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主讲人 |
Bruno Solnik |
简介 |
<p>We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We decompose returns into frequent-but-small di usion and infrequent-but-large jumps, and derive an estimation method for many countries. We fi nd that correlations due to jumps, not di usion, 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 diversi cation allocations are improved. Asset allocation results in and out-of-sample are superior to other models including the 1/N strategy.</p> |
|
主讲人简介 |
<p>Emeritus Professor at Hong Kong University of Science and Technology.</p>
<p><a href="http://www.bm.ust.hk/fina/web/faculty-staff/bruno-solnik/"><span style="color: rgb(0, 0, 255);"><u><strong>Prof. Bruno Solnik's personal website</strong></u></span></a></p> |
期数 |
厦门大学金融经济学系列讲座2016秋季学期第四讲 （总第23讲）暨厦门大学南强学术讲座第793期 |
