Extreme Correlation of International Equity Markets
By F. Longin, Bruno Solnik. 2001
2,653 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/34193674bc8d59cf9ccee38f0523b3270b23682c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Andrew J. Patton
- Duc Khuong Nguyen
- Allan G. Timmermann
- Kjersti Aas
- Claudia Czado
- Timo Teräsvirta
- Juan Carlos Reboredo
- Tim Bollerslev
In Finance
- Andrew J. Patton
- Claudia Czado
- Kjersti Aas
- Timo Teräsvirta
- Allan G. Timmermann
- Tim Bollerslev
- Esther Ruiz
- Eike C. Brechmann
Citations in the corpus
- Volatility Forecasting With Range-Based EGARCH Models (2006, background): “(9)The leading explanations of asymmetric volatility are the leverage effect (Black, 1976; Christie, 1982; Schwert, 1989), the volatility feedback effect (Pindyck, 1984; French, Schwert, and Stambaugh, 1987; Campbell and Hentschel, 1992), and an increasing correlation of stocks in down-markets (Conr”
- The “Big C”: identifying and mitigating contagion (2012, neutral): “More recent examples of papers using extreme value theory are: Bae et al. (2003), Longin and Solnik (2001), Hartman et al. (2004) Boyer et al. (2006), and Boyson et al. (2010).”
- Modelling the dependence structure of financial assets : A survey of four copulas (2004, positive): “If one believes in the asymmetries in equity return dependence structures reported by for instance Longin and Solnik (2001) and Ang and Chen (2000), the Student’s t-copula may also be too restrictive to provide a reasonable fit.”
- Copula-based multivariate GARCH model with uncorrelated dependent errors (2009, methodology): “However, these models have been estimated under the conditional multivariate normality assumption, while this assumption has been rejected in much of the empirical findings — Fama and French (1993), Richardson and Smith (1993), Longin and Solnik (2001),Mashal and Zeevi (2002), among many others.”
- Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, background): “Recent studies suggest that asymmetric correlations exist in stock returns [28–30].”
- Asset Market Linkages in Crisis Periods (2004, methodology): “The estimation of the bivariate excess probability p12 either requires adopting a specific functional form for the STDF, as in Longin and Solnik (2001), or proceeding semiparametrically.”
- Testing for Differences in the Tails of Stock-Market Returns (2003, background): “While a few papers focused on low-frequency data (Longin and Solnik, 2001; Hartmann et al., 2001), most studies considered daily data (e.g. Jansen and de Vries, 1991; Loretan and Phillips, 1994; Longin, 1996).”