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Asymmetric Dependence in US Financial Risk Factors?

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  • Chollete, Loran

    (University of Stavanger)

  • Ning, Cathy

    (Ryerson University)

Abstract

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  • Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
    • Handle: RePEc:hhs:stavef:2011_002
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    More about this item

    Keywords

    Asymmetric Dependence; Copulas; Diversification Failure; Risk Factor; Systemic Risk; Time-Varying Downside Risk;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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