Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to "systemic risk". We capture these stylized facts using a multivariate system of jump-diffusion processes where the arrival of jumps is simultaneous...

Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...