Yang, Jian; Zhou, Yinggang; Wang, Zijun - In: Management Science 56 (2010) 11, pp. 2031-2049
In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock coskewness (the relation between stock return...