Sankaran, Harikumar; Nguyen, Anh; Harikumar, Jayashree - In: American Journal of Business 27 (2012) 2, pp. 154-173
The purpose of this paper is to examine the relation between extreme return correlation and return volatility, in the context of US stock indexes, by detecting clusters of extreme returns using return and volatility thresholds based on an algorithm suggested in Laurini. The daily returns and...