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While simple two\u2010 or three\u2010state models capture the univariate dynamics in bond and stock returns, a more complicated four\u2010state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce\u2010back effect from the crash to the recovery state. Copyright \u00a9 2006 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.824","type":"journal-article","created":{"date-parts":[[2006,2,16]],"date-time":"2006-02-16T06:46:21Z","timestamp":1140072381000},"page":"1-22","source":"Crossref","is-referenced-by-count":203,"title":["An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns"],"prefix":"10.1002","volume":"21","author":[{"given":"Massimo","family":"Guidolin","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Allan","family":"Timmermann","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,2,16]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"crossref","unstructured":"AndersenTG BollerslevT DieboldFX VegaC.2004.Real\u2010time price discovery in stock bond and foreign exchange markets. 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