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A Regime-Switching Model of Long-Term Stock Returns

✍ Scribed by Hardy, Mary R.


Book ID
120553045
Publisher
Informa UK (Taylor & Francis)
Year
2001
Tongue
English
Weight
295 KB
Volume
5
Category
Article
ISSN
1092-0277

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## Abstract We investigate bivariate regime‐switching in daily futures‐contract returns for the US stock index and ten‐year Treasury notes over the crisis‐rich 1997–2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast betw