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On the out-of-sample predictability of stock market returns

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

Persistent link: https://www.econbiz.de/10001971221

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

On the cross of conditionally expected stock returns

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

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

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 …

Persistent link: https://www.econbiz.de/10002977392

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

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

Estimation of Markov regime-switching regression models with endogenous switching

Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979877

Aggregated vs. disaggregated data in regression analysis : implications for inference

Garrett, Thomas Andrew (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974417

Is value premium a proxy for time-varying investment opportunities : some time series evidence

Guo, Hui (contributor) - 2005

"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...

Persistent link: https://www.econbiz.de/10002995301

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