Similar Search Results

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

Tobins̉ imperfect asset substitution in optimizing general equilibrium

Andrés, Javier (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001987130

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

On the cross of conditionally expected stock returns

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

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

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

returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended … 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

A dynamic factor analysis of the response of U.S. interest rates to news

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

Persistent link: https://www.econbiz.de/10002496904

Metro Business Cycles

Arias, Arias , Maria A.; Gascon, Charles S.; Rapach, … - Federal Reserve Bank of St. Louis - 2014

We construct monthly economic-activity indices for 51 U.S. metropolitan statistical areas for 1990 to 2014. Each index is computed via a dynamic factor model that includes 14 variables measuring various aspects of economic activity in a metro area. We estimate the dynamic factor model using the...

Persistent link: https://www.econbiz.de/10011027333

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

Persistent link: https://www.econbiz.de/10010951615

Optimal portfolio choice under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

methods are applied to a simple portfolio selection problem involving choosing between a stock index and a risk-free asset in …

Persistent link: https://www.econbiz.de/10002917583

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