Branger, Nicole; Kraft, Holger; Meinerding, Christoph - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 18-36
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive...
