An econometric model of nonlinear dynami
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Massimo Guidolin; Professor Allan Timmermann
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Article
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2006
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John Wiley and Sons
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English
⚖ 260 KB
👁 1 views
## Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state mod