Asset Market Linkages in Crisis Periods

Philipp Hartmann, S. Straetmans and Casper G. de Vries ()

Working Papers from Quebec a Montreal - Recherche en gestion

Abstract: 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.

Keywords: RISK; STOCK MARKET; DISTRIBUTION (search for similar items in EconPapers)
JEL-codes: G1 F3 C49 (search for similar items in EconPapers)
Date: 2001
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Working Paper: Asset Market Linkages in Crisis Periods (2001)
Working Paper: Asset market linkages in crisis periods (2001)
Journal Article: Asset market linkages in crisis periods (2001)
Journal Article: Asset Market Linkages in Crisis Periods (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:uqamge:71

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