Education
Ph.D. Economics
University of California
San Diego, CA
2000
B.A. Economics
Bocconi University
Milan, Italy
1993
Contact Info
Email: max.guidolin@gmail.com
Massimo Guidolin
Publications in Academic Refereed Journals
"The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions"
with Eliana La Ferrara
FORTHCOMING: Journal of Peace Research
"A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?"
with Francesca Rinaldi
Applied Financial Economics, January 2010, 20(1/2), pp. 105-35.
"Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value"
with Carolina Fugazza and Giovanna Nicodano
Real Estate Economics, Fall 2009, 37(3), pp. 341-81.
"Affiliated Mutual Funds and Analyst Optimism"
with Simona Mola
Journal of Financial Economics, July 2009, 93(1), pp. 108-37.
"Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?"
with Stuart Hyde, David McMillan, and Sadayuki Ono
International Journal of Forecasting, April-June 2009, pp. 373-99.
"Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach"
with Allan Timmermann
Journal of Econometrics, June 2009, 150(2), pp. 297-311.
[also CEPR discussion paper No. 6188]
"What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model"
with Stuart Hyde
Applied Financial Economics, March 2009, 19(6), pp. 463-88.
"Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK"
with Stuart Hyde
Journal of Multinational Financial Management, October 2008, 18(4), pp. 293-312.
"The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns"
with Carrie Na
in David E. Rapach and Mark E. Wohar (eds.), Vol. 3 of Frontiers of Economics and Globalization, May 2008, pp. 601-61, United Kingdom: Emerald.
"Small Caps in International Equity Portfolios: The Effects of Variance Risk"
with Giovanna Nicodano
Annals of Finance, January 2009, 5(1), pp. 15-48.
"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences"
with Allan Timmermann
Review of Financial Studies, February 2008, 21(2), pp. 889-935.
"Size and Value Anomalies under Regime Shifts"
with Allan Timmermann
Journal of Financial Econometrics, January 2008, 6(1), pp. 1-48.
"Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?"
with Eliana La Ferrara
American Economic Review, December 2007, 97(5), pp. 1978-93.
[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.
"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.
"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.
"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.
"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.
"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.
"Term Structure of Risk under Alternative Econometric Specifications"
with Allan Timmermann
Journal of Econometrics, March-April 2006, 131(1-2), pp. 285-308.
[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.
"Modelling the MIB30 Implied Volatility Surface. Does Market Efficiency Matter?"
with Gianluca Cassese
International Review of Financial Analysis, 2006, 15(2), pp. 145-78.
"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.
"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.