haku: @indexterm market conditions / yhteensä: 111
viite: 44 / 111
Tekijä: | Longin, F. Solnik, B. |
Otsikko: | Extreme correlation of international equity markets |
Lehti: | Journal of Finance
2001 : APR, VOL. 56:2, p. 649-676 |
Asiasana: | MARKET CONDITIONS STOCK MARKETS VOLATILITY |
Kieli: | eng |
Tiivistelmä: | Using "extreme value theory" to model the multivariate distribution tails, the authors derive the distribution of extreme correlation for a wide class of return distributions. Empirically, they reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. They also find that correlation is not related to market volatility per se but to the market trend. |
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