International Diversification: An Extreme Value Approach

Loran Chollete (), Victor de la Pena and Ching-Chih Lu
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Loran Chollete: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Victor de la Pena : Columbia Universit
Ching-Chih Lu: National Chengchi University

No 2009/26, UiS Working Papers in Economics and Finance from University of Stavanger

Abstract: .

Keywords: Diversification; Downside Risk; Correlation Complexity; Extreme Value; Systemic Risk (search for similar items in EconPapers)
JEL-codes: C14 F30 G15 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2009-06-30
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2009_026

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