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-variations in investment opportunities are driven by a regime switching process that can capture bull and bear states. We develop … allocations to stocks the longer their investment horizon"--Federal Reserve Bank of St. Louis web site …
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"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...
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