Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - 2013
We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching … parameters of each model specification and use it to forecast returns and variances for the REIT, stock, and bond asset classes … returns in each asset class, but is inferior in forecasting return variances. For the purpose of forecasting inter …