The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets

Using multivariate statistics

1983 • 76,643 citations

Continuous Univariate Distributions.

1995 • 9,403 citations

No Contagion, Only Interdependence: Measuring Stock Market Comovements

2002 • 4,246 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Extreme Correlation of International Equity Markets

2001 • 2,551 citations

Common Factors Affecting Bond Returns

1991 • 1,873 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

Asymmetric correlations of equity portfolios

2002 • 1,541 citations

Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements

1996 • 912 citations

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

1992 • 905 citations

R2

1988 • 562 citations

R-S1-2

1988 • 412 citations

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

1982 • 377 citations

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

1990 • 354 citations

Asymmetric Correlations of Equity Portfolios

2000 • 271 citations

On the measurement of the international propagation of shocks: is the transmission stable?

2003 • 254 citations

Is international diversification really beneficial?

2009 • 148 citations

Multidimensional Security Pricing

1975 • 101 citations

Evaluating 'Correlation Breakdowns' during Periods of Market Volatility

2000 • 64 citations

Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS

1996 • 31 citations

The Correlation Structure of Unexpected Returns in U.S. Equities

2009 • 2 citations