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Understanding the risk-return tradeoff in the stock market

Guo, Hui (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001969582

On the real-time forecasting ability of the consumption-wealth ratio

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979828

Does idiosyncratic risk matter : another look

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984084

Idiosyncratic volatility, stock market volatility, and expected stock returns

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001985899

The effects of annuities, bequests, and aging in an overlapping generations model of endogenous growth.

Pecchenino, Rowena A.; Pollard, Patricia S. - Federal Reserve Bank of St. Louis - 1995

model of endogenous growth. We find the complete annuitization of agents' wealth is not, in general, dynamically optimal …

Persistent link: https://www.econbiz.de/10005352823

Modeling U.S. households' demand for liquid wealth in an era of financial change

Collins, Sean; Anderson, Richard G. - Federal Reserve Bank of St. Louis - 1997

using a model of household demand for liquid wealth. The model is a dynamic generalization of the almost-ideal demand model …

Persistent link: https://www.econbiz.de/10005352970

The distribution of wealth, 1983-1992: secular growth, cyclical stability

Weicher, John C. - Federal Reserve Bank of St. Louis - 1996

This article describes the changes in the concentration of wealth among U.S. households between 1983 and 1992, a period … which nearly coincides with the most recent business cycle. The distribution of wealth has received popular attention … wealth and wealth per household increased over the cycle; rich and poor households enjoyed an approximately equal gain, in …

Persistent link: https://www.econbiz.de/10005490895

On the out-of-sample predictability of stock market returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001971221

Uncovering the risk-return relation in the stock market

Guo, Hui; Whitelaw, Robert - Federal Reserve Bank of St. Louis - 2005

There is an ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM that separately identifies the two components of expected returns–the...

Persistent link: https://www.econbiz.de/10005352785

Markov switching in GARCH processes and mean reverting stock market volatility

Dueker, Michael - Federal Reserve Bank of St. Louis - 1995

This paper introduces four models of conditional heteroskedasticity that contain markov switching parameters to examine their multi-period stock-market volatility forecasts as predictions of options-implied volatilities. The volatility model that best predicts the behavior of the optionsimplied...

Persistent link: https://www.econbiz.de/10005352789