Massimo Guidolin

Economics and Econometrics · 2003–2020

A researcher in the Science corpus: 14 papers; trusts 98 researchers and is trusted by 22 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 394 citations into it; #6,083 of 23,481 by trust here, #4,106 by citations
• Finance — 286 citations into it; #1,538 of 10,518 by trust here, #1,277 by citations
• Management Science and Operations Research — 227 citations into it
• Statistics and Probability — 101 citations into it
• Artificial Intelligence — 83 citations into it
• Accounting — 53 citations into it; #4,037 of 8,970 by trust here, #3,550 by citations
• General Decision Sciences — 46 citations into it
• Signal Processing — 37 citations into it

Whom Massimo Guidolin trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Andrew Ang
2. Nicholas Barberis
3. Allan G. Timmermann
4. Geert Bekaert
5. Eugene F. Fama
6. Gabriel Pérez-Quirós
7. John Y. Campbell
8. Yihong Xia
9. John M. Maheu
10. Pascal J. Maenhout

Who trusts Massimo Guidolin overall

1. Allan G. Timmermann
2. Barbara Rossi
3. Julien Chevallier
4. Jan Bulla
5. Torben G. Andersen
6. Andrew Ang
7. Geert Bekaert
8. Gurdip Bakshi
9. Renée Fry
10. Eirini Konstantinidi

Papers from Massimo Guidolin's perspective

Ordered by how strongly the researchers Massimo Guidolin trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
3. Generalized autoregressive conditional heteroskedasticity
4. Common risk factors in the returns on stocks and bonds
5. Term premia and interest rate forecasts in affine models
6. Estimating the Dimension of a Model
7. International Asset Allocation With Regime Shifts
8. The jump-risk premia implicit in options: evidence from an integrated time-series study $
9. Consumption, aggregate wealth and expected stock returns
10. The Cross‐Section of Expected Stock Returns

Their papers

• Asset Allocation Under Multivariate Regime Switching (2005) — 439 citations
• An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns (2005) — 276 citations
• Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach (2005) — 110 citations
• Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns (2005) — 216 citations
• Forecasting: theory and practice (2020) — 551 citations
• Modeling systemic risk with Markov Switching Graphical SUR models (2019) — 69 citations
• Markov Switching Models in Empirical Finance (2011) — 123 citations
• Ambiguity in asset pricing and portfolio choice: a review of the literature (2010) — 180 citations
• Affiliated mutual funds and analyst optimism (2007) — 187 citations
• Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (2005) — 137 citations
• The economic effects of violent conflict: Evidence from asset market reactions (2005) — 234 citations
• International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005) — 432 citations
• Diamonds are Forever, Wars are Not - Is Conflict Bad for Private Firms? (2005) — 313 citations
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities (2003) — 85 citations