Regime shifts in a long-run risks model of stock and treasury bond markets
Year of publication: |
2022
|
---|---|
Authors: | Li, Kai ; Xu, Chenjie |
Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1401, ZDB-ID 2589380-4. - Vol. 12.2022, 4, p. 541-570
|
Subject: | Inflation risks | Long-run risks | Regime switching model | Stock-bond correlation | Risiko | Risk | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Schätzung | Estimation | Volatilität | Volatility | Inflation | Korrelation | Correlation | Staatspapier | Government securities | Rentenmarkt | Bond market |
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