Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data-Reference-Cited by-同舟云学术

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

Published:2015-09 Issue: Volume:51 Page:31-44
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Avdulaj Krenar,Barunik Jozef

Funder

Czech Science Foundation

Grant Agency of the Charles University

European Union's Seventh Framework Programme

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference56 articles.

1. A time-varying copula approach to oil and stock market dependence: the case of transition economies;Aloui;Energy Econ.,2013

2. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

3. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

4. Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics;Barndorff-Nielsen;Econometrica,2004

5. Oil prices, exchange rates and emerging stock markets;Basher;Energy Econ.,2012

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