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

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … 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 …

Persistent link: https://www.econbiz.de/10010499593

Intraday stock price dependence using dynamic discrete copula distributions

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015

Persistent link: https://www.econbiz.de/10010494787

Intraday Stock Price Dependence Using Dynamic Discrete Copula Distributions

Koopman, Siem Jan - 2015

We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...

Persistent link: https://www.econbiz.de/10013025960

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

Avdulaj, Krenar; Barunik, Jozef - In: Energy economics 51 (2015), pp. 31-44

Persistent link: https://www.econbiz.de/10011564203

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10003402780

Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands : A Copula Analysis

Wang, Shanshan - 2018

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate K copula density function. We find that large local...

Persistent link: https://www.econbiz.de/10012933619

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Fičura, Milan - 2017

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

Persistent link: https://www.econbiz.de/10012964934

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10003965868

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10013094817