International Diversification: An Extreme Value Approach
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More about this item
Keywords
Diversification; Downside Risk; Correlation Complexity; Extreme Value; Systemic Risk;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2009-09-26 (Risk Management)
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