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Do demographic changes affect risk premiums? : Evidence from international data

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International asset allocation with regime shifts

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Short rate nonlinearities and regime switches

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Regime switching in interest rates

Ang, Andrew; Bekaert, Geert - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 163-182

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Do demographic changes affect risk premiums? : Evidence from international data

Ang, Andrew; Maddaloni, Angela - 2003

Persistent link: https://www.econbiz.de/10001758480

Stock return predictability : is it there?

Ang, Andrew; Bekaert, Geert - 2001

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International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

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Regime Switches in Interest Rates

Bekaert, Geert - 2008

Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but...

Persistent link: https://www.econbiz.de/10012774902