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Is Regime Switching in Stock Returns Important in Portfolio Decisions?

✍ Scribed by Tu, J.

Book ID
115505330
Publisher
INFORMS
Year
2010
Tongue
English
Weight
217 KB
Volume
56
Category
Article
ISSN
0025-1909

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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