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VaR-implied tail-correlation matrices
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004CAViaR2,210 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 2000The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes286 cited
  • 2002

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Increased Correlation in Bear Markets
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