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Asset Market Linkages in Crisis Periods Author info | Abstract | Publisher info | Download info | Related research | Statistics Hartmann, P.
Straetmans, S.
De Vries, C.G.
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We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets.
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Paper provided by Quebec a Montreal - Recherche en gestion in its series Papers with number
71.
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Length: 34 pages
Date of creation: 2001Date of revision:
Handle: RePEc:fth:uqamge:71Contact details of provider: Postal: Canada; Universite du Quebec a Montreal, Centre de recherche en gestion. Case postale 8888, succursale A, Montreal (Quebec) Canada H3C 3P8
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Keywords: RISK ; STOCK MARKET ; DISTRIBUTION ; Other versions of this item:
Article Philipp Hartmann & Stefan Straetmans & Casper G. de Vries, 2001.
"Asset market linkages in crisis periods ,"
Proceedings ,
Federal Reserve Bank of Chicago, issue May, pages 555-576.
P. Hartmann & S. Straetmans & C. G. de Vries, 2004.
"Asset Market Linkages in Crisis Periods ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(1), pages 313-326, 01.
[Downloadable!] (restricted) Paper P. Hartmann & S. Straetmans & C.G. de Vries, 2001.
"Asset Market Linkages in Crisis Periods ,"
Tinbergen Institute Discussion Papers
01-071/2, Tinbergen Institute.
[Downloadable!] de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001.
"Asset Market Linkages in Crisis Periods ,"
CEPR Discussion Papers
2916, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Stefan Straetmans & Casper G. De Vries & Philipp Hartmann, 2001.
"Asset market linkages in crisis periods ,"
Working Paper Series
071, European Central Bank.
[Downloadable!] Find related papers by JEL classification: G1 - Financial Economics - - General Financial Markets F3 - International Economics - - International Finance C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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Carsten Detken & Philipp Hartmann, 2000.
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[Downloadable!] Carsten Detken & Philipp Hartmann, 2000.
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