Extreme Correlation of International Equity Markets

  title={Extreme Correlation of International Equity Markets},
  author={François Longin and Bruno Solnik},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  • F. Longin, Bruno Solnik
  • Published 1 April 2000
  • Economics
  • Capital Markets: Asset Pricing & Valuation eJournal
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… 
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