Biography
Massimo Guidolin has a PhD in Economics from University of California, San Diego (2000). Before joining MBS as a chair professor in 2006, Massimo has held posts as an assistant professor at Bocconi University and then at University of Virginia (Econ), in the United States. In 2004 he joined the Research Division of the Federal Reserve System in the US (St Louis) as a senior economist specialising in financial markets. In 2006 he was promoted to Assistant Vice-President within the FED system, before joining MBS. Prof Guidolin has spent time as a visiting scholar at a variety of institutions and in different countries, such as Olin Business School (Washington University, US), Université de Montreal in Canada, and Collegio Carlo Alberto, Turin, Italy. He has been holding professorial appointments to teach finance courses at various institutions, most recently at CORIPE (University of Turin).
Massimo has taught and published original research in a variety of fields spanning a wide and modern notion of financial economics: the theory and econometrics of derivative pricing, asset pricing theory and econometrics, macro-style dynamic general equilibrium models of finance phenomena, as well as financial econometrics (ie risk management and forecasting applications).
Recently, Massimo's research has focused on a number of related applications:
- Optimal dynamic asset allocation models in the presence of non-linear dynamics of asset returns, such regimes, stochastic volatility, and breaks
- Forecasting non-linear time series and the value of mixing different forecasts in a variety of applications and environments
- The effects of new classes of assets (eg real estate investment vehicles, small capitalisation stocks, index funds specialising in emerging markets) for optimal portfolio selection
- Using information from financial markets (prices and returns) to evaluate the impact of social and political phenomena (such as conflict and political instability) on growth potential
- Writing and solving dynamic general equilibrium models of asset prices when beliefs follow rational dynamic processes induced by the existence of incomplete information on the processes driving fundamentals (dividends, earnings, monetary policy, etc)
Chapters in booksJournal articles- Guidolin, M. & Hyde, S.J. 2009, 'What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model', Applied Financial Economics, vol. 19, pp. 463-488.
- Guidolin, M. & Hyde, S.J. 2008, 'Equity Portfolio Diversification under Time-Varying Predictability: Evidence from Ireland, the US, and the UK', Journal of Multinational Financial Management, vol. 18, pp. 293-312.
- Guidolin, M., Fugazza, C. & Nicodano, G. 2007, 'Investing for the Long-Run in European Real Estate. Does Predictability Matter?', Journal of Real Estate Finance and Economics, vol. 34, pp. 725-756.
- Guidolin, M. & Timmermann, A. 2007, 'Properties of Asset Prices under Alternative Learning Schemes', Journal of Economic Dynamics and Control, vol. 31, pp. 161-217.
- Gonçalves, S. & Guidolin, M. 2006, 'Predictable Dynamics in the S and P 500 Index Options Implied Volatility Surface', Journal of Business, vol. 79(3), pp. 1591-1635.
- Guidolin, M. & Timmermann, A. 2006, 'Term Structure of Risk under Alternative Econometric Specifications', Journal of Econometrics, vol. 131, pp. 285-308.
- Guidolin, M. 2006, 'High Equity Premia and Crash Fears. Rational Foundations', Economic Theory, vol. 28, pp. 693-708.
- Guidolin, M. & Timmermann, A. 2006, 'An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns', Journal of Applied Econometrics, vol. 21, pp. 1-22.
- Guidolin, M. 2006, 'Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle', Journal of Economics and Business, vol. 58, pp. 85-118.
- Guidolin, M. & Timmermann, A. 2005, 'Term structure of risk under alternative econometric specifications ', Journal of Econometrics, vol. 131(1-2), pp. 285-308.
- Guidolin, M. & Timmermann, A. 2004, 'Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns', Economic Journal, vol. 115(500), pp. 111-143.
- Guidolin, M. & Timmermann, A. 2001, 'Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities', Journal of Economic Dynamics and Control, vol. 27(5), pp. 717-769.
Conference presentations- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Third Biennial McGill Conference on Global Asset Management.
- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences', University of Lund, Sweden, dept. of Economics.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', University of Copenhagen, Joint Economics and Applied Mathematics Seminar.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Warwick Business School, Finance Dept.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Cambridge University, Judge Business School, UK.
- Guidolin, M. 2006, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Hong Kong Monetary Authority Conference on "International Financial Markets and the Macroeconomy", Hong Kong.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Eighth Annual Financial Econometrics Conference, University of Waterloo.
- Guidolin, M. 2005, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Doctoral Institute in Economics (DSE), Real Collegio Carlo Alberto, Turin, Italy.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Virginia, USA.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Amsterdam, Finance Group, the Netherlands.
Other peer reviewed publications
Journal articles- Gonçalves, S. & Guidolin, M. 2006, 'Predictable Dynamics in the S and P 500 Index Options Implied Volatility Surface', Journal of Business, vol. 79(3), pp. 1591-1635.
- Guidolin, M. & Timmermann, A. 2005, 'Term structure of risk under alternative econometric specifications ', Journal of Econometrics, vol. 131(1-2), pp. 285-308.
- Guidolin, M. & Timmermann, A. 2004, 'Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns', Economic Journal, vol. 115(500), pp. 111-143.
Other peer reviewed publications
Chapters in booksJournal articles- Guidolin, M. & Hyde, S.J. 2009, 'What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model', Applied Financial Economics, vol. 19, pp. 463-488.
- Guidolin, M. & Hyde, S.J. 2008, 'Equity Portfolio Diversification under Time-Varying Predictability: Evidence from Ireland, the US, and the UK', Journal of Multinational Financial Management, vol. 18, pp. 293-312.
- Guidolin, M., Fugazza, C. & Nicodano, G. 2007, 'Investing for the Long-Run in European Real Estate. Does Predictability Matter?', Journal of Real Estate Finance and Economics, vol. 34, pp. 725-756.
- Guidolin, M. & Timmermann, A. 2007, 'Properties of Asset Prices under Alternative Learning Schemes', Journal of Economic Dynamics and Control, vol. 31, pp. 161-217.
- Gonçalves, S. & Guidolin, M. 2006, 'Predictable Dynamics in the S and P 500 Index Options Implied Volatility Surface', Journal of Business, vol. 79(3), pp. 1591-1635.
- Guidolin, M. & Timmermann, A. 2006, 'Term Structure of Risk under Alternative Econometric Specifications', Journal of Econometrics, vol. 131, pp. 285-308.
- Guidolin, M. 2006, 'High Equity Premia and Crash Fears. Rational Foundations', Economic Theory, vol. 28, pp. 693-708.
- Guidolin, M. & Timmermann, A. 2006, 'An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns', Journal of Applied Econometrics, vol. 21, pp. 1-22.
- Guidolin, M. 2006, 'Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle', Journal of Economics and Business, vol. 58, pp. 85-118.
- Guidolin, M. & Timmermann, A. 2005, 'Term structure of risk under alternative econometric specifications ', Journal of Econometrics, vol. 131(1-2), pp. 285-308.
- Guidolin, M. & Timmermann, A. 2004, 'Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns', Economic Journal, vol. 115(500), pp. 111-143.
- Guidolin, M. & Timmermann, A. 2001, 'Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities', Journal of Economic Dynamics and Control, vol. 27(5), pp. 717-769.
Conference presentations- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Third Biennial McGill Conference on Global Asset Management.
- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences', University of Lund, Sweden, dept. of Economics.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', University of Copenhagen, Joint Economics and Applied Mathematics Seminar.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Warwick Business School, Finance Dept.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Cambridge University, Judge Business School, UK.
- Guidolin, M. 2006, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Hong Kong Monetary Authority Conference on "International Financial Markets and the Macroeconomy", Hong Kong.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Eighth Annual Financial Econometrics Conference, University of Waterloo.
- Guidolin, M. 2005, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Doctoral Institute in Economics (DSE), Real Collegio Carlo Alberto, Turin, Italy.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Virginia, USA.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Amsterdam, Finance Group, the Netherlands.
Other peer reviewed publications
Chapters in booksJournal articles- Guidolin, M. & Hyde, S.J. 2009, 'What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model', Applied Financial Economics, vol. 19, pp. 463-488.
- Guidolin, M. & Hyde, S.J. 2008, 'Equity Portfolio Diversification under Time-Varying Predictability: Evidence from Ireland, the US, and the UK', Journal of Multinational Financial Management, vol. 18, pp. 293-312.
- Guidolin, M., Fugazza, C. & Nicodano, G. 2007, 'Investing for the Long-Run in European Real Estate. Does Predictability Matter?', Journal of Real Estate Finance and Economics, vol. 34, pp. 725-756.
- Guidolin, M. & Timmermann, A. 2007, 'Properties of Asset Prices under Alternative Learning Schemes', Journal of Economic Dynamics and Control, vol. 31, pp. 161-217.
- Gonçalves, S. & Guidolin, M. 2006, 'Predictable Dynamics in the S and P 500 Index Options Implied Volatility Surface', Journal of Business, vol. 79(3), pp. 1591-1635.
- Guidolin, M. & Timmermann, A. 2006, 'Term Structure of Risk under Alternative Econometric Specifications', Journal of Econometrics, vol. 131, pp. 285-308.
- Guidolin, M. 2006, 'High Equity Premia and Crash Fears. Rational Foundations', Economic Theory, vol. 28, pp. 693-708.
- Guidolin, M. & Timmermann, A. 2006, 'An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns', Journal of Applied Econometrics, vol. 21, pp. 1-22.
- Guidolin, M. 2006, 'Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle', Journal of Economics and Business, vol. 58, pp. 85-118.
- Guidolin, M. & Timmermann, A. 2005, 'Term structure of risk under alternative econometric specifications ', Journal of Econometrics, vol. 131(1-2), pp. 285-308.
- Guidolin, M. & Timmermann, A. 2004, 'Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns', Economic Journal, vol. 115(500), pp. 111-143.
- Guidolin, M. & Timmermann, A. 2001, 'Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities', Journal of Economic Dynamics and Control, vol. 27(5), pp. 717-769.
Conference presentations- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Third Biennial McGill Conference on Global Asset Management.
- Guidolin, M. & Timmermann, A. 2007, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences', University of Lund, Sweden, dept. of Economics.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', University of Copenhagen, Joint Economics and Applied Mathematics Seminar.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Warwick Business School, Finance Dept.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Cambridge University, Judge Business School, UK.
- Guidolin, M. 2006, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Hong Kong Monetary Authority Conference on "International Financial Markets and the Macroeconomy", Hong Kong.
- Guidolin, M. 2006, 'Size and Value Anomalies under Regime Shifts', Eighth Annual Financial Econometrics Conference, University of Waterloo.
- Guidolin, M. 2005, 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences ', Doctoral Institute in Economics (DSE), Real Collegio Carlo Alberto, Turin, Italy.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Virginia, USA.
- Guidolin, M. 2005, 'Small Caps in International Equity Portfolios: The Effects of Variance Risk ', University of Amsterdam, Finance Group, the Netherlands.
Other peer reviewed publications
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