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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 idiosyncratic risk matter : another look

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

Persistent link: https://www.econbiz.de/10001984084

Idiosyncratic volatility, stock market volatility, and expected stock returns

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

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Forecasting foreign exchange volatility : is implied volatility the best we can do?

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

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An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Guidolin, Massimo (contributor); … - 2005

stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and recovery … form. Exits from the crash state are almost always to the recovery state and occur with close to 50 percent chance … suggesting a bounce-back effect from the crash to the recovery state"--Federal Reserve Bank of St. Louis web site …