In this paper, market risk at an intraday time horizon is quantified using normal GARCH, Student GARCH, RiskMetrics and high-frequency duration (log-ACD) models set in the framework of the conditional VaR methodology. Because of the small time horizon of the intraday returns (15 and 30 minute...

This paper takes a new look at the market-timing ability of the bond-equity yield ratio (BEYR). We compare the short-term profitability of a naive strategy based on the extreme values of the BEYR to the short-term profitability of a sophisticated strategy relying on regime switches. In contrast...