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Market timing with aggregate and idiosyncratic stock volatilities

Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344908

Is value premium a proxy for time-varying investment opportunities : some time series evidence

Guo, Hui (contributor) - 2005

to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

Persistent link: https://www.econbiz.de/10002995301

Does stock market volatility forecast returns : the international evidence

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979873

Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001982800

Idiosyncratic volatility, stock market volatility, and expected stock returns

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001985899

Common stochastic trends, common cycles, and asymmetry in economic fluctuations

Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001965274

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115886

Racial profiling or racist policing? : Bounds tests in aggregate data

Hernández-Murillo, Rubén (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115973

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

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