Santis, Massimiliano De - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 4, pp. 1523-1523
Previous literature has recognized the importance of regime changes in the calculation of ex-ante equity premia. However, the methodologies used to estimate equity premia only allow for very restrictive forms of regime transitions. This paper addresses the issue by postulating an evolving model...