Picture of Massimo Guidolin

Standard Vita

Expanded Vita

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

Assistant Vice President

Main Publications in Academic Refereed Journals

"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, June 2009, 150(2), pp. 297-311.
[also CEPR discussion paper No. 6188]

"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.

"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.

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

"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.

"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]

"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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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

"A Bayesian Multi-Factor Model of Instability in Prices and Quantities of Risk in U.S. Financial Markets"
with Francesco Ravazzolo and Andrea Donato Tortora
Working Paper 2011-003A, posted January 2011.

"Predictions of Short-Term Rates and the Expectations Hypothesis"
with Daniel L. Thornton
Working Paper 2010-013B, posted May 2010, updated January 2011.

"Regime Shifts in Mean-Variance Efficient Frontiers: Some International Evidence"
with Federica Ria
Working Paper 2010-040A, posted October 2010, updated November 2010.

"Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence"
with Stuart Hyde, David McMillan, and Sadayuki Ono
Working Paper 2010-039A, posted October 2010.

"Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature"
with Francesca Rinaldi
Working Paper 2010-028A, posted September 2010.

"A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence"
with Yu Man Tam
Working Paper 2010-026A, posted August 2010.

"Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective"
with Stuart Hyde
Working Paper 2010-002B, posted January 2010, updated August 2010.

"1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus"
with Carolina Fugazza and Giovanna Nicodano
Working Paper 2010-003A, posted January 2010.

"Managing International Portfolios with Small Capitalization Stocks"
with Giovanna Nicodano
Working Paper 2007-030A, posted August 2007.

"Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?"
with Simona Mola
Working Paper 2006-034A, posted May 2006.

"Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences"
Working Paper 2005-006A, posted January 2005.

Commentary and Policy Articles

"The Effects of Large-Scale Asset Purchases on TIPS Inflation Expectations"
with Christopher J. Neely
Federal Reserve Bank of St. Louis National Economic Trends, September 2010.

"A Yield Spread Perspective of the Financial Crisis"
with Yu Man Tam
Federal Reserve Bank of St. Louis Monetary Trends, October 2009.

"Taming the Long-Term Spreads"
with Yu Man Tam
Federal Reserve Bank of St. Louis Monetary Trends, June 2009.

"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

"Detecting and Exploiting Regime Switching ARCH Dynamics in US Stock and Bond Returns"
in G. Gregoriou, ed., Stock Market Volatility, 2009, pp. 92-133, Chapman Hall, London.

"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.

"Diversifying in Public Real Estate: the Ex-Post Performance"
with Carolina Fugazza and Giovanna Nicodano
Journal of Asset Management, February 2008, 8(6), pp. 361-73.

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

Service/Journal Editorial Board Membership

International Journal of Forecasting

Journal of Business Finance and Accounting

Studies in Nonlinear Dynamics and Econometrics

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

Recent Conference/Seminar Presentations

American Real Estate and Urban Economics Association Annual Conference, ASSA meetings, Atlanta (January 2010)

Université de Montreal, Economics Department, Canada (November 2009)

Central Bank of Norway, Research Department, Oslo (October 2009)

University of Adelaide, Finance Department (August 2009)

Monash University, Finance Department (August 2009)

University of Melbourne, Finance Department (August 2009)

University of Technology, Sydney, Economics and Business Faculty (August 2009)

University of New South Wales, Sydney, Finance Department (August 2009)

University of Piraeus, Department of Finance, Athens, Greece (June 2009)

Tilburg University, Department of Finance, the Netherlands (May 2009)

University of Rome, Tor Vergata, Italy (May 2009)

University of Glasgow, Department of Economics, UK (February 2009)

University College Dublin, School of Management, Department of Finance, Ireland (February 2009)

Lancaster School of Management, Department of Accounting and Finance, UK (January 2009)

Queen Mary College, University of London, Department of Economics, UK (January 2009)

American Real Estate and Urban Economics Association Annual Conference, ASSA meetings, San Francisco (January 2009)

Bocconi University, Department of Finance, Milan, Italy (November 2008)

Citigroup Annual Quant Conference, Athens, Greece (June 2008)

INFINITI Conference on International Finance, Dublin, Ireland (June 2008)

ECARES, Free University, Brussels, Belgium (May 2008)

Oxford-Man Institute, Oxford University (March 2008)

Erasmus University, Econometric Institute, Rotterdam, the Netherlands (March 2008)

University of Manchester, Department of Economics (February 2008)

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)

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)

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

American Finance Association, Boston (January 2006)

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