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International Diversification: An Extreme Value Approach

  • Chollete, Loran

    ()

    (University of Stavanger)

  • de la Pena , Victor

    (Columbia Universit)

  • Lu, Ching-Chih

    (National Chengchi University)

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    No abstract is available for this item.

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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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    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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    25. Dungey, Mardi & Tambakis, Demosthenes N. (ed.), 2005. "Identifying International Financial Contagion: Progress and Challenges," OUP Catalogue, Oxford University Press, number 9780195187182, December.
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    28. Laura Veldkamp, 2004. "Information Markets and the Comovement of Asset Prices," 2004 Meeting Papers 539, Society for Economic Dynamics.
    29. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
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    31. Ning, Cathy, 2010. "Dependence structure between the equity market and the foreign exchange market-A copula approach," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 743-759, September.
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    33. Stijn Van Nieuwerburgh & Laura Veldkamp, 2010. "Information Acquisition and Under-Diversification," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 779-805.
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    37. Cathy Ning, 2009. "Extreme Dependence in International Stock Markets," Working Papers 008, Ryerson University, Department of Economics.
    38. Thomas Flavin, 2004. "The effect of the Euro on country versus industry portfolio diversification," Economics, Finance and Accounting Department Working Paper Series n1411004, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
    39. Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650.
    40. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
    41. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
    42. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 1-53.
    43. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, vol. 59(3), pages 667-86, May.
    44. 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 University Rotterdam.
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