Cojumps and asset allocation in international equity markets

DOI10.1016/J.JEDC.2018.11.002MaRDI QIDQ1734591zbMATHOpenAlexWikidataFDO

Authors Mohamed Arouri, Oussama M'saddek, Duc Khuong Nguyen, 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

zbMATH Keywords

cojumpsinternational diversificationforeign asset holdings

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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

Cites work

• Coherent measures of risk
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Jump-robust volatility estimation using nearest neighbor truncation
• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
• Modelling systemic price cojumps with Hawkes factor models
• New tests for jumps in semimartingale models
• 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
• Optimal portfolios when variances and covariances can jump
• Risk, jumps, and diversification
• Some remarks on the value-at-risk and the conditional value-at-risk
• Spectra of some self-exciting and mutually exciting point processes
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Threshold bipower variation and the impact of jumps on volatility forecasting

Cited in

(4)

• Risk, jumps, and diversification
• Large-scale minimum variance portfolio allocation using double regularization
• Analytical VaR for international portfolios with common jumps
• Dynamic linkages and higher moments risk connectedness among international stock markets

This page was built for publication: Cojumps and asset allocation in international equity markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1734591)