-country personal saving rates," National Economic Trends, Federal Reserve Bank of St. Louis, issue May.

    Cited by:

    1. Shim, Soyeon & Serido, Joyce & Tang, Chuanyi, 2012. "The ant and the grasshopper revisited: The present psychological benefits of saving and future oriented financial behaviors," Journal of Economic Psychology, Elsevier, vol. 33(1), pages 155-165.

  69. 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.

    Cited by:

    1. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
    2. Mihir Dash, 2019. "Modeling of implied volatility surfaces of nifty index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-11, September.
    3. Chen, Jilong & Ewald, Christian-Oliver, 2017. "Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 144-151.

  70. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(3), pages 693-708, August.
    See citations under working paper version above.
  71. 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.
    See citations under working paper version above.
  72. 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.
    See citations under working paper version above.
  73. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    See citations under working paper version above.
  74. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
    See citations under working paper version above.
  75. Massimo Guidolin, 2005. "Home Bias and High Turnover in an Overlapping‐generations Model with Learning," Review of International Economics, Wiley Blackwell, vol. 13(4), pages 725-756, September.
    See citations under working paper version above.
  76. 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, January.

    Cited by:

    1. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
    2. Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016. "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers 201617, University of Pretoria, Department of Economics.
    3. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
    4. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(2), pages 111-127, April.
    5. Thomas J.Flavin & Dolores Lagoa-Varela, 2019. "On the stability of Stock-bond comovements across market conditions in the Eurozone periphery," Economics Department Working Paper Series n295-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    6. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    7. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
    8. Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
    9. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    10. Syed jawad hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Economics Bulletin, AccessEcon, vol. 36(4), pages 2465-2473.
    11. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
    12. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, vol. 56(7), pages 1198-1215, July.
    13. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    14. Jan Bulla & Sascha Mergner & Ingo Bulla & André Sesboüé & Christophe Chesneau, 2011. "Markov-switching asset allocation: Do profitable strategies exist?," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 310-321, November.
    15. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    16. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
    17. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
    18. Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
    19. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
    20. 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.
    21. Rui Fan & Stephen J. Taylor & Matteo Sandri, 2018. "Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 83-103, January.
    22. Muhl, Stefan & Talpsepp, Tõnn, 2018. "Faster learning in troubled times: How market conditions affect the disposition effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 226-236.
    23. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
    24. Mamadou Cisse & Mamadou Konte & Mohamed Toure & Smael Afolabi Assani, 2019. "Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach," JRFM, MDPI, vol. 12(1), pages 1-15, February.
    25. Crespo-Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava & Obersteiner, Michael, 2021. "Regime-dependent commodity price dynamics: A predictive analysis," IHS Working Paper Series 28, Institute for Advanced Studies.
    26. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2017. "Asset prices regime-switching and the role of inflation targeting monetary policy," Global Finance Journal, Elsevier, vol. 32(C), pages 97-112.
    27. 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.
    28. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS.
    29. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    30. 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.
    31. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
    32. Marika Křepelová & Josef Jablonský, 2013. "Analýza státních dluhopisů jako indikátoru pro akciový trh [Analysis of Government Bonds as an Indicator for Stock Market]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(5), pages 605-622.
    33. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    34. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
    35. John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
    36. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
    37. Anandadeep Mandal & Sunil S. Poshakwale & Gabriel J. Power, 2021. "Do investors gain from forecasting the asymmetric return co‐movements of financial and real assets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3246-3268, July.
    38. Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
    39. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
    40. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    41. Jian Yang & Yinggang Zhou & Zijun Wang, 2010. "Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence," Management Science, INFORMS, vol. 56(11), pages 2031-2049, November.
    42. Hassan Heidari & Arash Refah-Kahriz & Nayyer Hashemi Berenjabadi, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250.
    43. Li, Dakai, 2024. "Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 115-122.
    44. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
    45. 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.
    46. Bejaoui, Azza & Karaa, Adel, 2016. "Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models," Economic Modelling, Elsevier, vol. 59(C), pages 529-545.
    47. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    48. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis.
    49. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
    50. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    51. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    52. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
    53. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
    54. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    55. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    56. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    57. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics Department Working Paper Series n1801007.pdf, Department of Economics, National University of Ireland - Maynooth.
    58. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
    59. Donatien Hainaut & Yang Shen & Yan Zeng, 2018. "How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?," Annals of Operations Research, Springer, vol. 262(2), pages 519-545, March.
    60. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, vol. 39(C), pages 159-168.
    61. Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of stock markets with gold and bonds under bullish and bearish market states," Resources Policy, Elsevier, vol. 52(C), pages 308-319.
    62. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
    63. 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.
    64. Yao Zheng & Peihwang Wei & Eric Osmer, 2022. "The relation between earnings and price momentum: Does it vary across regimes?," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1145-1213, April.
    65. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
    66. 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.
    67. Christos Kollias & Stephanos Papadamou & Vangelis Arvanitis, 2013. "Does Terrorism Affect the Stock‐Bond Covariance? Evidence from European Countries," Southern Economic Journal, John Wiley & Sons, vol. 79(4), pages 832-848, April.
    68. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
    69. Jilber Urbina & Miguel Santolino & Montserrat Guillen, 2021. "Covariance Principle for Capital Allocation: A Time-Varying Approach," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
    70. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    71. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
    72. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
    73. Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
    74. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
    75. Simmons-Süer, Banu, 2018. "“How relevant is capital structure for aggregate investment? a regime-switching approach”," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 109-117.
    76. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    77. Roy Kwon & Jonathan Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    78. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    79. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 149-162.
    80. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    81. Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
    82. John Fender, 2015. "Towards a General Theory of the Stock Market," Discussion Papers 15-15, Department of Economics, University of Birmingham.
    83. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
    84. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    85. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    86. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
    87. Hadhri, Sinda, 2021. "The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis," Energy Economics, Elsevier, vol. 101(C).
    88. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
    89. Hanna, Alan J., 2018. "A top-down approach to identifying bull and bear market states," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 93-110.
    90. Joe Brocato & Kenneth Smith, 2012. "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 712-727, July.
    91. Thomas Flavin & Dolores Lagoa-Varela, 2016. "Do long-term bonds hedge equity risk? Evidence from Spain," Economics Department Working Paper Series n275-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    92. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
    93. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    94. 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.
    95. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    96. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    97. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    98. Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
    99. 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.
    100. Misheck Mutize & Sean J. Gossel, 2019. "Sovereign Credit Rating Announcement Effects on Foreign Currency Denominated Bond and Equity Markets in Africa," Journal of African Business, Taylor & Francis Journals, vol. 20(1), pages 135-152, January.
    101. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023. "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1022-1047, October.
    102. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
    103. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
    104. Chang, Kuang-Liang, 2012. "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 523-536.
    105. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2008. "Diversifying in public real estate: The ex-post performance," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 361-373, February.
    106. Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.
    107. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
    108. Zegadło, Piotr, 2022. "Identifying bull and bear market regimes with a robust rule-based method," Research in International Business and Finance, Elsevier, vol. 60(C).
    109. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
    110. Olivier Courtois & Xiaoshan Su, 2020. "Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 477-520, December.
    111. Afsaneh Bahrami & Abul Shamsuddin & Katherine Uylangco, 2018. "Out‐of‐sample stock return predictability in emerging markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 727-750, September.
    112. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.

  77. Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul.

    Cited by:

    1. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  78. Abbigail J. Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2004. "Subjective probabilities: psychological theories and economic applications," Review, Federal Reserve Bank of St. Louis, vol. 86(Jan), pages 33-48.

    Cited by:

    1. Berlemann, Michael, 2016. "Does hurricane risk affect individual well-being? Empirical evidence on the indirect effects of natural disasters," Ecological Economics, Elsevier, vol. 124(C), pages 99-113.

  79. 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, July.

    Cited by:

    1. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    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.
    3. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
    4. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    5. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
    6. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining movements in UK stock prices: How important is the US market?," Centre for Growth and Business Cycle Research Discussion Paper Series 27, Economics, The University of Manchester.
    7. 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.
    8. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," Economics Discussion Paper Series 0805, Economics, The University of Manchester.
    9. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.
    10. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.

  80. 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.
    See citations under working paper version above.
  81. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.

    Cited by:

    1. 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.

Chapters

  1. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.

    Cited by:

    1. Mendes, Fernando Henrique de Paula e Silva & Caldeira, João Frois & Moura, Guilherme Valle, 2018. "Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.

  2. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
    See citations under working paper version above.
  3. Massimo Guidolin & Carrie Fangzhou Na, 2008. "Chapter 16 The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 595-655, Emerald Group Publishing Limited.

    Cited by:

    1. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

Books

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