Bansal, Naresh; Connolly, Robert A.; Stivers, Chris - In: Journal of Futures Markets 30 (2010) 8, pp. 753-779
We investigate bivariate regime‐switching in daily futures‐contract returns for the US stock index and ten‐year Treasury notes over the crisis‐rich 1997–2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast...