This article uses a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both the conditional mean and the conditional variance of stock returns. The model sorts returns into a high-return stable state and a low-return volatile state. We label these as...

Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty about changing fundamentals and associated...

Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlations forecasts are affected by model uncertainty, sources of which can include uncertainty about changing fundamentals and associated...