Search for dissertations about: "extreme downside risk"

Found 1 swedish dissertation containing the words extreme downside risk.

  1. 1. Essays on Financial Market Interdependence

    University dissertation from Department of Economics, Lund Universtiy

    Author : Lu Liu; Lunds universitet.; Lund University.; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stock markets; commodity futures; extreme downside risk; regime-switching; correlations; diversification; market linkages; heterogeneity; EMU stock markets; dynamic panel data;

    Abstract : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. READ MORE