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On Crises, Crashes and Comovements
Company: Erasmus University
Year Of Publication: 2006
Month Of Publication: April
Pages: 209
Download Count: 181
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-7-2008
Publisher: Administrator
Summary
In this dissertation we study crises and crashes from the perspective of an investorin financial markets. The two key concerns that an investor has regarding crises andcrashes are their influence on his risk exposure and their effect on his asset allocationdecisions. We analyze these questions in several ways. In the analyses we pay specificattention to the comovements in asset returns.
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Kole, Erik Sign in to follow this author
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