"What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model"
with Stuart Hyde
FORTHCOMING: Applied Financial Economics
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)
"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences"
with Allan Timmermann
Review of Financial Studies, February 2008, 21(2), pp. 889-935.
Abstract
"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
"Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying?"
with Sadayuki Ono
Journal of Economics and Business, October-November 2006, 58(5-6), pp. 480-518.
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
"Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle"
Journal of Economics and Business, March-April 2006, 58(2), pp. 85-118.
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
"Modelling the MIB30 Implied Volatility Surface. Does Market Efficiency Matter?"
with Gianluca Cassese
International Review of Financial Analysis, 2006, 15(2), pp. 145-78.
Abstract
"Forecasting and Trading S&P 500 Index Options Volatility"
Finance Letters, October 2005, 3(5), pp. 1-11.
"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.
"Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High Frequency Data"
with Gianluca Cassese
Economic Notes, July 2004, 33(2), pp. 1-28.
"International Asset Prices and Portfolio Choices Under Bayesian Learning"
Research in Economics, December 2003, 57(4), pp. 383-437.
"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].
"Recursive Modelling of Nonlinear Dynamics in UK Stock Returns"
with Allan Timmermann
The Manchester School, 2003, 71(4), pp. 381-95.
