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Market timing with aggregate and idiosyncratic stock volatilities
Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.
Persistent link: https://www.econbiz.de/10003344908
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Does stock market volatility forecast returns : the international evidence
Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979873
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Does idiosyncratic risk matter : another look
Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984084
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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
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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 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …
Persistent link: https://www.econbiz.de/10010951615
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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...
Persistent link: https://www.econbiz.de/10002917580
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Optimal portfolio choice under regime switching, skew and kurtosis preferences
Guidolin, Massimo (contributor);  … - 2005
"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...
Persistent link: https://www.econbiz.de/10002917583
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On the real-time forecasting ability of the consumption-wealth ratio
Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979828
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Conjectural guarantees loom large : evidence from the stock returns of Fannie Mae and Freddie Mac
Schmid, Frank A. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001986488
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Understanding the risk-return tradeoff in the stock market
Guo, Hui (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001969582