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On the cross of conditionally expected stock returns
Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001986896
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Is the response of output to monetary policy asymmetric? : Evidence from a regime-switching coefficients model
Lo, Ming Chien (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev.
Persistent link: https://www.econbiz.de/10001964753
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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
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A dynamic look at subprime loan performance
Danis, Michelle A. (contributor);  … - 2005
from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong … support for the "distressed prepayment" theory that very delinquent loans are more likely to prepay than to default and that …
Persistent link: https://www.econbiz.de/10002977392
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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
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Forecasting output with information from business cycle turning points : a qualitative variable VAR
Dueker, Michael (contributor);  … - 2001 - [Elektronische Ressource].
Persistent link: https://www.econbiz.de/10001965117
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Common stochastic trends, common cycles, and asymmetry in economic fluctuations
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001965274
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The British beveridge curve : a tale of ten regions
Wall, Howard J. (contributor); Gylfi Zoega (contributor) - 2002 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001941420
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Wavelet : a new tool for business cycle analysis
Raihan, Sharif Md. (contributor); Wen, Yi (contributor);  … - 2005
"One basic problem in business-cycle studies is how to deal with nonstationary time series. The market economy is an evolutionary system. Economic time series therefore contain stochastic components that are necessarily time dependent. Traditional methods of business cycle analysis, such as the...
Persistent link: https://www.econbiz.de/10002956724
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Business cycle phases in U.S. states
Owyang, Michael T. (contributor);  … - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979872