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Persistent link: https://www.econbiz.de/10015046642
We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...
Persistent link: https://www.econbiz.de/10014346999
We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...
Persistent link: https://www.econbiz.de/10014349951
We present a model that captures risks of hedge funds only using their historical performance as input. This statistical model is a multivariate distribution where the marginals derive from an AR(1)/AGARCH(1,1) process with t_5 innovations, and the dependency is a grouped-t copula. The process...
Persistent link: https://www.econbiz.de/10013148124