| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8480 |
| DP8480 Regime Changes and Financial Markets | |
| Henry Allan Timmermann; Andrew Ang | |
| 发表日期 | 2011-07-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes captured by regime switching models are identified by an econometric procedure, they often correspond to different periods in regulation, policy, and other secular changes. In empirical estimates, the regime switching means, volatilities, autocorrelations, and cross-covariances of asset returns often differ across regimes, which allow regime switching models to capture the stylized behavior of many financial series including fat tails, heteroskedasticity, skewness, and time-varying correlations. In equilibrium models, regimes in fundamental processes, like consumption or dividend growth, strongly affect the dynamic properties of equilibrium asset prices and can induce non-linear risk-return trade-offs. Regime switches also lead to potentially large consequences for investors' optimal portfolio choice. |
| 主题 | Financial Economics |
| 关键词 | Jumps Mixture distributions Non-linear equilibrium asset pricing models Rare events Regime switching |
| URL | https://cepr.org/publications/dp8480 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537317 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Andrew Ang. DP8480 Regime Changes and Financial Markets. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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