Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth … conditional heteroskedasticity is captured through GARCH, TARCH and EGARCH models and ARCH-in mean effects appear in the …-linear dynamics, especially of the Markov switching type. Although occasionally also stock and bond return forecasts for other G7 …
