Title: Modelling Asymmetric Comovements
of
International Financial Markets:A Survey
Abstract: Recent
researches on financial markets suggest the notion of correlation
asymmetry.
The research began in securities and become the focus between spot and
futures
markets. A common finding underlines that correlations tend to be much
greater
on the downside than on the upside. Much effort has been done on
improving
the estimation of the correlation to show the implication on the
effectivness
of risk management.In this survey; we review some recent developments
in
correlation asymmetry. We describe the econometric implementation of
the
different methods proposed in the literature and sum up the finding
about
the implication of the asymmetric correlation on portfolio
diversification
and futures hedging.
Authors: Abdelwahed
Trabelesi and Asma Nabil