The Dark Side of Global Integration: Increasing Tail Dependence

By Michel Beine, Antonio Cosma, R. Vermeulen. 2010

206 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3c8672b56ddefff3d3d206ac493498d32449fa91

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

1. T. C. Chiang
2. Jiandong Li
3. Lin Tan
4. Edward F. Nelling
5. N. Sghaier
6. N. Mylonidis
7. W. Hess
8. Lu Liu

In Finance

1. T. C. Chiang
2. Jiandong Li
3. Lin Tan
4. Edward F. Nelling
5. N. Sghaier
6. N. Mylonidis
7. W. Hess
8. Lu Liu

Citations in the corpus

• A spatial analysis of international stock market linkages (2013, background): “Wälti (2010), Beine and Candelon (2010), and Beine et al. (2010), among a vast literature, find that bilateral trade contributes to larger stock market comovements.”
• International diversification: A copula approach (2011, unknown): “(2009); and Beine et al. (2010).”
• Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade (2010, background): “For example, enhanced European stock market integration implies reduced gains from intra-European portfolio diversification after risk adjustment (Eun and Lee, 2010; Beine et al., 2010).”
• Government Quality Determinants of Stock Market Performance in African Countries (2011, unknown): “Financial stability in-turn may reduce the risk of cross-border financial contagion(Beine et al.,2010) and improve the capacity of economies to absorb shocks(Yu et al., 2010).”
• Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, methodology): “….com/locate / jbf To reproduce the asymmetric dependence between financial returns, some authors propose to rely on the concept of exceedance correlation1 (Ang and Chen, 2002) and the extreme value theory2 (Longin and Solnik, 2001; Hartmann et al., 2004; Poon et al., 2004; Beine et al., 2010).”
• Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “…of shares (Howe and Madura, 1990; Chandar, Patro, and Yezegel, 2009), a contagion effect (King and Wadhwani, 1990), unobservable shocks (Dungey, Milunovich, and Thorp, 2010) or an asymmetrical impact of stock market co-movement across the return distribution (Beine, Cosma, and Vermeulen, 2010).”