Guidolin, Massimo (contributor); … - 2005
volatility and “large” returns that
accommodate skews and fat tails in stock returns. The other two states are associated with … high-volatility states. At short horizons, we find a more significant role for these portfolios linked
1
Lynch (2001 …. The volatility of this portfolio is 19% per annum and
it also has a thick-tailed, largely symmetric distribution. The HML …