Scandinavian Working Papers in Economics

UiS Working Papers in Economics and Finance,
University of Stavanger

No 2011/2: Asymmetric Dependence in US Financial Risk Factors?

Loran Chollete (loran.chollete@uis.no) and Cathy Ning (cning@economics.ryerson.ca)
Additional contact information
Loran Chollete: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway
Cathy Ning: Ryerson University, Postal: Ryerson University

Abstract: .

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

JEL-codes: C14; E44; G01; G11

43 pages, April 4, 2010

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uis_wps_2011_2_chollete_ning.pdf PDF-file

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