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EnglishThis paper investigates the presence of Markov regimes in the conditional heteroskedastic dynamics for US excess stock and bond returns. We find strong evidence in favor of a three-state models. However, persistence and predictability in the stock-bond covariance tends to be weak. We find that the three-state model outperforms a number of benchmarks in out-of-sample prediction tests concerning means, variances, and covariances. In fact, when the three-state model is used to support mean-variance portfolio selection decisions in a recursive, out-of-sample experiments, we report that it gives the best overall performance in a number of dimensions, including realized Sharpe ratios and certainty equivalent measures.
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| Titolo: | Detecting and exploiting regime switching ARCH dynamics in U.S. stock and bond returns | |
| Data di pubblicazione: | 2009 | |
| Autori: | ||
| Autori: | Guidolin, Massimo | |
| Titolo del libro: | Stock Market Volatility | |
| Tutti i curatori: | Greg Gregoriou | |
| ISBN: | 9781420099546 | |
| Abstract: | This paper investigates the presence of Markov regimes in the conditional heteroskedastic dynamics for US excess stock and bond returns. We find strong evidence in favor of a three-state models. However, persistence and predictability in the stock-bond covariance tends to be weak. We find that the three-state model outperforms a number of benchmarks in out-of-sample prediction tests concerning means, variances, and covariances. In fact, when the three-state model is used to support mean-variance portfolio selection decisions in a recursive, out-of-sample experiments, we report that it gives the best overall performance in a number of dimensions, including realized Sharpe ratios and certainty equivalent measures. | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1201/9781420099553-10 | |
| Appare nelle tipologie: | 20 - Contributions to volume, chapters or articles / Contributo in volume, capitolo o saggio scientifico |
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