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Asymmetric Dependence in US Financial Risk Factors?

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  • Chollete, Loran

    ()
    (University of Stavanger)

  • Ning, Cathy

    ()
    (Ryerson University)

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File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2011_2_chollete_ning.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 2011/2.

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Length: 43 pages
Date of creation: 04 Apr 2010
Date of revision:
Handle: RePEc:hhs:stavef:2011_002

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: Asymmetric Dependence; Copulas; Diversification Failure; Risk Factor; Systemic Risk; Time-Varying Downside Risk;

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References

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