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Massimo Guidolin Assistant Vice President

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Recent Articles Published in Academic Journals and Books

"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences"
with Allan Timmermann
FORTHCOMING: Review of Financial Studies
Abstract | Full Text (PDF)

"Small Caps in International Equity Portfolios: The Effects of Variance Risk"
with Giovanna Nicodano
FORTHCOMING: Annals of Finance
Abstract | Full Text (PDF)

"Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach"
with Allan Timmermann
FORTHCOMING: Journal of Econometrics
Abstract | Full Text (PDF)
[also CEPR discussion paper No. 6188]

"The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns"
with Carrie Fangzhou Na
FORTHCOMING: in M. Wohar and D. Rapach, eds. Forecasting in the Presence of Structural Breaks and Model Uncertainty
Abstract | Full Text (PDF)

"Size and Value Anomalies under Regime Shifts"
with Allan Timmermann
Journal of Financial Econometrics, January 2008, 6(1), pp. 1-48.
Abstract

"Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?"
with Eliana La Ferrara
American Economic Review, December 2007, 97(5), pp. 1978-1993.
Abstract
[also CEPR discussion paper No. 3005]

"Asset Allocation under Multivariate Regime Switching"
with Allan Timmermann
Journal of Economic Dynamics and Control, November 2007, 31(11), pp. 3503-44.
Abstract

"Investing for the Long-Run in European Real Estate"
with Carolina Fugazza and Giovanna Nicodano
Journal of Real Estate Finance and Economics, January 2007, 34(1), pp. 35-80.
Abstract

"Properties of Equilibrium Asset Prices Under Alternative Learning Schemes"
with Allan Timmermann
Journal of Economic Dynamics and Control, January 2007, 31(1), pp. 161-217.
Abstract

"High Equity Premia and Crash Fears. Rational Foundations"
Economic Theory, October 2006, 28(3), pp. 693-708.
Abstract

"Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface"
with Silvia Gonçalves
Journal of Business, May 2006, 79(3), pp. 1591-1635.
Abstract

"Term Structure of Risk under Alternative Econometric Specifications"
with Allan Timmermann
Journal of Econometrics, March-April 2006, 131(1-2), pp. 285-308.
Abstract
[also CEPR discussion paper No. 4645]

"An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns"
with Allan Timmermann
Journal of Applied Econometrics, January 2006, 21(1), pp. 1-22.
Abstract

"Home Bias and High Turnover in an Overlapping Generations Model with Learning"
Review of International Economics, September 2005, 13(4), pp. 725-56.
Abstract

"Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns"
with Allan Timmermann
Economic Journal, January 2005, 115(500), pp. 111-43.

"Option Prices under Bayesian Learning: Implied Volatility, Dynamics, and Predictive Densities"
with Allan Timmermann
Journal of Economic Dynamics and Control, March 2003, 27(5), pp. 717-69
[also CEPR discussion paper No. 3005].

All Articles Published in Academic Journals and Books

Recent Review Articles

"The Decline in the U.S. Personal Saving Rate: Is It Real and Is It a Puzzle?"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis Review, November/December 2007, 89(6), pp. 491-514.

"Subjective Probabilities: Psychological Theories and Economic Applications"
with A. Chiodo, M. Owyang, and M. Shimoji
Federal Reserve Bank of St. Louis Review, January/February 2004, 86(1), pp. 33-47.

Working Papers

2008-010A "Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?" - April 2008
with Stuart Hyde, David McMillan, and Sadayuki Ono
Abstract | Full Text (PDF)

2008-005A "Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK" - January 2008
with Stuart Hyde
Abstract | Full Text (PDF)

2007-030A "Managing International Portfolios with Small Capitalization Stocks" - August 2007
with Giovanna Nicodano
Abstract | Full Text (PDF)

2007-017A "Affiliated Mutual Funds and Analyst Optimism" - April 2007
with Simona Mola
Abstract | Full Text (PDF)

2006-034A "Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?" - May 2006
with Simona Mola
Abstract | Full Text (PDF)

2005-066A "The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions" - October 2005
with Eliana La Ferrara
Abstract | Full Text (PDF)

2005-006A "Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences" - January 2005
with Allan Timmermann
Abstract | Full Text (PDF)

Commentary and Policy Articles

"No Volatility, No Forecasting Power for the Term Spread"
with Allison K. Rodean
Federal Reserve Bank of St. Louis Monetary Trends, April 2008.

"Is the Term Spread Still Speaking to Policymakers? Some International Evidence"
with Allison K. Rodean
Federal Reserve Bank of St. Louis International Economic Trends - Annual Edition, July 2007.

"Cross-Country Personal Saving Rates"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis National Economic Trends, May 2006.

"The Dollar U-Turn"
Federal Reserve Bank of St. Louis International Economic Trends, February 2006.

"Bubbling (or Just Frothy) House Prices?"
with Elizabeth A. La Jeunesse
Federal Reserve Bank of St. Louis National Economic Trends, November 2005.

"Is the Bond Market Irrational?"
Federal Reserve Bank of St. Louis Monetary Trends, July 2005.

Book Reviews and Other Publications

"Diversifying in Public Real Estate: the Ex-Post Performance"
with Carolina Fugazza and Giovanna Nicodano
FORTHCOMING: Journal of Asset Management.

"Empirical Dynamic Asset Pricing"
by K. Singleton
Econometric Reviews, September 2007, 26(5), pp. 597-604.

Recent Teaching

Research Methods for Accounting and Finance (Econometrics I)

Essentials of Finance (Asset Pricing I)

International Finance (U/G)

Asset Pricing and Portfolio Choice

Advanced Derivative Securities

Recent Conference/Seminar Presentations

University of Padua, Italy (October 2007)

European Financial Management Association, Vienna, Austria (July 2007)

Twenty-seventh Annual International Symposium on Forecasting, New York (June 2007)

Third McGill Conference on Global Asset Management, Montreal, Canada (June 2007)

INFINITI Conference on International Finance, Dublin, Ireland (June 2007)

University of Lund, Department of Economics, Sweden (April 2007)

University of Copenhagen, Joint Economics and Applied Mathematics Seminar, Denmark (November 2006)

Warwick Business School, Finance Dept, United Kingdom (November 2006)

Cambridge University, Judge Business School, CERF, United Kingdom (November 2006)

Conference "Small Open Economies in a Globalized World," Rimini, Italy (September 2006)

European Finance Association, Zurich (August 2006)

European Economic Association, Vienna (August 2006)

Econometric Society, European meetings, Vienna (August 2006)

Hong Kong Monetary Authority Conference on "International Financial Markets and the Macroeconomy," Hong Kong (July 2006)

Western Economic Association, annual conference, San Diego (June 2006)

Royal Economic Society, Nottingham (April 2006)

Society for Nonlinear Dynamics and Econometrics, Washington University in St. Louis (March 2006)

Eighth Annual Financial Econometrics Conference, University of Waterloo, Canada (March 2006)

American Finance Association, Boston (January 2006)

Doctoral Institute in Economics (DSE), Real Collegio Carlo Alberto, Turin (November 2005)

University of Virginia (October 2005)

University of Amsterdam, Finance Group, the Netherlands (September 2005)

World Congress of the Econometric Society, London, UK (August 2005)

European Financial Management Association, Milan, Italy (July 2005)

Csef-Igier Symposium of Economics and Institutions, Capri, Italy (June 2005)

University of Manchester, Manchester Business School, United Kingdom (May 2005)

Imperial College, Tanaka Business School, United Kingdom (May 2005)

University of Warwick, Warwick Business School, United Kingdom (May 2005)

University of York, Department of Economics, United Kingdom (May 2005)

California Institute of Technology (April 2005)

Purdue University, Krannert School of Management (April 2005)

Econometric Society, North American Winter meetings, Philadelphia (January 2005)

More Conferences/Seminar Presentations

Education

Degree	Institution	Major	Date
Ph.D.	University of California San Diego, CA	Economics	2000
B.A.	Bocconi University Milan, Italy	Economics	1993