Correlations during crashes

willsmith · November 23rd, 2015, 9:55 pm

We all know the theory : correlations between asset returns in crash scenarios tend to be higher than during uninteresting times. Can anybody suggest some standard references where this has been quantitatively tested and analysed? Thanks.

rh303 · November 25th, 2015, 7:52 am

Here's a few:Longin and Solnik, Extreme Correlation of International Equity Markets, JOF 2001 is frequently cited - http://onlinelibrary.wiley.com/doi/10.1 ... actDynamic Equicorrelation - http://faculty.chicagobooth.edu/bryan.k ... f/deco.pdf and http://www.tandfonline.com/doi/abs/10.1 ... 1.652048Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach - RFS - http://rfs.oxfordjournals.org/content/2 ... tCheersRod