Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10301899" target="_blank" >RIV/00216208:11230/15:10301899 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/15:00449080

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.eneco.2015.05.018" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2015.05.018</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.eneco.2015.05.018" target="_blank" >10.1016/j.eneco.2015.05.018</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Popis výsledku v původním jazyce

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 competingmodels. 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

Název v anglickém jazyce

Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Popis výsledku anglicky

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 competingmodels. 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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

2015

Číslo periodika v rámci svazku

51

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

31-44

Kód UT WoS článku

000364439500004

EID výsledku v databázi Scopus

2-s2.0-84936971968