Regime switches in the risk–return trade-off
نویسندگان
چکیده
منابع مشابه
Optimal Monetary Policy Regime Switches∗
Given structural shifts in the economy, optimal simple monetary policy rules may respond with switches in their policy parameters. When the growth rate, inter-temporal preferences, or volatilities switch, the monetary authority chooses regime-dependent policy parameters to maximize welfare. These optimized policy parameters may differ across regimes and from the optimal choice of parameters for...
متن کاملOn and Off switches in the brain
The brain seems to have evolved one class of neurons that initiate certain behaviors, and another class of neurons that do the opposite (i.e., inhibit these behaviors). In other words, our brains seem to be equipped with different On and Off switch neurons. These neurons are found across many domains, including motor, cognitive, emotional, sleep, and others. This is contrasted to evolving one t...
متن کاملRegime Switches in Swedish Interest Rates
This paper examines the forecasting properties of endogenous regime switching models for Swedish interest rate volatility. To obtain a valid statistic for determining the exact number of states, a Monte Carlo procedure is employed. The results point out the ability of regime switching models to account for even very large degrees of leptokurtosis. I evaluate the prognoses with the Diebold-Maria...
متن کاملEnergy-bandwidth trade-off in all-optical photonic crystal microcavity switches.
The performance of all-optical switches is a compromise between the achievable bandwidth of the switched signal and the energy requirement of the switching operation. In this work we consider a system consisting of a photonic crystal cavity coupled to two input and two output waveguides. As a specific example of a switching application, we investigate the demultiplexing of an optical time divis...
متن کاملRegime switches in the dependence structure of multidimensional financial data
Misperceptions about extreme dependencies between different financial assets have been an important element of the recent financial crisis, which is why regulating entities do now require financial institutions to account for different behavior under market stress. Such sudden switches in dependence structures are studied usingMarkov switching regular vine copulas. These copulas allow for asymm...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2014
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2014.06.007