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High equity premia and crash fears : rational foundations

Guidolin, Massimo - In: Economic theory : official journal of the Society for … 28 (2006) 3, pp. 693-708

Persistent link: https://www.econbiz.de/10003347040

Book review: empirical dynamic asset pricing

Guidolin, Massimo - In: Econometric reviews 26 (2007) 5, pp. 597-604

Persistent link: https://www.econbiz.de/10003549331

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

Detecting and exploiting regime switching ARCH dynamics in US stock and bond returns

Guidolin, Massimo - In: Stock market volatility, (pp. 91-133). 2009

Persistent link: https://www.econbiz.de/10003830408

International asset prices and portfolio choices under Bayesian learning

Guidolin, Massimo - In: Research in economics : an international review of economics 57 (2003) 4, pp. 383-437

Persistent link: https://www.econbiz.de/10001846030

Markov switching models in asset pricing research

Guidolin, Massimo - In: Handbook of research methods and applications in …, (pp. 3-44). 2013

Persistent link: https://www.econbiz.de/10011897349

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...