𝔖 Bobbio Scriptorium
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Regime switching in stock market returns

✍ Scribed by Schaller, Huntley; Norden, Simon Van

Book ID
120462895
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
342 KB
Volume
7
Category
Article
ISSN
0960-3107

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πŸ“œ SIMILAR VOLUMES

Regime-switching in stock index and Trea
Regime-switching in stock index and Treasury futures returns and measures of stock market stress
✍ Naresh Bansal; Robert A. Connolly; Chris Stivers πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 241 KB

## 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