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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

Modelling the MIB30 implied volatility surface : does efficiency matter?

Cassese, Gianluca (contributor); … - 2005

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

Persistent link: https://www.econbiz.de/10002917585

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

Forecasts of US short-term interest rates : a flexible forecast combination approach

Guidolin, Massimo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003344544

The economic effects of violent conflicts : evidence from asset market reactions

Guidolin, Massimo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003344884

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

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

Pessimistic beliefs under rational learning : quantitative implications for the equity premium puzzle

Guidolin, Massimo (contributor) - 2005

easily matched, chiefly excess volatility and the presence of ARCH effects. These findings are robust to a number of details …

Persistent link: https://www.econbiz.de/10002917582

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

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 … Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface …

Persistent link: https://www.econbiz.de/10002977383