Massimo Guidolin

MaRDI QIDQ292019zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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 Journal of Business and Economic Statistics	2024-10-09	Paper
Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help? Annals of Operations Research	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 Quantitative Finance	2021-09-03	Paper
Mildly explosive dynamics in U.S. fixed income markets European Journal of Operational Research	2021-05-03	Paper
Markov switching models in empirical finance Missing Data Methods: Time-Series Methods and Applications	2020-07-10	Paper
Markov switching in portfolio choice and asset pricing models: a survey Missing Data Methods: Time-Series Methods and Applications	2020-07-10	Paper
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models Journal of Economic Dynamics and Control	2019-11-21	Paper
Modeling systemic risk with Markov switching graphical SUR models Journal of Econometrics	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 Quantitative Finance	2018-11-14	Paper
Portfolio performance of linear SDF models: an out-of-sample assessment Quantitative Finance	2018-11-14	Paper
Essentials of time series for financial applications	2017-11-27	Paper
Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing European Journal of Operational Research	2017-11-23	Paper
Forecasts of US short-term interest rates: a flexible forecast combination approach Journal of Econometrics	2016-07-04	Paper
Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets European Journal of Operational Research	2016-06-23	Paper
Term structure of risk under alternative econometric specifications Journal of Econometrics	2016-06-10	Paper
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data Quantitative Finance	2015-04-27	Paper
Ambiguity in asset pricing and portfolio choice: a review of the literature Theory and Decision	2013-02-04	Paper
Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment Computational Statistics and Data Analysis	2012-12-30	Paper
Asset allocation under multivariate regime switching Journal of Economic Dynamics and Control	2009-07-01	Paper
Properties of equilibrium asset prices under alternative learning schemes Journal of Economic Dynamics and Control	2008-12-12	Paper
High equity premia and crash fears -- rational foundations Economic Theory	2006-09-12	Paper
Option prices under Bayesian learning: implied volatility dynamics and predictive densities Journal of Economic Dynamics and Control	2003-01-21	Paper

Research outcomes over time

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