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Handling risk-on/risk-off dynamics with correlation regimes and correlation networks (2015) https://link.springer.com/article/10.1007/s11408-015-0248-2
Can Market Regimes Really be Timed with Historical Volatility? (2021) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3832340
Regime Switches in Interest Rates (1998)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=94012
“We show that the regimes in interest rates correspond reasonably well with business cycles, at least in the US.”
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=94012
“We show that the regimes in interest rates correspond reasonably well with business cycles, at least in the US.”
Oil and Fiscal Policy Regimes (2021)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3769785
“Our results emphasize that it is both possible and important to separate a procyclical regime from a countercyclical regime when analysing fiscal policy.”
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3769785
“Our results emphasize that it is both possible and important to separate a procyclical regime from a countercyclical regime when analysing fiscal policy.”
Regime Changes and Financial Markets (2011) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1890003
