Regime Switching in Volatilities and Correlation between Stock and Bond markets

@inproceedings{Chen2009RegimeSI,
  title={Regime Switching in Volatilities and Correlation between Stock and Bond markets},
  author={Ruolan Chen},
  year={2009}
}
This paper studies the correlation and volatilities of the bond and stock markets in a regimeswitching bivariate GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change across regimes. Our model allows separate state variable governing each of the three processes: bond volatility, stock volatility… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 30 references

Real-time Price Discovery in Global Stock, Bond and Foreigh Exchange Markets

T. G. Anderson, T. Bollerslev, F. X. Diebold, C. Vega
Jounal of International Economics, • 2007

Testing for Regime

J. S. Cho, H. White
Switching", Econometrica, • 2007
View 1 Excerpt

Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach

P. De Goeij, W. Marquering
Journal of Financial Econometrics, • 2004
View 1 Excerpt

Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH E¤ects

T. Mikosch
Starica, • 2004

Similar Papers

Loading similar papers…