Author, as appears in the article.: Aslanidis N; Martinez O
Department: Economia
URV's Author/s: Aslanidis, Nektarios / Martínez Ibáñez, Oscar
Keywords: Threshold Stock market volatility State variables International equity and bond comovements Interest rates
Abstract: © 2020 Elsevier B.V. Measuring comovements across international financial markets is important for policy purposes and portfolio management. We develop a new approach to analyse such comovements in relation to key state variables, such as equity market volatility and short-term interest rates. These state variables can identify regimes in comovements through a fast, tractable threshold model. The advantage over existing methods is that our model can be easily estimated and does not have a serious bias, even when applied to large asset portfolios. Out-of-sample portfolio evaluation shows that our method outperforms the standard dynamic conditional correlation approach, especially during the recent global financial crisis when financial market comovements experienced substantial regime shifts. Overall, we contribute to the empirical literature by shedding new light on the fundamental drivers of comovements across international financial markets which can help guide analysis of systemic risk, asset allocation and hedging.
Thematic Areas: Saúde coletiva Interdisciplinar Engenharias iii Economics and econometrics Economics Economia Ciencias sociales Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
ISSN: 02649993
Author's mail: oscar.martinez@urv.cat nektarios.aslanidis@urv.cat
Author identifier: 0000-0002-8871-4707 0000-0001-8990-920X
Record's date: 2023-02-22
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S026499931931483X
Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Economic Modelling. 97 397-410
APA: Aslanidis N; Martinez O (2021). Correlation regimes in international equity and bond returns. Economic Modelling, 97(), 397-410. DOI: 10.1016/j.econmod.2020.04.009
Article's DOI: 10.1016/j.econmod.2020.04.009
Entity: Universitat Rovira i Virgili
Journal publication year: 2021
Publication Type: Journal Publications
Repositori URV