Scandinavian Working Papers in Economics

UiS Working Papers in Economics and Finance,
University of Stavanger

No 2009/26: International Diversification: An Extreme Value Approach

Loran Chollete (loran.chollete@nhh.no), Victor de la Pena and Ching-Chih Lu
Additional contact information
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

Abstract: .

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

JEL-codes: C14; F30; G15

35 pages, June 30, 2009

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uis_wps_2009_26_chollete_pena_lu.pdf PDF-file

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