markets using a flexible approach that allows us to investigate whether the co-movement is: (i) symmetric and occurring most … dependence may lead to wrong evidence of asymmetry. Third, a growing comovement between industrial metals and equity markets is … identified as early as in 2003, a comovement that spreads to all commodity classes and becomes unambiguously stronger with the …

parameter estimation are discussed. …

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that … state pairs and document that house price growth correlation is strongly related to this measure of financial integration …. Our IV estimates suggest that banking integration can explain up to one third of the rise in house price correlation over …

The correlation across US states in house price growth increased dramatically between 1976 and 2000. This paper shows … state pairs and document that house price growth correlation is strongly related to this measure of financial integration …. Our IV estimates suggest that banking integration can explain up to one third of the rise in house price correlation over …

market returns (R2), reflecting increased comovement after inclusion between the added stock and rest of the index. In … post-inclusion increase in comovement is positively correlated with the presence of index-oriented institutional investors … in comovement is related to information problems. …

It is well known that the neoclassical model does not generate comovement among macroeconomic aggregates in response to … the neoclassical model. We present an open economy model that generates comovement both in response to sudden stops and to … news about future productivity and investment-specific technical change. We find that comovement is easier to generate in …

negative correlation. In this framework, the predictive ability of imperfect predictors is supplemented by information in …

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …