0396417 20240103203002.120140124235959.9 000326923700003 21 s. P cav_un_epca*02554460015-1920635 (2013)425-442Univerzita Karlova v Praze portfolio diversification dynamic correlations high frequency data time-varying copulas cav_un_auth*0294289 Avdulaj Krenar Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2013/E/avdulaj-0396417.pdf GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 One of the findings of the recent literature is that the 2008 financial crisis caused reduction in international diversification benefits. To fully understand the possible potential from diversification, we build an empirical model which combines generalised autoregressive score copula functions with high frequency data, and allows us to capture and forecast the conditional time-varying joint distribution of stock returns. Using this novel methodology and fresh data covering five years after the crisis, we compute the conditional diversification benefits to answer the question, whether it is still interesting for an international investor to diversify. As diversification tools, we consider the Czech PX and the German DAX broad stock indices, and we find that the diversification benefits strongly vary over the 2008--2013 crisis years. 2014 AH 2 RVO:67985556 http://hdl.handle.net/11104/0224324 BUSINESSFINANCE 0.470 0.000 0.00030 0.138 91 25 0.261 Q3 3.018 12.637 Q4 Q3 2013 000326923700003 WOS cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 63 č. 5 2013 425 442 Univerzita Karlova v Praze