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A Bayesian approach to counterfactual analysis of structural change

Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2004 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10002496905

The less volatile U.S. economy : a bayesian investigation of timing, Breadth, and potential explanations

Kim, Chang-jin (contributor); Nelson, Charles R. (contributor) - 2003 - [Elektronische Ressource].rev

Persistent link: https://www.econbiz.de/10001965242

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

High equity premia and crash fears : rational foundations

Guidolin, Massimo (contributor) - 2005

"We show that when in Lucas trees model the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk...

Persistent link: https://www.econbiz.de/10002977384

Modeling volcker as a non-absorbing state : agnostic identification of a markov-switching VAR

Owyang, Michael T. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974169

Is inflation persistence intrinsic in industrial economies?

Levin, Andrew T. (contributor); … - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974382

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

Foreign exchange rates dont́ follow a random walk

Guo, Hui (contributor); Savickas, Robert (contributor) - 2005

"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the … between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany …

Persistent link: https://www.econbiz.de/10002995302

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