Extreme Correlation of International Equity Markets

  title={Extreme Correlation of International Equity Markets},
  author={F. Longin and Bruno H. Solnik},
  journal={Capital Markets: Asset Pricing & Valuation},
  • F. Longin, Bruno H. Solnik
  • Published 2000
  • Economics
  • Capital Markets: Asset Pricing & Valuation
  • Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using "extreme value theory" to model the multivariate distribution tails, we derive… CONTINUE READING
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