@article{Risk-Return:1676,
      recid = {1676},
      author = {Ghysels, Eric and Guérin, Pierre and Marcellino,  Massimiliano},
      title = {Regime Switches in the Risk-Return Trade-Off},
      address = {2013},
      pages = {1 online resource (45 pages)},
      abstract = {This paper deals with the estimation of the risk-return  trade-off. We use a MIDAS model for the conditional  variance and allow for possible switches in the risk-return  relation through a Markov-switching specification. We find  strong evidence for regime changes in the risk-return  relation. This finding is robust to a large range of  specifications. In the first regime characterized by low  ex-post returns and high volatility, the risk-return  relation is reversed, whereas the intuitive positive  risk-return trade-off holds in the second regime. The first  regime is interpreted as a “flight-to-quality” regime.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1676},
      doi = {https://doi.org/10.34989/swp-2013-51},
}