Massimo Guidolin - Central bank research hub

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

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

by Massimo Guidolin , Silvio Contessi and Pierangelo DePace

Federal Reserve Bank of St Louis Working Papers (Paper: 2013-005, 31.01.2013)

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

by Massimo Guidolin

Central Bank of Norway Working Papers (Paper: 2011/19, 27.12.2011)

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

by Massimo Guidolin , Andrea Donato Tortora and Francesco Ravazzolo

Federal Reserve Bank of St Louis Working Papers (Paper: 2011-003, 22.02.2011)

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

by Federica Ria and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-040, 26.10.2010)

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

by David McMillan , Sadayuki Ono , Stuart Hyde and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-039, 26.10.2010)

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

by Francesca Rinaldi and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-028, 08.09.2010)

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

by Yu Man Tam and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-026, 31.08.2010)

Abstract
Predictions of Short-Term Rates and the Expectations Hypothesis

by Daniel L. Thornton and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-013, 21.05.2010)

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

by Carolina Fugazza , Massimo Guidolin and Giovanna Nicodano

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-003, 06.03.2010)

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

by Stuart Hyde and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2010-002, 06.03.2010)

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

by Francesca Rinaldi and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2009-020, 24.04.2009)

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

by Daniel L. Thornton and Massimo Guidolin

European Central Bank Working Papers (Paper: 0977, 23.12.2008)

JEL: E40, E52
Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?

by David McMillan , Sadayuki Ono , Stuart Hyde and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (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

by Stuart Hyde and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2008-005, 02.04.2008)

JEL: C32, F30, G11, G15, M13
Managing International Portfolios with Small Capitalization Stocks

by Massimo Guidolin and Giovanna Nicodano

Federal Reserve Bank of St Louis Working Papers (Paper: 2007-030, 22.08.2007)

Affiliated Mutual Funds and Analyst Optimism

by Simona Mola and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (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

by Carrie Fangzhou Na and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2006-059, 02.11.2006)

JEL: C32, C53, E44, G12
Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?

by Simona Mola and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2006-034, 23.05.2006)

JEL: G20, G24, G30
Who Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model

by Stuart Hyde and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2006-029, 02.05.2006)

Investing for the Long-Run in European Real Estate

by Carolina Fugazza , Massimo Guidolin and Giovanna Nicodano

Federal Reserve Bank of St Louis Working Papers (Paper: 2006-028, 02.05.2006)

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

by Massimo Guidolin and Giovanna Nicodano

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-075, 14.12.2005)

JEL: C32, F30, G11, G12
The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions

by Eliana La Ferrara and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-066, 17.10.2005)

JEL: G14, P16
Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach

by Massimo Guidolin and Allan Timmermann

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-059, 09.08.2005)

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

by Sadayuki Ono and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-056, 14.07.2005)

JEL: C32, C52, E44, G12
International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences

by Massimo Guidolin and Allan Timmermann

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-034, 07.06.2005)

JEL: C32, F30, G12
Home Bias and High Turnover in an Overlapping Generations Model with Learning

by Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-012, 18.01.2005)

JEL: D83, F3, G11
Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

by Massimo Guidolin and Sílvia Gonçalves

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-010, 18.01.2005)

JEL: G12, G13
Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter?

by Gianluca Cassesse and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-008, 18.01.2005)

JEL: G12, G13
Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

by Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-006, 18.01.2005)

JEL: G12
Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?

by Eliana La Ferrara and Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-004, 18.01.2005)

High Equity Premia and Crash Fears. Rational Foundations

by Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-011, 18.01.2005)

JEL: D83, G12
Properties of Equilibrium Asset Prices under Alternative Learning Schemes

by Massimo Guidolin and Allan Timmermann

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-009, 18.01.2005)

JEL: D83, G12
Size and Value Anomalies under Regime Shifts

by Massimo Guidolin and Allan Timmermann

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-007, 18.01.2005)

JEL: G12
Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle

by Massimo Guidolin

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-005, 18.01.2005)

JEL: D83, G12
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

by Massimo Guidolin and Allan Timmermann

Federal Reserve Bank of St Louis Working Papers (Paper: 2005-003, 18.01.2005)