A shared belief in the financial industry is that markets are driven by two types of regimes. Bull markets would be characterized by high returns and low volatility whereas bear markets would display low returns coupled with high volatility. Modeling the dynam- ics of different asset classes...

A shared belief in the financial industry is that markets are driven by two types of regimes: bull markets, characterized by high returns and low volatility, and bear markets, characterized by low returns coupled with high volatility. Modeling the dynamics of different asset classes (stocks,...