Pesci, Nicolas; Aguilar, Jean-Philippe; James, Victor; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20
-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty … inflation is regime-dependent. We show that inflation-indexed government bonds and oil are the best way to get exposure to slow …