Extreme Correlation of International Equity Markets
用极值理论分析国际股市相关性在波动时期的真实变化，发现相关性上升与市场下跌趋势有关，而非波动本身，并否定了负尾部多元正态性的假设。
ABSTRACT 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. Using “extreme value theory” to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Empirically, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.