Massimo Guidolin

Global rank #3173 96%

Institution: Università Commerciale Luigi Bocconi

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 2003

Most Recent: 2022

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	Total
Last 5 Years	0.00	0.00	0.03	0.03
Last 10 Years	0.00	1.17	4.38	6.73
All Time	1.01	5.19	15.44	29.85

Publication Statistics

Raw Publications 23

Coauthorship-Adjusted Count 21.73

Publications (23)

Year	Article	Journal	Tier	Authors
2022	Forecasting: theory and practice	International Journal of Forecasting	B	80
2019	Modeling systemic risk with Markov Switching Graphical SUR models	Journal of Econometrics	A	4
2019	An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings	Journal of Corporate Finance	B	3
2019	Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models	Journal of Economic Dynamics and Control	B	2
2018	Predictions of short-term rates and the expectations hypothesis	International Journal of Forecasting	B	2
2017	Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section	Journal of Business & Economic Statistics	A	3
2017	The impact of monetary policy on corporate bonds under regime shifts	Journal of Banking & Finance	B	3
2016	Ambiguity Aversion and Underdiversification	Journal of Financial and Quantitative Analysis	B	2
2014	Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests	Journal of Banking & Finance	B	2
2014	Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence	Oxford Bulletin of Economics and Statistics	B	4
2012	Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective	Journal of Banking & Finance	B	2
2009	Forecasts of US short-term interest rates: A flexible forecast combination approach	Journal of Econometrics	A	2
2009	Non-linear predictability in stock and bond returns: When and where is it exploitable?	International Journal of Forecasting	B	4
2009	Affiliated mutual funds and analyst optimism	Journal of Financial Economics	A	2
2008	International asset allocation under regime switching, skew, and kurtosis preferences	The Review of Financial Studies	A	2
2007	Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms?	American Economic Review	S	2
2007	Properties of equilibrium asset prices under alternative learning schemes	Journal of Economic Dynamics and Control	B	2
2007	Asset allocation under multivariate regime switching	Journal of Economic Dynamics and Control	B	2
2006	Term structure of risk under alternative econometric specifications	Journal of Econometrics	A	2
2006	High equity premia and crash fears - Rational foundations	Economic Theory	B	1
2006	An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns	Journal of Applied Econometrics	B	2
2005	Home Bias and High Turnover in an Overlapping‐generations Model with Learning	Review of International Economics	B	1
2003	Option prices under Bayesian learning: implied volatility dynamics and predictive densities	Journal of Economic Dynamics and Control	B	2