Publications
Giampietro, M., Guidolin, M., and Pedio, M. (2018). "Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing", European Journal of Operational Research, 265, 685-702.
Ferrario, A., Guidolin, M., and Pedio, M. (2018) "Comparing In- and Out-of-Sample Approaches to Variance Decomposition-Based Estimates of Network Connectedness an Application to the Italian Banking System", Quantitative Finance and Economics, 2, 661-701.
Guidolin, M., Hansen, E., and Lozano-Banda, M. (2018) "Portfolio Performance of Linear SDF Models: an Out-of-Sample Assessment", Quantitative Finance, 18, 1425-1436.
Dal Pra, G., Guidolin, M., Pedio, M., and Vasile, F. (2018), "Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis", The Journal of Portfolio Management, 44, 10-24.
Guidolin, M., Orlov, A. G., and Pedio, M. (2018), "How Good can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns", Quantitative Finance, 18, 139-169.
Bianchi, D., Guidolin, M., and Ravazzolo, F. (2017), "Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?", Journal of Financial Econometrics, 16, 34-62.
Caloiero, E., and Guidolin, M., (2017), "Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance?", Quantitative Finance and Economics, 1, 334-362.
De Franco, C., Guidolin, M., and Monnier, B. (2017), "The Robustness of the Volatility Factor: Linear versus Nonlinear Factor Model", Journal of Index Investing, 8, 75-88.
Guidolin, M., Orlov, A., and Pedio, M. (2017), “The Impact of Monetary Policy on Corporate Bonds under Regime Shifts", Journal of Banking and Finance, 80, 176-202.
Guidolin, M. and Pedio, M. (2017), “Identifying and Measuring the Contagion Channels at Work in the European Financial Crises” Journal of International Financial Markets, Institutions and Money, 48, 117-134.
Chincoli, F. and Guidolin, M. (2017), "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence", Journal of Asset Management, 18, 476-509.
Fabbrini, V., Guidolin, Massimo, and Pedio, M. (2015), “The Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets. An Empirical Model”, Palgrave McMillan Publishing Company, Basingstoke, United Kingdom.
Guidolin, M., Orlov, A., and Pedio, M. (2014), “Unconventional Monetary Policies and the Corporate Bond Market”, Finance Research Letters, 11, 203-212.
Bianchi, D, and Guidolin, M (2014), “Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets", European Journal of Operational Research, 236, 160-176.
Ferrario, A., Guidolin, M., and Pedio, M. (2018) "Comparing In- and Out-of-Sample Approaches to Variance Decomposition-Based Estimates of Network Connectedness an Application to the Italian Banking System", Quantitative Finance and Economics, 2, 661-701.
Guidolin, M., Hansen, E., and Lozano-Banda, M. (2018) "Portfolio Performance of Linear SDF Models: an Out-of-Sample Assessment", Quantitative Finance, 18, 1425-1436.
Dal Pra, G., Guidolin, M., Pedio, M., and Vasile, F. (2018), "Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis", The Journal of Portfolio Management, 44, 10-24.
Guidolin, M., Orlov, A. G., and Pedio, M. (2018), "How Good can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns", Quantitative Finance, 18, 139-169.
Bianchi, D., Guidolin, M., and Ravazzolo, F. (2017), "Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?", Journal of Financial Econometrics, 16, 34-62.
Caloiero, E., and Guidolin, M., (2017), "Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance?", Quantitative Finance and Economics, 1, 334-362.
De Franco, C., Guidolin, M., and Monnier, B. (2017), "The Robustness of the Volatility Factor: Linear versus Nonlinear Factor Model", Journal of Index Investing, 8, 75-88.
Guidolin, M., Orlov, A., and Pedio, M. (2017), “The Impact of Monetary Policy on Corporate Bonds under Regime Shifts", Journal of Banking and Finance, 80, 176-202.
Guidolin, M. and Pedio, M. (2017), “Identifying and Measuring the Contagion Channels at Work in the European Financial Crises” Journal of International Financial Markets, Institutions and Money, 48, 117-134.
Chincoli, F. and Guidolin, M. (2017), "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence", Journal of Asset Management, 18, 476-509.
Fabbrini, V., Guidolin, Massimo, and Pedio, M. (2015), “The Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets. An Empirical Model”, Palgrave McMillan Publishing Company, Basingstoke, United Kingdom.
Guidolin, M., Orlov, A., and Pedio, M. (2014), “Unconventional Monetary Policies and the Corporate Bond Market”, Finance Research Letters, 11, 203-212.
Bianchi, D, and Guidolin, M (2014), “Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets", European Journal of Operational Research, 236, 160-176.