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

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

Persistent link: https://www.econbiz.de/10001973914

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

Can risk explain the profitability of technical trading in currency markets?

Neely, Christopher; Ivanova, Yuliya; Rapach, David E.; … - Federal Reserve Bank of St. Louis - 2014

It is a robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess … to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a … wide range of models: CAPM, quadratic CAPM, C‐CAPM, Carhart’s 4‐factor model, an extended C‐CAPM with durable consumption …

Persistent link: https://www.econbiz.de/10011027337

Understanding the risk-return tradeoff in the stock market

Guo, Hui (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001969582

On the cross of conditionally expected stock returns

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

Persistent link: https://www.econbiz.de/10001986896

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...