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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

Can Markov switching models predict excess foreign exchange returns?

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How well do monetary fundamentals forecast exchange rates?

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Time-varying risk premia and the cross section of stock returns

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International asset allocation under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...