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Markov switching models in empirical finance

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

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

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

Small caps in international equity portfolios : the effects of variance risk

Guidolin, Massimo (contributor); … - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003739548

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

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

Forecasts of US short-term interest rates : a flexible forecast combination approach

Guidolin, Massimo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003344544

Forecasts of US short-term interest rates : a flexible forecast combination approach

Guidolin, Massimo; Timmermann, Allan - 2007

Persistent link: https://www.econbiz.de/10003443836

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

Persistent link: https://www.econbiz.de/10008668600

A yield spread perspective on the great financial crisis : break-point test evidence

Guidolin, Massimo; Tam, Yu Man - 2010

Persistent link: https://www.econbiz.de/10008668654

Predictions of short-term rates and the expectations hypothesis

Guidolin, Massimo; Thornton, Daniel L. - 2010

Persistent link: https://www.econbiz.de/10008651137

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