This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and the local Gaussian correlation (LGC). We propose an LGC-based bootstrap test for whether the dependence structure in financial returns across different regimes is equal. We examine this test in a Monte Carlo study, where it shows good level and power properties. We argue that this approach is more intuitive than competing approaches, typically combining regime-switching models with copula theory. Furthermore, the LGC is a semi-parametric approach, hence avoids any parametric specification of the dependence structure. We illustrate our approach using returns from the US-UK stock markets and the US stock and government bond markets. Using a two-regime model for the US-UK stock returns, the test rejects equality of the dependence structure in the two regimes. Furthermore, we find evidence of lower tail dependence in the regime associated with financial downturns in the LGC structure. For a three-regime model fitted to US stock and bond returns, the test rejects equality of the dependence structures between all regime pairs. Furthermore, we find that the LGC has a primarily positive relationship in the time period 1980-2000, mostly a negative relationship from 2000 and onwards. In addition, the regime associated with bear markets indicates less, but asymmetric dependence, clearly documenting the loss of diversification benefits in times of crisis.

翻译：本文采用由机制转换模型与局部高斯相关性（LGC）相结合的新方法，检验金融收益率之间的非对称且时变依赖结构。我们提出基于LGC的bootstrap检验，以判断不同机制下金融收益率之间的依赖结构是否相等。通过蒙特卡洛研究检验该方法的有效性，结果表明其具有良好的检验水平和功效特性。我们认为，该方法相较于通常将机制转换模型与copula理论相结合的竞争性方法更为直观。此外，LGC作为半参数方法，避免了依赖结构的参数化设定。我们以美英股票市场及美国股票与政府债券市场收益率为例进行实证分析。采用双机制模型对美英股票收益率进行检验时，该检验拒绝了两种机制下依赖结构相等的假设。进一步地，在LGC结构中，与金融衰退相关的机制存在更低尾依赖性。针对美国股票与债券收益率拟合的三机制模型表明，所有机制对之间的依赖结构均被检验拒绝。此外，1980-2000年间LGC总体呈正相关关系，而2000年后主要为负相关。与熊市相关的机制呈现更弱但非对称的依赖关系，明确揭示了危机时期分散化收益的损失。