Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns

By Massimo Guidolin, Allan G. Timmermann. 2005

216 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7a688290b1cbcb7df3c7661db5b91ec5553c4dc0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Tatsuyoshi Okimoto
2. Shunsuke Managi
3. Jan Bulla
4. A. Matsuda
5. Allan G. Timmermann
6. Andrew J. Patton
7. Massimo Guidolin
8. Barbara Rossi

In Finance

1. Jan Bulla
2. Tatsuyoshi Okimoto
3. Shunsuke Managi
4. A. Matsuda
5. Allan G. Timmermann
6. Massimo Guidolin
7. Barbara Rossi
8. Andrew J. Patton

Citations in the corpus

• Hidden Markov models with t components. Increased persistence and other aspects (2011, methodology): “The evolution of the hidden state sequence is often a key analysis tool, as the states are linked to an economic interpretation (see, e.g., Maheu and McCurdy 2001, Linne 2002 and Guidolin and Timmermann 2005).”
• Elusive Return Predictability (2008, background): “Ang and Bekaert (2002), Perez-Quiros and Timmermann (2000) and Guidolin and Timmermann (2005) are examples of these models applied to predict stock market returns.”
• Do socially responsible investment indexes outperform conventional indexes? (2012, background): “If the perceived bull and bear states are ignored, the presence of such regimes gives rise to significant welfare costs (Guidolin and Timmermann, 2005).”