Massimiliano Marcellino

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Markov‐Switching Three‐Pass Regression Filter

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C23, C5, C53

Regime Switches in the Risk-Return Trade-Off

Staff Working Paper 2013-51 Eric Ghysels, Pierre Guérin, Massimiliano Marcellino
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification.

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