Massimo Guidolin, Ph.D.
Affiliations: | 2000 | University of California, San Diego, La Jolla, CA |
Area:
FinanceGoogle:
"Massimo Guidolin"Parents
Sign in to add mentor| Allan G. Timmermann | grad student | 2000 | UCSD | |
| (Asset prices on Bayesian learning paths.) | ||||
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Publications
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| Guidolin M, Ricci A. (2020) Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: The European Evidence The Quarterly Review of Economics and Finance. 76: 1-11 |
| Contessi S, Pace PD, Guidolin M. (2020) Mildly Explosive Dynamics in U.S. Fixed Income Markets European Journal of Operational Research. 287: 712-724 |
| Guidolin M, Pedio M, Petrova MT. (2020) The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis Journal of Real Estate Finance and Economics. 1-42 |
| Guidolin M, Pedio M. (2020) Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? Annals of Operations Research. 1-40 |
| Guidolin M, Pedio M. (2019) Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models Journal of Economic Dynamics and Control. 107: 103723 |
| Bianchi D, Billio M, Casarin R, et al. (2019) Modeling Systemic Risk with Markov Switching Graphical SUR Models Journal of Econometrics. 210: 58-74 |
| Guidolin M, Pedio M, Tosi A. (2019) Time-Varying Price Discovery in Sovereign Credit Markets Finance Research Letters. 101388 |
| Guidolin M, Hansen E, Pedio M. (2019) Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach Journal of Financial Markets. 45: 83-114 |
| Pra GD, Guidolin M, Pedio M, et al. (2018) Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis The Journal of Portfolio Management. 44: 10-24 |
| Guidolin M, Orlov AG, Pedio M. (2018) How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns Quantitative Finance. 18: 139-169 |