Beine, Michel; Cosma, Antonio; Vermeulen, Robert - In: Journal of Banking & Finance 34 (2010) 1, pp. 184-192
We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the return distribution. First, we construct annual coexceedance probabilities for both lower and upper...