European stock market dependencies when price changes are unusually large

Sebastian Schich
  • Applied Financial Economics, February 2004, Taylor & Francis
  • DOI: 10.1080/0960310042000187360

Stock market links when returns are extreme

Why is it important?

Measuring dependencies in extreme cases of stock market returns between countries is informative about the value to be have from cross-country risk-sharing arangements, with potential value-added higher where links are less tight.

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http://dx.doi.org/10.1080/0960310042000187360

The following have contributed to this page: Dr Sebastian Schich

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