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REGIME CHANGES IN STOCK RETURNS

✍ Scribed by Nan-Ting Chou; Ramon P. DeGennaro


Book ID
111105594
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
837 KB
Volume
21
Category
Article
ISSN
0306-686X

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Regime-switching in stock index and Trea
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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