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International Diversification: An Extreme Value Approach

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  • Chollete, Loran

    ()
    (University of Stavanger)

  • de la Pena , Victor

    (Columbia Universit)

  • Lu, Ching-Chih

    (National Chengchi University)

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    Abstract

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    File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2009_26_chollete_pena_lu.pdf
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    Bibliographic Info

    Paper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2009/26.

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    Length: 35 pages
    Date of creation: 30 Jun 2009
    Date of revision:
    Handle: RePEc:hhs:stavef:2009_026

    Contact details of provider:
    Postal: University of Stavanger, NO-4036 Stavanger, Norway
    Web page: http://www.uis.no/research/economics_and_finance
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    Related research

    Keywords: Diversification; Downside Risk; Correlation Complexity; Extreme Value; Systemic Risk;

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    References

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    26. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
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    28. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
    29. Andrey Pavlov & Susan M. Wachter, 2006. "The Inevitability of Marketwide Underpricing of Mortgage Default Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(4), pages 479-496, December.
    30. Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
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    37. Post, G.T. & van Vliet, P., 2004. "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management ERS-2004-048-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
    38. Cathy Ning, 2009. "Extreme Dependence in International Stock Markets," Working Papers 008, Ryerson University, Department of Economics.
    39. Longin, Francois, 2005. "The choice of the distribution of asset returns: How extreme value theory can help?," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 1017-1035, April.
    40. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
    41. Walden, Johan & Ibragimov, Rustam, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
    42. Jaffee, Dwight M & Russell, Thomas, 1976. "Imperfect Information, Uncertainty, and Credit Rationing," The Quarterly Journal of Economics, MIT Press, vol. 90(4), pages 651-66, November.
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    44. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
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