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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

Markov switching in portfolio choice and asset pricing models : a survey

Guidolin, Massimo - 2011

Persistent link: https://www.econbiz.de/10009698155

Markov switching models in empirical finance

Guidolin, Massimo - 2011

Persistent link: https://www.econbiz.de/10009698156

Pessimistics beliefs under rational learning: Quantitative implications for the equity premium puzzle

Guidolin, Massimo - In: Journal of economics & business 58 (2006) 2, pp. 85-118

Persistent link: https://www.econbiz.de/10003290028

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

Markov switching models in empirical finance

Guidolin, Massimo - 2012 - This Version: June, 2012

Persistent link: https://www.econbiz.de/10011337359

Asset Allocation under Multivariate Regime Switching

Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

Persistent link: https://www.econbiz.de/10005870161

Recursive modeling of nonlinar dynamics in UK stock returns

Guidolin, Massimo; Timmermann, Allan - In: The Manchester School 71 (2003) 4, pp. 381-395

Persistent link: https://www.econbiz.de/10001771328

Economic implications of bull and bear regimes in UK stock and bond returns

Guidolin, Massimo; Timmermann, Allan - In: The economic journal : the journal of the Royal … 115 (2005) 500, pp. 111-143

Persistent link: https://www.econbiz.de/10002554576

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