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International asset allocation with time-varying correlations

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The time variation of expected returns and volatility in foreign-exchange markets

Bekaert, Geert - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 397-408

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Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

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Asset return dynamics under habits and bad environment-good environment fundamentals

Bekaert, Geert; Engstrom, Eric - In: Journal of political economy 125 (2017) 3, pp. 713-760

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International asset allocation with regime shifts

Ang, Andrew; Bekaert, Geert - In: The review of financial studies 15 (2002) 4, pp. 1137-1187

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Short rate nonlinearities and regime switches

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Foreign speculators and emerging equity markets

Bekaert, Geert; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 565-613

Persistent link: https://www.econbiz.de/10001497269

Asset return dynamics under bad environment good environment fundamentals

Bekaert, Geert; Engstrom, Eric - 2009

Persistent link: https://www.econbiz.de/10003872301

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2010

"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary … policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility …

Persistent link: https://www.econbiz.de/10008669382