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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