Asymmetric Dependence in US Financial Risk Factors?

Loran Chollete () and Cathy Ning
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Loran Chollete: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway

No 2011/2, UiS Working Papers in Economics and Finance from University of Stavanger

Abstract: .

Keywords: Asymmetric Dependence; Copulas; Diversification Failure; Risk Factor; Systemic Risk; Time-Varying Downside Risk (search for similar items in EconPapers)
JEL-codes: C14 E44 G01 G11 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2010-04-04
New Economics Papers: this item is included in nep-ban and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2011_002

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