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Markov switching models in empirical finance
Guidolin, Massimo - 2012 - This Version: June, 2012
Persistent link: https://www.econbiz.de/10011337359
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Ambiguity in asset pricing and portfolio choice : a review of the literature
Guidolin, Massimo; Rinaldi, Francesca - 2011
Persistent link: https://www.econbiz.de/10011337371
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Myths and facts about the alleged over-pricing of U.S. real estate evidence from multi-factor asset pricing models of REIT returns
Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011
Persistent link: https://www.econbiz.de/10011337372
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Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective
Guidolin, Massimo; Hyde, Stuart - 2011
Persistent link: https://www.econbiz.de/10011337373
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Optimal portfolios for occupational funds under time-varying correlations in bull and bear markets* : assessing the ex-post economic value
Guidolin, Massimo; Hyde, Stuart - 2012 - This version: July, 2012
Persistent link: https://www.econbiz.de/10011817936
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - 2015 - This version: December, 2015
Persistent link: https://www.econbiz.de/10011809309
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The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo; Orlov, Alexei G.; Pedio, Manuela - 2015 - This version: November, 2015
Persistent link: https://www.econbiz.de/10011809312
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - 2018 - This version: February, 2018
Persistent link: https://www.econbiz.de/10011920747
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Forecasting and trading monetary policy effects on the riskless Yield curve with regime switching Nelson‐Siegel models
Guidolin, Massimo; Pedio, Manuela - 2019 - This version: January, 2019
Persistent link: https://www.econbiz.de/10011961129