01-071/2 - Asset Market Linkages in Crisis Periods

• Authors
  P. Hartmann, European Central Bank; S. Straetmans, University Maastricht; C.G. de Vries, Erasmus University Rotterdam
• Publication date
  July 19, 2001

• Keywords
  Financial Crises; Systemic Risk; Contagion; Market Crashes; Flight to Quality; Bivariate Extreme Value Analysis; Extreme Co-movements
• JEL
  G1, F3, C49