Increased Correlation in Bear markets: A Downside Risk Perspective

Preprint OPEN
Campbell, Rachel ; Koedijk, Kees ; Kofman, Paul (2002)
  • Subject: correlation; downside risk; extreme returns; international equity markets
    • jel: jel:G11 | jel:G15

A number of studies have provided evidence of increased correlation in global financial market returns during bear markets. Others, however, have shown that some of this evidence may have been biased. We derive an alternative estimator for implied correlation based on p... View more
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