Cojumps and asset allocation in international equity markets
DOI10.1016/J.JEDC.2018.11.002zbMATH Open1411.91475OpenAlexW2901156525WikidataQ128942520 ScholiaQ128942520MaRDI QIDQ1734591FDOQ1734591
Oussama M'saddek, Duc Khuong Nguyen, Mohamed Arouri, Kuntara Pukthuanthong
Publication date: 27 March 2019
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/89938/1/MPRA_paper_89938.pdf
Recommendations
- Jump-diffusion international asset allocation
- Cointegration and long-run asset allocation
- A Dynamic Equilibrium Model of International Portfolio Holdings
- Co-jumps and recursive preferences in portfolio choices
- International Equity Flows and Returns: A Quantitative Equilibrium Approach
- International asset market, nonconvergence, and endogenous fluctuations
- Asset allocation under multivariate regime switching
- Asset liquidity and international portfolio choice
- International portfolio choice, liquidity constraints and the home equity bias puzzle
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Spectra of some self-exciting and mutually exciting point processes
- Coherent measures of risk
- Maximum likelihood estimation of Hawkes' self-exciting point processes
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Some remarks on the value-at-risk and the conditional value-at-risk
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Risk, jumps, and diversification
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Jump-robust volatility estimation using nearest neighbor truncation
- New tests for jumps in semimartingale models
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Optimal portfolios when variances and covariances can jump
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Modelling systemic price cojumps with Hawkes factor models
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