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

摘要

This article compares the performance of regime-switching Levy 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.