Miao, Daniel Wei-Chung; Wu, Chun-Chou; Su, Yi-Kai - In: Economic Modelling 31 (2013) C, pp. 87-93
This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data … using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence … of volatility regime-switching in stock indices and T-bond over the crisis period. As regards the process of correlation …