Servicenavigation


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Director

Walter Krämer 

+49 231 755 - 3125

walterk@statistik.tu-dortmund.de

 

Executive office, management

Thorsten Ziebach

+49 231 755 - 3122

thorsten.ziebach@udo.edu

 

Project A1: Dynamic dependence structures in Asset returns

Project leaders

Holger Dette

Walter Krämer

Vasyl Golosnoy

 

          

 

Abstract

This project models time varying volatilities and dependence structures of stock and bond returns. It aims at more efficient portfolios and a realistic assessment of the risks involved in investments with stochastic outcomes, with a special emphasis on structural breaks in the respective models and on possible dependence of extreme events.