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MASSIMO GUIDOLIN

Topics for MSc. dissertations (research theses and not)

If you care for any of these topics, come and visit me during office hours to discuss whether we may have a match of incentives and goals.

No e-mails, personal visit is required.

Remember: no faculty member is forced to accept your as a supervisee, especially if this faculty member supervises already a dozen theses or more. Therefore, DROP BY AND DISCUSS topics, do not simply start working on them on your own.

IMPORTANT: EFFECTIVE JUNE 21, 2018, I WILL ACCEPT RESEARCH THESES IF AND ONLY IF AS STUDENT HAS SUCCESSFULLY WRITTEN MY OPTIONAL EXAM, 20541 - ADVANCED QUANTITATIVE METHODS FOR ASSET PRICING AND STRUCTURING, see

http://didattica.unibocconi.it/ts/tsn_anteprima2006.php?cod_ins=20541&anno=2018&IdPag=6066

Note that up to 6 optional exams can be taken (and will count for a student's final GPA).

 

1. Component models for dynamic correlations (Subject: Econometrics; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

2. Design-free estimation of covariance matrices (Subject: Econometrics; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

3. How much mileage can simple regression methods give us in applied asset pricing and portfolio choice? (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

4. Arbitrage-free modelling of the dynamics in the Implied Volatility Surface from option prices (Subject: Derivatives; level: medium/high, 6/7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

5. Asset pricing models applied to (forecasting) the cross-section of commodity returns (Subject: Asset Pricing; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

6. Asset pricing with beliefs-dependent, time-varying risk aversion and learning (Subject: Asset Pricing; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

7. Applications to finance of Bayesian structural VAR modelling (Subject: Econometrics; level:  very high, 8 pts. goal), see, e.g., this paper.

8. Solving long-run, multi-period, dynamic mean-variance problems (Subject: Portfolio Choice; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

9. Long-horizon predictability in real estate finance, statistical issues and economic value generation (Subject: Econometrics and Portfolio Choice; level: medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

10. The economic determinants of the prices of precious metals (Subject: Portfolio Choice; level medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

11. Bond portfolio optimization using dynamic factor models (Subject: Portfolio Choice; level medium, approx. 6/7 pts. goal), see, e.g., this paper.

12. Can we use GARCHX models to improve predictive accuracy? (Subject: Econometrics; level: medium, approx. 6/7 pts. goal), see, e.g., this paper.

13. Discrete-time linear affine term structure models with ARCH (Subject: Fixed Income; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

14. The interest rate effects of the size and structure of government's debt and deficits (Subject: Fixed Income; level: medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

15. A re-examination of stock return predictability based on time changed processes (Subject: Econometrics; level: very high, approx. 8 pts. goal), see, e.g., this paper.

16. The factor structure in equity options (Subject: Derivatives; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

17. The effects of the presence of "bagholders" (investor who have over-paid at inception and sit on large initial losses) on the cross-section of asset prices (not only stocks) (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this definition.

18. Consistent factor estimation in dynamic factor models with structural instability (Subject: Econometrics; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

19. Dynamic modelling and forecasting of VIX and SKEW CBOE indices (Subject: Derivatives; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

20. Dynamic econometric modelling of worldwide shadow rates and their predictive power for asset returns ( Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

21. Dynamic econometrics and forecasting models for international house price data (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

22. Dynamic factor models for the cross-section of equties and their forecasting power (Subject: Asset Pricing; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

23. Dynamic Nelson-Siegel Models of the riskless yield curve and their forecasting performace at the zero-lower bound (Subject: Fixed Income; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

24. Nonparametric dynamics of state price densities for option pricing (Subject: Derivatives; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

25. Macroeconomic determinants of the nominal treasury yield curve (Subject: Asset Pricing and Fixed Income; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

26. Economic policy uncertainty index and its effects on financial markets (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

27. Empirical corporate bond pricing (Subject: Fixed Income; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

28. ESG (Environment, Society, Governance) investing, factor, fashion or anomaly? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

29. Expectations and uncertainty measurement in Markov switching models (Subject: Econometrics; level very high, approx. 8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES

30. Large-scale portfolio allocation under transaction costs and model uncertainty (Subject: Portfolio Choice; level very high, approx. 8 pts. goal), see, e.g., this paper.

31. Hedge funds -- do they really create economic value to investors? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

32. Higher-order moments in optimal portfolio selection (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

33. Climate change risks and asset prices (Subject: Asset Pricing; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

34. Asset pricing and portfolio choice implications of rolling window selection for out-of-sample forecasting (Subject: Econometrics; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

35. Instability and breaks in preditive finance relationships (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paper.

36. Is Black-Scholes formula really dead in a forecasting and practical perspective (Subject: Derivatives; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

37. Is the real estate sector more responsive to economy-wide or housing market conditions (Subject: Real Estate Finance and Portfolio Choice; level: medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

38. Crowded trades in asset pricing and portfolio choice (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

39. Local Gaussian correlation in a nonlinear and alternative approaches in an empirical re-examination of contagion (Subject: Econometrics; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

40. Network models of contagion and non-linear association of asset returns (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

41. Structured derivatives and their use in portfolio management (Subject: Derivatives; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

42. Pricing derivatives on fixed income securities under general processes (Subject: Derivatives; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

43. Repogeddon of the Fall 2019 and financial market stress (Subject: Fixed Income; level medium, approx. 6 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

44. Sentiment and social media asset pricing and ptf choice (Subject: Asset Pricing and Portfolio Choice; level: high, 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

45. A simiilarity based approach to forecasting in empirical finance (Subject: Asset Pricing and Portfolio Choice; level: very high, 8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

46. Smart beta strategies in asset management  (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

47. Smooth dynamic factor analysis with applications to the US term structure of interest rates (Subject: Fixed Income; level: high, 7/8 pts. goal), see, e.g., this paper.

48. Static and regime-switching weighting schemes for investment style factors (Subject: Asset Pricing and Portfolio Choice; level: medium, 6/7 pts. goal), see, e.g., this postALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

49. Estimating turning points using large data sets with applications to bull and bear market classification and forecasting  (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paper

50. The yield curve and the macro-economy across time and frequencies (Subject: Fixed Income; level: medium/high, 7 pts. goal), see, e.g., this paper

51. Predictive Regressions a Present Value Approach (Subject: Asset Pricing; level: medium/high, 7 pts. goal), see, e.g., this paper

52. VAR for VaR, measuring tail dependence using multivariate tail rsk (Subject: Econometrics and Risk Management; level: medium/high, 7 pts. goal), see, e.g., this paper

Last change 07/11/2019