## Abstract We assess the extent of integration between stock markets during stressful periods using the concept of copulas. Our methodology consists of fitting copulas to simultaneous exceedances of high thresholds, and computing copula‐based measures of interdependence and contagion. Using 21 pai
Extreme Correlation of International Equity Markets
✍ Scribed by François Longin; Bruno Solnik
- Book ID
- 108503036
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 331 KB
- Volume
- 56
- Category
- Article
- ISSN
- 0022-1082
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