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~accessRights:"free"
~institution:"Federal Reserve Bank of St. Louis"
~institution:"W. E. Upjohn Institute for Employment Research <Kalamazoo, Mich.>"
~person:"Guidolin, Massimo"
~person:"Poole, William"
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Are the dynamic linkages between the macroeconomy and asset prices time-varying
Guidolin, Massimo
(
contributor
);
Ono, Sadayuki
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003344538
Saved in:
2
Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003344544
Saved in:
3
The economic effects of violent conflicts : evidence from asset market reactions
Guidolin, Massimo
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003344884
Saved in:
4
Strategic asset allocation and consumption decisions under multivariate regime switching
Guidolin, Massimo
(
contributor
); …
-
2005
"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
Persistent link: https://www.econbiz.de/10002917579
Saved in:
5
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
Guidolin, Massimo
(
contributor
); …
-
2005
"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10002917580
Saved in:
6
Pessimistic beliefs under rational learning : quantitative implications for the equity premium puzzle
Guidolin, Massimo
(
contributor
)
-
2005
"In the presence of infrequent but observable structural breaks, we show that a model in which the representative agent is on a rational learning path concerning the real consumption growth process can generate high equity premia and low risk-free interest rates. In fact, when the model is...
Persistent link: https://www.econbiz.de/10002917582
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7
Optimal portfolio choice under regime switching, skew and kurtosis preferences
Guidolin, Massimo
(
contributor
); …
-
2005
"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...
Persistent link: https://www.econbiz.de/10002917583
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8
Size and value anomalies under regime shifts
Guidolin, Massimo
(
contributor
); …
-
2005
"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size--and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...
Persistent link: https://www.econbiz.de/10002917584
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9
Predictable dynamics in the S&P 500 index options implied volatility surface
Gonçalves, Silva
(
contributor
); …
-
2005
"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data....
Persistent link: https://www.econbiz.de/10002977383
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10
Jobs and trade
Poole, William
-
Federal Reserve Bank of St. Louis
-
2007
European Economics & Financial Centre Conference, London, Sept. 6, 2007
Persistent link: https://www.econbiz.de/10005526224
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