Massimo Guidolin

发表

Essentials of Time Series for Financial Applications

Massimo Guidolin, Manuela Pedio, Massimo Guidolin, 2018 .

Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets

Daniele Bianchi, Massimo Guidolin, Daniele Bianchi, 2013, Eur. J. Oper. Res..

Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing

Massimo Guidolin, Manuela Pedio, Marta Giampietro, 2018, Eur. J. Oper. Res..

Mildly Explosive Dynamics in U.S. Fixed Income Markets

Massimo Guidolin, Silvio Contessi, Pierangelo De Pace, 2017, Eur. J. Oper. Res..

Markov Switching Models

Massimo Guidolin, Manuela Pedio, 2018 .

Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment

Massimo Guidolin, Stuart Hyde, Massimo Guidolin, 2012, Comput. Stat. Data Anal..

Forecasting: theory and practice

Fotios Petropoulos, Nikolaos Kourentzes, Daniele Apiletti, 2020, International Journal of Forecasting.

Vector Autoregressive Moving Average (VARMA) Models

Massimo Guidolin, Manuela Pedio, 2018 .

Results from Markov Switching Models

Massimo Guidolin, Manuela Pedio, Viola Fabbrini, 2016 .

Can Big Data Help to Predict Conditional Stock Market Volatility? An Application to Brexit

Massimo Guidolin, Manuela Pedio, Vittorio Bellini, 2020, LOD.

Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit

Massimo Guidolin, Manuela Pedio, 2021 .

Sharpening the Accuracy of Credit Scoring Models with Machine Learning Algorithms

Massimo Guidolin, Manuela Pedio, Massimo Guidolin, 2021, Data Science for Economics and Finance.

Dynamic Portfolio Management with Machine Learning

Massimo Guidolin, Emmanouil Platanakis, Xinyu Huang, 2021 .

Subjective probabilities: psychological evidence and economic applications

Michael T. Owyang, Massimo Guidolin, Makoto Shimoji, 2003 .

Markov Switching Models in Empirical Finance

Massimo Guidolin, Massimo Guidolin, 2011 .

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2007 .

The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns

Massimo Guidolin, Carrie Fangzhou Na, 2006 .

Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

Massimo Guidolin, Manuela Pedio, Giulia Dal Pra, 2018 .

Option Prices Under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2001 .

An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2004 .

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

Massimo Guidolin, Manuela Pedio, Massimo Guidolin, 2019, SSRN Electronic Journal.

Does Predictability Matter ? *

Massimo Guidolin, Massimo Guidolin, Carolina Fugazza, 2005 .

Asset Allocation Under Multivariate Regime Switching

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2006 .

Size and Value Anomalies under Regime Shifts

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2007 .

Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2005 .

Term Structure of Risk Under Alternative Econometric Specifications

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2004 .

Forecasts of Us Short-Term Interest Rates: A Flexible Forecast Combination Approach

Massimo Guidolin, Allan Timmermann, A. Timmermann, 2006 .