The DOI matches its Crossref record; 62 of the 62 references it cites were found in a registry or an index.
Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
Open accessAbstract
International equity markets are characterized by nonlinear dependence and asymmetries. We propose a new dynamic asymmetric copula model to capture long-run and short-run dependence, multivariate nonnormality, and asymmetries in large cross-sections. We find that correlations have increased markedly in both developed markets (DMs) and emerging markets (EMs), but they are much lower in EMs than in DMs. Tail dependence has also increased, but its level is still relatively low in EMs. We propose new measures of dynamic diversification benefits that take into account higher-order moments and nonlinear dependence. The benefits from international diversification have reduced over time, drastically so for DMs. EMs still offer significant diversification benefits, especially during large market downturns.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
Artzner, P., Delbaen, F., Eber, J., & Heath, D. (1999) · Mathematical Finance · doi:10.1111/1467-9965.00068 · Cited by 8,806
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Fonctions de répartition à N dimensions et leurs marges
Sklar, M. (1959) · HAL · Cited by 4,671
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Forbes, K. J., & Rigobon, R. (2002) · The Journal of Finance · doi:10.1111/0022-1082.00494 · Cited by 4,615
Measuring and Testing the Impact of News on Volatility
ENGLE, R. F., & NG, V. K. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05127.x · Cited by 3,611
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Extreme Correlation of International Equity Markets
Longin, F. M., & Solnik, B. H. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00340 · Cited by 2,611
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Cited by
Copula Methods for Forecasting Multivariate Time Series
Patton, A. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-62731-5.00016-6 · Cited by 320
Metadata
- Authors
- Christoffersen, P., Errunza, V., Jacobs, K., & Langlois, H.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2012-10-24
- Volume
- 25
- Issue
- 12
- Pages
- 3711-3751
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3022547221
- Cited by
- 434
- References
- 62
- FWCI
- 46.70
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach. https://app.cochat.ai/papers/10.1093/rfs/hhs104
- The paper
- Christoffersen, P., Errunza, V., Jacobs, K., & Langlois, H. (2012). Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach. Review of Financial Studies. https://doi.org/10.1093/rfs/hhs104
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
