Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...
