#2008-010A "Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable?"
by Massimo Guidolin, Stuart Hyde, David McMillan, and Sadayuki Ono
April 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. More...

#2005-056A "Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying?"
by Massimo Guidolin, and Sadayuki Ono
July 2005

We estimate a number of multivariate regime switching VAR models on a long monthly data set for eight variables that include excess stock and bond returns, the real T-bill yield, predictors used in the finance literature (default spread and the dividend yield), and three macroeconomic variables (inflation, real industrial production growth, and a measure of real money growth). Heteroskedasticity may be accounted for by making the covariance matrix a function of the regime. We find evidence of four regimes and of time-varying covariances. More...

PUBLISHED: Journal of Economics and Business, October-November 2006, 58(5-6), pp. 480-518