G10 - General - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T08:51:04+00:00Regime Switches in the Risk-Return Trade-Off
https://www.bankofcanada.ca/2013/12/working-paper-2013-51/
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.2013-12-24T11:03:53+00:00enRegime Switches in the Risk-Return Trade-Off2013-12-24Econometric and statistical methodsFinancial marketsWorking Paper 2013-51https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-51.pdfRegime Switches in the Risk-Return Trade-OffEric GhyselsPierre GuérinMassimiliano MarcellinoDecember 2013GG1G10G12