Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
Year of publication: |
2015
|
---|---|
Authors: | Avdulaj, Krenar ; Barunik, Jozef |
Institutions: | Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel |
Subject: | portfolio diversification | dynamic correlations | high frequency data time-varying copulas | commodities |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 32 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; F37 - International Finance Forecasting and Simulation ; G11 - Portfolio Choice |
Source: |
-
Avdulaj, Krenar, (2015)
-
Avdulaj, Krenar, (2015)
-
AVDULAJ, Krenar, (2013)
- More ...
-
Barunik, Jozef, (2014)
-
Estimation of long memory in volatility using wavelets
Kraicova, Lucie, (2015)
-
Modeling and forecasting persistent financial durations
Zikes, Filip, (2015)
- More ...