| bibtype |
J -
Journal Article
|
| ARLID |
0449080 |
| utime |
20240103210943.3 |
| mtime |
20151027235959.9 |
| WOS |
000364439500004 |
| SCOPUS |
84936971968 |
| DOI |
10.1016/j.eneco.2015.05.018 |
| title
(primary) (eng) |
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data |
| specification |
| page_count |
14 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250426 |
| ISSN |
0140-9883 |
| title
|
Energy Economics |
| volume_id |
51 |
| volume |
1 (2015) |
| page_num |
31-44 |
| publisher |
|
|
| keyword |
Portfolio diversification |
| keyword |
Dynamic correlations |
| keyword |
High frequency data |
| keyword |
Time-varying copulas |
| keyword |
Commodities |
| author
(primary) |
| ARLID |
cav_un_auth*0294289 |
| name1 |
Avdulaj |
| name2 |
Krenar |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| share |
50% |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
K |
| share |
50% |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA13-24313S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0308909 |
|
| project |
| project_id |
GA13-32263S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0292677 |
|
| abstract
(eng) |
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional time-varying joint distribution of the oil–stocks pair accurately. Our realized GARCH with time-varying copula yields statistically better forecasts of the dependence and quantiles of the distribution relative to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten years. The diversification benefits implied by our empirical model are, moreover, strongly varied over time. These findings have important implications for asset allocation, as the benefits of including oil in stock portfolios may not be as large as perceived. |
| reportyear |
2016 |
| RIV |
AH |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122141231.8 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0250755 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.257 |
| mrcbT16-s |
2.812 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
74.9 |
| mrcbT16-C |
93.768 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1* |
| arlyear |
2015 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0449080.pdf |
| mrcbU14 |
84936971968 SCOPUS |
| mrcbU34 |
000364439500004 WOS |
| mrcbU63 |
cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 51 č. 1 2015 31 44 Elsevier |
|