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Cross-country performance of Lévy regime-switching models for stock markets

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  • Julien Chevallier
  • Stéphane Goutte

Abstract

This article compares the performance of regime-switching Lévy models across sixteen (16) international stock markets. From a cross-country perspective, the empirical application is dedicated to the study of equity markets in the Americas, Asia and Europe. The results are of interest for a financial audience in order to document the sensitivity of stock indexes to the intensity of jumps, under changing economic regimes (expansion or recession). We pick up singularities in Japan and Malaysia compared to other countries and regions of the world.

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  • Julien Chevallier & Stéphane Goutte, 2017. "Cross-country performance of Lévy regime-switching models for stock markets," Applied Economics, Taylor & Francis Journals, vol. 49(2), pages 111-137, January.
    • Handle: RePEc:taf:applec:v:49:y:2017:i:2:p:111-137
    DOI: 10.1080/00036846.2016.1192275
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    Cited by:

    1. Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," International Journal of Stochastic Analysis, Hindawi, vol. 2018, pages 1-15, July.
    2. Asante Gyamerah, Samuel & Ngare, Philip & Ikpe, Dennis, 2018. "A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives," MPRA Paper 89680, University Library of Munich, Germany, revised 10 Jul 2018.

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