An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
by Massimo Guidolin
"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 two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50 percent chance suggesting a bounce-back effect from the crash to the recovery state"--Federal Reserve Bank of St. Louis web site.
Buy this book
Subjects
Econometric models, Prices, Securities| Edition | Availability |
|---|---|
1
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
2005, Federal Reserve Bank of St. Louis
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 6/24/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
Edition Identifiers
Work Identifiers
Community Reviews (0)
| December 13, 2020 | Edited by MARC Bot | import existing book |
| December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
| December 10, 2009 | Created by WorkBot | add works page |