Massimo Guidolin

Available identifiers

zbMath Open guidolin.massimoMaRDI QIDQ292019

List of research outcomes

Publication	Date of Publication	Type
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section	2024-10-09	Paper
Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?	2021-11-08	Paper
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns	2021-09-03	Paper
Mildly explosive dynamics in U.S. fixed income markets	2021-05-03	Paper
Markov Switching Models in Empirical Finance	2020-07-10	Paper
Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey	2020-07-10	Paper
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models	2019-11-21	Paper
Modeling systemic risk with Markov switching graphical SUR models	2019-04-30	Paper
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns	2018-11-14	Paper
Portfolio performance of linear SDF models: an out-of-sample assessment	2018-11-14	Paper
https://portal.mardi4nfdi.de/entity/Q4595036	2017-11-27	Paper
Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing	2017-11-23	Paper
Forecasts of US short-term interest rates: a flexible forecast combination approach	2016-07-04	Paper
Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets	2016-06-23	Paper
Term structure of risk under alternative econometric specifications	2016-06-10	Paper
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data	2015-04-27	Paper
Ambiguity in asset pricing and portfolio choice: a review of the literature	2013-02-04	Paper
Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment	2012-12-30	Paper
Asset allocation under multivariate regime switching	2009-07-01	Paper
Properties of equilibrium asset prices under alternative learning schemes	2008-12-12	Paper
High equity premia and crash fears -- rational foundations	2006-09-12	Paper
Option prices under Bayesian learning: implied volatility dynamics and predictive densities	2003-01-21	Paper

Research outcomes over time

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