Extreme Contagion in Equity Markets

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Extreme Correlation of International Equity Markets

François Longin, Bruno Solnik · The Journal of Finance · 2001 · 2.6K citations

Business, Economics, Finance +17

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Alexander J. McNeil, Rüdiger Frey · Journal of Empirical Finance · 2000 · 1.7K citations

Business, Economics, Finance +16

International Transmission of Stock Market Movements

Cheol S. Eun, Sangdal Shim · Journal of Financial and Quantitative Analysis · 1989 · 1.4K citations

Business, Economics, Finance +15

The Relationship Between Equity Indices on World Exchanges

Jimmy E. Hilliard · The Journal of Finance · 1979 · 328 citations

Business, Economics, Finance +14