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International asset prices and portfolio choices under Bayesian learning

Guidolin, Massimo - In: Research in economics : an international review of economics 57 (2003) 4, pp. 383-437

Persistent link: https://www.econbiz.de/10001846030

Pessimistics beliefs under rational learning: Quantitative implications for the equity premium puzzle

Guidolin, Massimo - In: Journal of economics & business 58 (2006) 2, pp. 85-118

Persistent link: https://www.econbiz.de/10003290028

Home bias and high turnover in an overlapping-generations model with learning

Guidolin, Massimo - In: Review of international economics 13 (2005) 4, pp. 725-756

Persistent link: https://www.econbiz.de/10003093723

Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach advocated by Fama and MacBeth (1973). The second approach is based on a Bayesian...

Persistent link: https://www.econbiz.de/10010409453

Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?

Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37

Persistent link: https://www.econbiz.de/10011477269

Volatility as an alternative asset class : does it

Caloiero, Elvira; Guidolin, Massimo - In: Quantitative finance and economics 1 (2017) 4, pp. 334-362

Persistent link: https://www.econbiz.de/10012137825

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 - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129

Persistent link: https://www.econbiz.de/10011704120

Myths and facts about the alleged over-pricing of US real estate : evidence from multi-factor asset pricing models of REIT returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The journal of real estate finance and economics 49 (2014) 4, pp. 477-523

Persistent link: https://www.econbiz.de/10010422266

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

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