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Massimo Guidolin

Assistant Vice President


Ph.D. Economics
University of California, San Diego, CA

B.A. Economics
Bocconi University, Milan, Italy

Contact Info

Research Division
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442

For media inquiries contact:
Laura Girresch
Office: (314) 444-6166
Cell: (314) 348-3639

Forthcoming Publications

"Time And Risk Diversification In Real Estate Investments: Assessing The Ex Post Economic Value"
with Carolina Fugazza and Giovanna Nicodano.
FORTHCOMING: Real Estate Economics.

"Affiliated Mutual Funds And Analyst Optimism"
with Simona Mola.
FORTHCOMING: Journal of Financial Economics.

"The Economic Effects Of Violent Conflict: Evidence From Asset Market Reactions"
with Eliana La Ferrara.
FORTHCOMING: Journal of Peace Research.


Journal Publications

"How Did The Financial Crisis Alter The Correlations Of U.S. Yield Spreads?"
with Silvio Contessi and Pierangelo De Pace.
Journal of Empirical Finance, 28, pp. 362-385, September 2014.

"A Simple Model Of Trading And Pricing Risky Assets Under Ambiguity: Any Lessons For Policy-Makers?"
with Francesca Rinaldi.
Applied Financial Economics, 20(1/2), pp. 105-35, January 2010.

"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.

"Forecasts Of US Short-term Interest Rates: A Flexible Forecast Combination Approach"
with Allan Timmermann.
Journal of Econometrics, 150(2), pp. 297-311, June 2009.

"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, 25(2), pp. 373-99, April-June 2009.

"What Tames The Celtic Tiger? Portfolio Implications From A Multivariate Markov Switching Model"
with Stuart Hyde.
Applied Financial Economics, 19(6), pp. 463-88, March 2009.

"Small Caps In International Equity Portfolios: The Effects Of Variance Risk"
with Giovanna Nicodano.
Annals of Finance, 5(1), pp. 15-48, January 2009.

"Diamonds Are Forever, Wars Are Not. Is Conflict Bad For Private Firms?"
with Eliana La Ferrara.
American Economic Review, 97(5), pp. 1978-1993, December 2008.

"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, 18(4), pp. 293-312, October 2008.

"The Economic And Statistical Value Of Forecast Combinations Under Regime Switching: An Application To Predictable US Returns"
with Carrie Fangzhou Na.
Forecasting in the Presence of Structural Breaks and Model Uncertainty, M. Wohar and D. Rapach, eds., pp. 601-61, May 2008.

"International Asset Allocation Under Regime Switching, Skew And Kurtosis Preferences"
with Allan Timmermann.
Review of Financial Studies, 21(2), pp. 889-935, April 2008.

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

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

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

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

"Are The Dynamic Linkages Between The Macroeconomy And Asset Prices Time-Varying?"
with Sadayuki Ono.
Journal of Economics and Business, 58(5-6), pp. 480-518, October-November 2006.

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

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

"Pessimistic Beliefs Under Rational Learning: Quantitative Implications For The Equity Premium Puzzle"
Journal of Economics and Business, 58(2), pp. 85-118, March-April 2006.

"Term Structure Of Risk Under Alternative Econometric Specifications"
with Allan Timmermann.
Journal of Econometrics, 131(1-2), pp. 285-308, March-April 2006.

"Modelling The MIB30 Implied Volatility Surface. Does Efficiency Matter?"
with Gianluca Cassese.
International Review of Financial Analysis, 15(2), pp. 145-78, 2006.

"An Econometric Model Of Nonlinear Dynamics In The Joint Distribution Of Stock And Bond Returns"
with Allan Timmermann.
Journal of Applied Econometrics, 21(1), pp. 1-22, January 2006.

"Home Bias And High Turnover In An Overlapping Generations Model With Learning"
Review of International Economics, 13(4), pp. 725-56, September 2005.

"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.


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