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Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information

Xu, Yan; Wang, Xinyu; Liu, Hening - In: Finance research letters 43 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014632411

Markov switching models in empirical finance

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

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

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 models in empirical finance

Guidolin, Massimo - 2011

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

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

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...