Comovements of Different Asset Classes During Market Stress
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- Jan Piplack & Stefan Straetmans, 2010. "Comovements Of Different Asset Classes During Market Stress," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 385-400, August.
References listed on IDEAS
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- Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
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- Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "Determinants of asymmetric return comovements of gold and other financial assets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 229-242.
- Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
- Franz Fuerst & Pat McAllister & Petros Sivitanides, 2011. "Flight to Quality? An Investigation of the Attributes of Sold Properties in Hot and Cold Markets," Real Estate & Planning Working Papers rep-wp2011-04, Henley Business School, Reading University.
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- Jessica James & Kristjan Kasikov & Kerry-Ann Edwards, 2012. "The end of diversification," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1629-1636, November.
More about this item
KeywordsFlight to quality; financial market distress; extreme value theory;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-23 (All new papers)
- NEP-FMK-2009-05-23 (Financial Markets)
- NEP-RMG-2009-05-23 (Risk Management)
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