Essec\Faculty\Model\Contribution {#2205
  #_index: "academ_contributions"
  #_id: "7982"
  #_source: array:26 [
    "id" => "7982"
    "slug" => "dependences-structure-of-international-equity-markets-during-extremely-volatile-periods"
    "yearMonth" => "1997-11"
    "year" => "1997"
    "title" => "Dependences Structure of International Equity Markets during Extremely Volatile Periods"
    "description" => "LONGIN, F. et SOLNIK, B. (1997). <i>Dependences Structure of International Equity Markets during Extremely Volatile Periods</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
      1 => array:1 [
        "name" => "SOLNIK B."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "La corrélation des marchés boursiers internationaux est instable au cours du temps. Une des sources de cette instabilité peut être le changement de la structure de corrélation pendnat les périodes de volatilité différent : la corrélation pourrait croître en période de forte volatilité et décroître en période de faible volatilité. Le niveau de la corrélation pourrait aussi dépendre de la tendance des marchés : la corrélation pourrait être plus élevée dans un marché baissier et moins élevée dans un marché haussier. Cet article étudie la structure de dépendance de trois marchés boursiers internationaux (les Etats-Unis, le Royaume-Uni et le Japon) pendnat les périodes de volatilité extrême. Il considère à la fois la taille et le temps d'apparition des larges mouvements de prix dans le cadre formalisé de la théorie des valeurs extrêmes."
      "en" => "Correlation in international equity returns is unstable over time. One of the sources of this instability may be a change in the correlation structure during volative periods: correlation rises in periods of high volatility and declines in periods of low volatility. The level of correlation may also depend on the market trend: correlation is higher during bear market than during bull markets. This paper studies the dependence structure of three international markets (the United States, the United Kingdom and Japan) during extremely volatile periods. It considers both the size and the timing of large price movements in a formalized framework using extreme value theory."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-25T15:22:11.000Z"
    "docTitle" => "Dependences Structure of International Equity Markets during Extremely Volatile Periods"
    "docSurtitle" => "Documents de travail"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>, SOLNIK B."
    "docDescription" => "<span class="document-property-authors">LONGIN François, SOLNIK B.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Dependences Structure of International Equity Markets during Extremely Volatile Periods</b><br><span>1997-11 | Documents de travail </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Dependences Structure of International Equity Markets during Extremely Volatile Periods</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.910675
  +"parent": null
}