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The Dependency of Extreme Returns on Stock Indices Across Borders in Bull and Bear Periods

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  • Angi RÖSCH
  • Harald SCHMIDBAUER

Abstract

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Suggested Citation

  • Angi RÖSCH & Harald SCHMIDBAUER, 2010. "The Dependency of Extreme Returns on Stock Indices Across Borders in Bull and Bear Periods," EcoMod2004 330600120, EcoMod.
    • Handle: RePEc:ekd:003306:330600120
    as

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    File URL: http://www.ecomod.net/sites/default/files/document-conference/ecomod2004/327.pdf
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    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    3. Helen Higgs & Andrew Worthington, 2004. "Transmission of returns and volatility in art markets: a multivariate GARCH analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 217-222.
    4. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
    5. Xiaoqing Eleanor Xu & Hung–Gay Fung, 2002. "Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York," The Financial Review, Eastern Finance Association, vol. 37(4), pages 563-588, November.
    6. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
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