This paper measures US financial asset class linkages (stocks, bonds, T-bills and gold) during crisis periods. We use extreme value analysis to assess the bivariate exposure of one asset class to extreme movements in the other asset classes. These bivariate co-crash probabilities can be...

In this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's ["Journal of Econometrics" (2006) Vol. 132, pp. 59-79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted...

This paper implements estimation and testing procedures for comovements of stock market "cycles" or "phases" in Asia. We extend the Harding and Pagan [Harding, D., Pagan, A.P., 2006. Synchronization of cycles. Journal of Econometrics 132 (1), 59-79] test for strong multivariate...