| 讲座简介： | We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We decompose returns into frequent-but-small diusion and infrequent-but-large jumps, and derive an estimation method for many countries. We find that correlations due to jumps, not diusion, increase markedly in bad markets leading to correlation breaks during crises. Our model provides a better description of correlation asymmetries than GARCH, copula and stochastic volatility models. Good and bad regimes are persistent. Regime changes are detected rapidly and risk diversication allocations are improved. Asset allocation results in and out-of-sample are superior to other models including the 1/N strategy. |
