Dynamic dependence in asset returns (A01)

• Subject Area: Statistics and Econometrics
• Term: from 2009 to 2021
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791

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.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 823: Statistical Modelling of Nonlinear Dynamic Processes
• Applicant Institution: Technische Universität Dortmund
• Co-Applicant Institution: Ruhr-Universität Bochum
• Project Heads: Professor Dr. Holger Dette; Professor Vasyl Golosnoy, since 7/2017; Professor Dr. Walter Krämer; Professor Dr. Dominik Wied, until 6/2017