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Working papers / Innocenzo Gasparini Institute for Economic Research
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Markov switching models in empirical finance
Guidolin, Massimo
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2012
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This Version: June, 2012
Persistent link: https://www.econbiz.de/10011337359
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2
Ambiguity in asset pricing and portfolio choice : a review of the literature
Guidolin, Massimo
;
Rinaldi, Francesca
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2011
Persistent link: https://www.econbiz.de/10011337371
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3
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, …
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2011
Persistent link: https://www.econbiz.de/10011337372
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4
Can VAR models capture regime shifts in asset returns? : a long-horizon strategic asset allocation perspective
Guidolin, Massimo
;
Hyde, Stuart
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2011
Persistent link: https://www.econbiz.de/10011337373
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5
Modeling systemic risk with Markov switching graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
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2018
-
This version: July, 2018
Persistent link: https://www.econbiz.de/10011920738
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6
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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7
Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro
;
Guidolin, Massimo
-
2015
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This version: December, 2015
Persistent link: https://www.econbiz.de/10011809309
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8
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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9
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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10
The effects of information asymmetries on the success of stock option listings
Bernales, Alejandro
;
Guidolin, Massimo
-
2013
-
This version: June, 2013
Persistent link: https://www.econbiz.de/10011814193
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