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Extreme Correlation of International Equity Markets

✍ Scribed by François Longin and Bruno Solnik


Book ID
115479326
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
540 KB
Volume
56
Category
Article
ISSN
0022-1082

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Asymmetric extreme interdependence in em
✍ Beatriz Vaz de Melo Mendes 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 184 KB 👁 1 views

## 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