The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Asset Market Linkages in Crisis Periods
Open accessAbstract
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration.
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
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
The Copula-GARCH model of conditional dependencies: An international stock market application
Jondeau, E., & Rockinger, M. (2006) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2006.04.007 · Cited by 783
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
Baur, D. G., & Lucey, B. M. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.952289 · Cited by 356
Flights and contagion—An empirical analysis of stock–bond correlations
Baur, D. G., & Lucey, B. M. (2009) · Journal of Financial Stability · doi:10.1016/j.jfs.2008.08.001 · Cited by 334
Metadata
- Authors
- Hartmann, P., Straetmans, S., & Vries, C. G. D.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 2004-02
- Volume
- 86
- Issue
- 1
- Pages
- 313-326
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2035114206
- Cited by
- 170
- References
- 1
- FWCI
- 15.09
- Type
- journal article
- Language
- en
- Open access
- green
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: Asset Market Linkages in Crisis Periods. https://app.cochat.ai/papers/10.1162/003465304323023831
- The paper
- Hartmann, P., Straetmans, S., & Vries, C. G. D. (2004). Asset Market Linkages in Crisis Periods. Review of Economics and Statistics. https://doi.org/10.1162/003465304323023831
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.
