Massimo Guidolin - Central Bank Research Hub

Papers by year: All | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005

Title Other author(s)

How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads?

St Louis Fed Working Papers [View] (Paper: 2013-005, 31.01.2013)

Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 2011/19, 27.12.2011)

A Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets

St Louis Fed Working Papers [View] (Paper: 2011-003, 22.02.2011)

Regime Shifts in Mean-Variance Efficient Frontiers: Some International Evidence

St Louis Fed Working Papers [View] (Paper: 2010-040, 26.10.2010)

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

St Louis Fed Working Papers [View] (Paper: 2010-039, 26.10.2010)

Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature

St Louis Fed Working Papers [View] (Paper: 2010-028, 08.09.2010)

A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence

St Louis Fed Working Papers [View] (Paper: 2010-026, 31.08.2010)

Predictions of Short-Term Rates and the Expectations Hypothesis

St Louis Fed Working Papers [View] (Paper: 2010-013, 21.05.2010)

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

St Louis Fed Working Papers [View] (Paper: 2010-002, 06.03.2010)

1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus

St Louis Fed Working Papers [View] (Paper: 2010-003, 06.03.2010)

A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?

St Louis Fed Working Papers [View] (Paper: 2009-020, 24.04.2009)

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

European Central Bank Working papers [View] (Paper: 0977, 23.12.2008)

JEL: E40, E52

Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?

St Louis Fed Working Papers [View] (Paper: 2008-010, 29.04.2008)

JEL: C32, C53, E44, G12

Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK

St Louis Fed Working Papers [View] (Paper: 2008-005, 02.04.2008)

JEL: C32, F30, G11, G15, M13

Managing International Portfolios with Small Capitalization Stocks

St Louis Fed Working Papers [View] (Paper: 2007-030, 22.08.2007)

Affiliated Mutual Funds and Analyst Optimism

St Louis Fed Working Papers [View] (Paper: 2007-017, 01.05.2007)

JEL: G20, G24, G30

The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns

St Louis Fed Working Papers [View] (Paper: 2006-059, 02.11.2006)

JEL: C32, C53, E44, G12

Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?

St Louis Fed Working Papers [View] (Paper: 2006-034, 23.05.2006)

JEL: G20, G24, G30

Investing for the Long-Run in European Real Estate

St Louis Fed Working Papers [View] (Paper: 2006-028, 02.05.2006)

Who Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model

St Louis Fed Working Papers [View] (Paper: 2006-029, 02.05.2006)

Small Caps in International Equity Portfolios: The Effects of Variance Risk

St Louis Fed Working Papers [View] (Paper: 2005-075, 14.12.2005)

JEL: C32, F30, G11, G12

The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions

St Louis Fed Working Papers [View] (Paper: 2005-066, 17.10.2005)

JEL: G14, P16

Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach

St Louis Fed Working Papers [View] (Paper: 2005-059, 09.08.2005)

Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying?

St Louis Fed Working Papers [View] (Paper: 2005-056, 14.07.2005)

JEL: C32, C52, E44, G12

International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences

St Louis Fed Working Papers [View] (Paper: 2005-034, 07.06.2005)

JEL: C32, F30, G12

High Equity Premia and Crash Fears. Rational Foundations

St Louis Fed Working Papers [View] (Paper: 2005-011, 18.01.2005)

JEL: D83, G12

Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter?

St Louis Fed Working Papers [View] (Paper: 2005-008, 18.01.2005)

JEL: G12, G13

Properties of Equilibrium Asset Prices under Alternative Learning Schemes

St Louis Fed Working Papers [View] (Paper: 2005-009, 18.01.2005)

JEL: D83, G12

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

St Louis Fed Working Papers [View] (Paper: 2005-006, 18.01.2005)

JEL: G12

Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?

St Louis Fed Working Papers [View] (Paper: 2005-004, 18.01.2005)

Home Bias and High Turnover in an Overlapping Generations Model with Learning

St Louis Fed Working Papers [View] (Paper: 2005-012, 18.01.2005)

JEL: D83, F3, G11

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

St Louis Fed Working Papers [View] (Paper: 2005-010, 18.01.2005)

JEL: G12, G13

Size and Value Anomalies under Regime Shifts

St Louis Fed Working Papers [View] (Paper: 2005-007, 18.01.2005)

JEL: G12

Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle

St Louis Fed Working Papers [View] (Paper: 2005-005, 18.01.2005)

JEL: D83, G12

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

St Louis Fed Working Papers [View] (Paper: 2005-003, 18.01.2005)

Papers by year: All | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005