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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

Predictable dynamics in the S&P 500 index options implied volatility surface

Gonçalves, Silva (contributor); … - 2005

"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface … (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the … Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface …

Persistent link: https://www.econbiz.de/10002977383

Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?

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

Persistent link: https://www.econbiz.de/10001982800

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

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

Persistent link: https://www.econbiz.de/10001974118

Does stock market volatility forecast returns : the international evidence

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

Persistent link: https://www.econbiz.de/10001979873

Does idiosyncratic risk matter : another look

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

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

Predicting exchange rate volatility : genetic programming vs. GARCH and RiskMetrics

Neely, Christopher J. (contributor); … - 2001 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001941461

Market timing with aggregate and idiosyncratic stock volatilities

Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344908

Are the dynamic linkages between the macroeconomy and asset prices time-varying

Guidolin, Massimo (contributor); Ono, Sadayuki (contributor) - 2005

Persistent link: https://www.econbiz.de/10003344538

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