Recursive Modeling of Nonlinear Dynamics in UK Stock Returns
β Scribed by Massimo Guidolin; Allan Timmermann
- Book ID
- 108550308
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 220 KB
- Volume
- 71
- Category
- Article
- ISSN
- 1463-6786
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## 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 twoβ or threeβstate models capture the univariate dynamics in bond and stock returns, a more complicated fourβstate mod
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