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International asset allocation under regime switching, skew and kurtosis preferences
Guidolin, Massimo; Timmermann, Allan - In: The review of financial studies 21 (2008) 2, pp. 889-935
Persistent link: https://www.econbiz.de/10003716663
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...
Persistent link: https://www.econbiz.de/10003732461
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003739548
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The economic and statistical value of forecast combinations under regime switching : an application to predictable US returns
Guidolin, Massimo (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003740496
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
Persistent link: https://www.econbiz.de/10003741408
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo; Nicodano, Giovanna - In: Annals of finance 5 (2009) 1, pp. 15-48
Persistent link: https://www.econbiz.de/10003775308
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Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003344544
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Predictable dynamics in the S&P 500 index options implied volatility surface
Gonçalves, Sílvia; Guidolin, Massimo - In: The journal of business : B 79 (2006) 3, pp. 1591-1636
Persistent link: https://www.econbiz.de/10003337040
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: International journal of forecasting 25 (2009) 2, pp. 373-399
Persistent link: https://www.econbiz.de/10003870067
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Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo; Timmermann, Allan - 2007
Persistent link: https://www.econbiz.de/10003443836