This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis....

In this paper we make a distinction between systemic co-jumps and independent idiosyncratic jumps, and examine the impact of their mis-specification on asset allocation. We discuss how jumps mis-specification may lead to jumps mis-estimation and to a suboptimal portfolio. Specifically, we...