Increased Correlation in Bear Markets

By R. Campbell, Kees G. Koedijk, P. Kofman. 2002

276 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fdef33122bb56d0a3647272df7574e8d4168f669

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Citations in the corpus

Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, unknown): “T Diversification benefits across assets have been shown to decrease in times of high market volatility (Campbell et al., 2002).”
Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis (2010, background): “Most prominently, the overall findings contribute to existing literature on understanding how a shocks originated from one region can create contagion effect during financial crises (Longin and Solnik, 2001; Campbell et al., 2002; Van Royen, 2002; Bekaert et al., 2005; Candelon et al., 2008).”
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004, unknown): “…that stock returns exhibit some form of asymmetric dependence has been reported by several authors in recent years [see Erb, Harvey, and Viskanta (1994), Longin and Solnik (2001), Ang and Bekaert (2002), Ang and Chen (2002), Campbell, Koedijk, and Kofman (2002), and Bae, Karolyi, and Stulz (2003)].”
Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2007, unknown): “In particular in ﬁnancial engineering, this conditional-dependence measure is frequently used in order to investigate the effects of contagion between ﬁnancial markets, see Campbell [3] or Forbes and Rigobon [8].”
Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence (2007, background): “Thus both are invariant with respect to the distributions of the margins Xi: In particular in flnancial engineering, these types of (conditional) dependence measures are frequently used in order to investigate the efiects of contagion between flnancial markets, see Campbell, Koedijk, and Kofman (20”
A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers (2005, methodology): “are correlations increasing in periods of high market volatility and during the Asian Financial Crisis period? Campbell et al. (2002) show that market correlations increased in the bear market.”
Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “We revisit this connection theoretically and 5As a statistical aside, Campbell, Koedijk, and Kofman (2002) showed that sensible conditioning here should be with respect to the portfolio return being smaller than a threshold, not with respect to individual asset returns.”
New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008, unknown): “Other recent studies include Campbell, Koedijk, and Kofman (2002), Ang and Bekaert (2002), Das and Uppal (2004), Patton (2004), and Poon, Rockinger, and Tawn (2004).”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, methodology): “Closed-form relationships have been developed to correct the bias due to truncation both for the normal and Student t distributions (see Campbell et al., 2002 and 2003). Another useful approach to model size-conditional second moments is extreme value theory (eg. Poon et al., 2004), which offers asy”