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Detecting log-periodicity in a regime-switching model of stock returns

✍ Scribed by Chang, George; Feigenbaum, James


Book ID
120553047
Publisher
Taylor and Francis Group
Year
2008
Tongue
English
Weight
319 KB
Volume
8
Category
Article
ISSN
1469-7688

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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