Info
Foto sezione
Logo Bocconi

MASSIMO GUIDOLIN

CV May 2020
Full Professor
Department of Finance

Personal page


Courses a.y. 2019/2020

10567 PORTFOLIO MANAGEMENT
11320 MACROECONOMIA [MACROECONOMICS]
20135 TEORIA DELLA FINANZA / THEORY OF FINANCE
20192 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 2
20356 PRECORSO DI STATISTICA / STATISTICS - PREPARATORY COURSE
20541 ADVANCED QUANTITATIVE METHODS FOR ASSET PRICING AND STRUCTURING
20550 PRECORSO DI METODI QUANTITATIVI PER LA FINANZA / QUANTITATIVE METHODS FOR FINANCE - PREPARATORY COURSE
40405 ADVANCED ECONOMETRICS 3

Courses previous a.y.


Biographical note

Born December 15th, 1968.

1993, Laurea in Economics Summa cum Laude, from Bocconi University.

1997, M.Phil. in Economics from University of California, San Diego.

2000, Ph.D. in Economics from University of California, San Diego.

 


Academic CV

I hold a Ph.D. from University of California, San Diego (year 2000). My curriculum lists periods of employment with the University of Virginia as an assistant professor in financial economics, the Federal Reserve Bank of St. Louis at first as a senior economist and then as an Assistant Vice-President (Financial Markets), and the Accounting and Finance department of Manchester Business School as a chaired full professor in Finance. 

I have also taught courses or held short-term positions at variety of instiutions around the world, such as Collegio Carlo Alberto (University of Turin), Olin Business School (Washington University in St. Louis), the Center for Research on Pensions and Welfare (CERP, University of Turin), the University of Insubria (Varese), and Universite' de Montreal in Canada. My teaching has spanned corporate finance, asset pricing theory, empirical finance, derivative pricing, and of course, econometrics both the undergraduate and graduate (MSc. and doctoral) levels.

I have published in top economics, econometrics, and finance outlets such as the American Economic Review, the Journal of Financial Economics, the Journal of Econometrics, the Review of Financial Studies, and the Economic Journal. He serves on the editorial board of a number of journals, among them the Journal of Financial Econometrics (Oxford University Press), the Journal of Economic Dynamics and Control (Elsevier Press) and the International Journal of Forecasting (Elsevier).

Between 2013 and 2019 I have directed Bocconi's FT-ranked (9th in 2018) MSc. in Finance.

 


Research areas

My research spans a number of topics, going from non-linear time series models (such models with regimes, thresholds, and structural breaks) in finance and macroeconomics, methods and models in forecasting, applied dynamic portfolio choice in the presence of predictable asset returns, empirical option pricing, and asset pricing models with learning and belief dynamics.

Recently, I have also been involved in research projects concerning the use of event studies to quantify the economic impact of events of political nature, the economics of the incentive structure affecting the actions of financial analysts, and the role of ambiguity in asset pricing and portfolio choice models.


Publications



SELECTED PUBLICATIONS

“Modeling Systemic Risk with Markov Switching Graphical SUR Models”
with D. Bianchi, R. Casarin and M. Billio
Journal of Econometrics, 2019, 210, pp. 58-74.
Abstract

“Cross-Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach”
with E. Hansen and M. Pedio
Journal of Financial Markets, 2019, 45, pp. 83-114.
Abstract

“An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings"
with E. Berwart and A, Milidonis
Journal of Corporate Finance, 2019, 59, pp. 88-118.
Abstract

“Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models”
with M. Pedio
Journal of Economic Dynamics and Control, 2019, 107, Article 103723.
Abstract

“Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis”
with G. Dal Pra, M. Pedio, and F. Vasile
Journal of Portfolio Management, 2018, 44, pp.10-24.
Abstract

“Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?”
with M. Giampietro and M. Pedio
European Journal of Operational Research, 2018, 265, pp. 685-702.
Abstract

Essentials of Time Series for Financial Applications
with M. Pedio
Academic Press/Elsevier (ISBN 9780128134108) 2018
Abstract

“Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the US Cross-Section"
with D. Bianchi and F. Ravazzolo
Journal of Business and Economic Statistics, 2017, 35, pp. 110-129.
Abstract

“Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?”
with D. Bianchi and F. Ravazzolo
Journal of Financial Econometrics, 2017, 16, pp. 34-62.
Abstract

“The Impact of Monetary Policy on Corporate Bonds under Regime Shifts"
with A. Orlov and M. Pedio
Journal of Banking and Finance, 2017, 80, pp. 176-202.
Abstract

“Ambiguity Aversion and Under-Diversification”
with H. Liu
Journal of Financial and Quantitative Analysis, 2016, 51, pp. 1297-1323.
Abstract

“Learning How to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface?”
with A. Bernales
Journal of Financial Markets, 2015, 26, pp. 1-37.
Abstract

The Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets. An Empirical Model
with V. Fabbrini and M. Pedio
2015 Palgrave McMillan Publishing Company, Basingstoke, United Kingdom.
Abstract

"Can We Forecast the Implied Volatility Surface Dynamics of Equity Options?"
with A. Bernales
Journal of Banking and Finance, 2014, 46, pp. 326-342.
Abstract

“Can Long-Run Dynamic Optimal Strategies Outperform Fixed-Mix Portfolios? Evidence from Multiple Data Sets"
with D. Bianchi
European Journal of Operational Research, 2014, 236, pp. 160-176.
Abstract

“Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance”
with B. Case and Y. Yildirim
Real Estate Economics, 2014, 42, pp. 279-342.
Abstract

“Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence”
with S. Hyde, D. McMillan, and S. Ono
Oxford Bulletin of Economics and Statistics, 2014, 76, pp. 510-535.
Abstract

"Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective"
with S. Hyde
Journal of Banking and Finance, 2012, 36, pp. 695-716.
Abstract

"Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value"
with Carolina Fugazza and Giovanna Nicodano
Real Estate Economics, 2009, 37, pp. 341-81.
Abstract

"Affiliated Mutual Funds and Analyst Optimism"
with Simona Mola
Journal of Financial Economics, 2009, 93, pp. 108-37.
Abstract

 "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach"
with Allan Timmermann
Journal of Econometrics, 2009, 150, pp. 297-311.
Abstract

"International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences"
with Allan Timmermann
Review of Financial Studies, 2008, 21, pp. 889-935.
Abstract

"Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?"
with Eliana La Ferrara
American Economic Review, 2007, 97, pp. 1978-93.
Abstract
[also CEPR discussion paper No. 3005]

"Asset Allocation under Multivariate Regime Switching"
with Allan Timmermann
Journal of Economic Dynamics and Control, 2007, 31, pp. 3503-44.
Abstract

"High Equity Premia and Crash Fears. Rational Foundations"
Economic Theory, 2006, 28, pp. 693-708.
Abstract

"Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface"
with Silvia Gonçalves
Journal of Business, 2006, 79, pp. 1591-1635.
Abstract

"Term Structure of Risk under Alternative Econometric Specifications"
with Allan Timmermann
Journal of Econometrics, 2006, 131, pp. 285-308.
Abstract

"An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns"
with Allan Timmermann
Journal of Applied Econometrics, 2006, 21, pp. 1-22.
Abstract

"Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns"
with Allan Timmermann
Economic Journal, 2005, 115, pp. 111-43.