Similar Search Results

Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129

Persistent link: https://www.econbiz.de/10011704120

Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section

Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015

Persistent link: https://www.econbiz.de/10011809314

Time varying stock return predictability : evidence from US sectors

Guidolin, Massimo; McMillan, David G.; Wohar, Mark E. - In: Finance research letters 10 (2013) 1, pp. 34-40

Persistent link: https://www.econbiz.de/10009728606

The volatility structure of the fixed income market under the HJM framework : a nonlinear filtering approach

Chiarella, Carl; Hung, Hing; Tô, Thuy-duong - 2005

Persistent link: https://www.econbiz.de/10002721773

Humps in the volatility structure of the crude oil futures market

Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - 2012

Persistent link: https://www.econbiz.de/10009564452

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...