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

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Cited by:

  1. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  2. Triki, Mohamed Bilel & Ben Maatoug, Abderrazek, 2021. "The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk," Resources Policy, Elsevier, vol. 70(C).
  3. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
  4. Xiaojing Cai & Shigeyuki Hamori & Lu Yang & Shuairu Tian, 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management," Energies, MDPI, vol. 13(2), pages 1-24, January.
  5. Wen, Xiaoqian & Cheng, Hua, 2018. "Which is the safe haven for emerging stock markets, gold or the US dollar?," Emerging Markets Review, Elsevier, vol. 35(C), pages 69-90.
  6. Li, Songsong & Zhang, Weiqian & Zhang, Wei, 2023. "Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources," Resources Policy, Elsevier, vol. 82(C).
  7. Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  8. Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021. "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 223-229.
  9. Parthajit Kayal & Janani Sri SG, 2020. "Going Beyond Gold: Can Equities be Safe-Haven?," Working Papers 2020-203, Madras School of Economics,Chennai,India.
  10. Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
  11. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
  12. Song, Shijia & Li, Handong, 2022. "Predicting VaR for China's stock market: A score-driven model based on normal inverse Gaussian distribution," International Review of Financial Analysis, Elsevier, vol. 82(C).
  13. Murad A. BEIN & Mehmet AGA, 2016. "On the Linkage between the International Crude Oil Price and Stock Markets: Evidence from the Nordic and Other European Oil Importing and Oil Exporting Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 115-134, December.
  14. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
  15. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
  16. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.
  17. Chen, Rongda & Xu, Jianjun, 2019. "Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model," Energy Economics, Elsevier, vol. 78(C), pages 379-391.
  18. Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
  19. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
  20. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
  21. Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
  22. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  23. Christensen, Troels Sønderby & Pircalabu, Anca & Høg, Esben, 2019. "A seasonal copula mixture for hedging the clean spark spread with wind power futures," Energy Economics, Elsevier, vol. 78(C), pages 64-80.
  24. Krenar AVDULAJ & Jozef BARUNIK, 2013. "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 425-442, November.
  25. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
  26. Semeyutin, Artur & Gozgor, Giray & Lau, Chi Keung Marco & Xu, Bing, 2021. "Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets," Energy Economics, Elsevier, vol. 104(C).
  27. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
  28. Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
  29. Ondřej Filip & Karel Janda & Ladislav Krištoufek, 2018. "Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů [Prices of Biofuels and Related Commodities: an Analysis Using Methods of Minimum Span," Politická ekonomie, Prague University of Economics and Business, vol. 2018(2), pages 218-239.
  30. Xu, Yingying & Lien, Donald, 2020. "Dynamic exchange rate dependences: The effect of the U.S.-China trade war," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
  31. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
  32. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
  33. Tobias Eckernkemper, 2018. "Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 63-117.
  34. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
  35. Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E., 2017. "Joint price and volumetric risk in wind power trading: A copula approach," Energy Economics, Elsevier, vol. 62(C), pages 139-154.
  36. Yang, Kun & Wei, Yu & Li, Shouwei & He, Jianmin, 2020. "Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  37. Francesco Serinaldi & Chris G. Kilsby, 2017. "A Blueprint for Full Collective Flood Risk Estimation: Demonstration for European River Flooding," Risk Analysis, John Wiley & Sons, vol. 37(10), pages 1958-1976, October.
  38. Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
  39. Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
  40. Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises: A local Gaussian correlation approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(12), pages 1179-1204, December.
  41. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
  42. Yingying Xu & Donald Lien, 2020. "Optimal futures hedging for energy commodities: An application of the GAS model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1090-1108, July.
  43. Janani Sri S. & Parthajit Kayal & G. Balasubramanian, 2022. "Can Equity be Safe-haven for Investment?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 32-63, March.
  44. Ivanovski, Kris & Hailemariam, Abebe, 2021. "Forecasting the dynamic relationship between crude oil and stock prices since the 19th century," Journal of Commodity Markets, Elsevier, vol. 24(C).
  45. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
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