Chollete, Loran; Ning, Cathy Q. - Universitetet <Stavanger> / School of Business … - 2010
When assets exhibit asymmetric dependence or joint downside risk, diversificationcan fail and financial markets may be prone to systemic risk. We analyze thedependence structure of risk factors in the US economy, using both correlations anda parsimonious set of copulas. We find evidence of...