We propose a novel regime-switching model to study correlation asymmetries in international equity markets. We decompose returns into frequent-but-small diffusion and infrequent-but-large jumps, and derive an estimation method for many countries. We find that correlations due to jumps, not...

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the...