Marta Giampietro

Bocconi University - Baffi Carefin Centre

Via Roentgen 1

Milan

Italy

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Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations between Commodity, Stock, and Bond Returns?

BAFFI CAREFIN Centre Research Paper No. 2016-19
Number of pages: 37 Posted: 06 May 2016 Last Revised: 19 Dec 2016
Marta Giampietro, Massimo Guidolin and Manuela Pedio
Bocconi University - Baffi Carefin Centre, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
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