1 See, for example: J.S. Chen, A. Ang, Asymmetric correlations of equity portfolios Available at SSRN: EFA 2001 Barcelona Meetings 2001 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=219495
Koedijk KCG, 2002 KCG Koedijk, Campbell RAJ, P. Kofman, Increased correlation in bear markets Financial Analysts Journal 58 1 200287-94
Alexander and Pézier report correlations between US Treasury yields and stock prices that are higher for large than for small changes in both, see:
Alexander J. 2003 C. Alexander, J. Pézier, Assessment and aggregation of banking risks 2003 ISMA Centre, University of Reading Working paper
2 K. Guha, G. Tett, Last year's model: Stricken US homeowners confound predictions Financial Times 2008 February:11 ...