Regime switches in the risk-return trade-off

Research, Article, Preprint English OPEN
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano;
  • Publisher: Bank of Canada Ottawa
  • Related identifiers: doi: 10.1016/j.jempfin.2014.06.007
  • Subject: conditional variance; Markov-switching; MIDAS; Risk-return trade-off | Economic and statistical models | G10 | G12 | Financial markets
    • jel: jel:G12 | jel:G10
      ddc: ddc:330

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. We find strong evidence for regime changes in the r... View more
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