Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?

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Time‐Varying Transition Probabilities for Markov Regime Switching Models (2017, methodology): “They have been used in the context of Markov regime switching models by Turner et al. (1989), Gray (1996), Maheu and McCurdy (2000) and Kim et al. (2004).”
Presidential Elections and the Stock Market: Comparing Markov-Switching and Fractionally Integrated GARCH Models of Volatility (2004, background): “…the volatility of financial markets—favor the use of Markov-switching models, claiming that these models are more accurate and provide better forecasts than a variety of linear and nonlinear GARCH models (Turner et al. 1989; Van Norden and Schaller 1997; Sola and Timmerman 1994; Kim et al. 2002).”