G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8480
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
URLhttps://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.
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