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International asset prices and portfolio choices under Bayesian learning
Guidolin, Massimo - In: Research in economics : an international review of economics 57 (2003) 4, pp. 383-437
Persistent link: https://www.econbiz.de/10001846030
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Sentiment Risk Premia in the Cross-Section of Global Equity
Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2020
This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We find that news andsocial media search-based indicators are significantly related to excess returns of internationalequity...
Persistent link: https://www.econbiz.de/10012832768
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Sentiment risk premia in the cross-section of global equity and currency returns
Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2019 - This version: August 28, 2019
Persistent link: https://www.econbiz.de/10012101492
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Ambiguity aversion and under-diversification
Guidolin, Massimo; Liu, Hening - 2013 - This version: January, 2013
Persistent link: https://www.econbiz.de/10011814332
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - 2018 - This version: February, 2018
Persistent link: https://www.econbiz.de/10011920747
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Time-varying risk aversion and international stock returns
Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2023 - This version: August 2023
Persistent link: https://www.econbiz.de/10014470638
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Essentials of time series for financial applications
Guidolin, Massimo; Pedio, Manuela - 2018
Intro; Title page; Table of Contents; Copyright; List of Figures; List of Tables; Preface; Chapter 1. Linear Regression Model; Abstract; 1.1 Inference in Linear Regression Models; 1.2 Testing for Violations of the Linear Regression Framework; 1.3 Specifying the Regressors; 1.4 Issues With...
Persistent link: https://www.econbiz.de/10012384956
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International asset allocation under regime switching, skew and kurtosis preferences
Guidolin, Massimo; Timmermann, Allan - In: The review of financial studies 21 (2008) 2, pp. 889-935
Persistent link: https://www.econbiz.de/10003716663
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003739548