International diversification: A copula approach

摘要: Abstract The viability of international diversification involves balancing benefits and costs. This balance hinges on the degree asset dependence. In light theoretical research linking dependence, we examine using two measures dependence: correlations copulas. We document several findings. First, dependence has increased over time. Second, find evidence asymmetric or downside risk in Latin America, but less G5. results indicate very little East Asia. Third, Asian American returns exhibit some correlation complexity. Interestingly, regions with maximal worst do not command large returns. Our suggest limits to diversification. They are also consistent a possible tradeoff between systemic risk.