Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …

parameter estimation are discussed. …

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

‘gravity’ model of bilateral merchandise trade and a large panel data set covering over 50 years and 175 countries. My results …

I search for a 'scale' effect in countries. I use a panel data set that includes 200 countries over forty years and …

during cyclic downturns; if anything, they tend to fall. I document this new stylized fact with a wide panel of data, using a …

stability. Are there important differences between the economic outcomes of the two stable regimes? I examine a panel of annual …

their presence is apparent empirically. I use a panel data approach, examining the difference in inflation before and after … economically and statistically significant; it is also insensitive to a variety of estimation strategies, including using political …