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I am seeking a recommendation for an empirical paper on increased correlations of returns during the 2008 financial crisis, or 'tail correlation' during the crisis, if that is different, or whatever notions people use to describe all your stocks moving the same way when you least want them to.

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1 Answer 1

Maybe this question is a bit to broad but a starting point might be Does Portfolio Theory Work During Financial Crises? by Markowitz.

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