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Can investors of Chinese energy stocks benefit from diversification into commodity futures?
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Can investors of Chinese energy stocks benefit from diversification into commodity futures? (2017)Can investors of Chinese energy stocks be…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Financialization of Commodity Markets (2013)Financialization of Commodity…Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Introductory Econometrics for Finance (2008)Introductory Econometrics for…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers (2006)Firm Value and Hedging: Evide…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Naive Diversification Strateg…Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Financing Policy, Basis Risk,…The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Economic Forces and the Stock Market (1986)Statistical inference in vector autoregressions with possibly integrated processes (1995)Generalized impulse response analysis in linear multivariate models (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Oil prices, exchange rates and emerging stock markets (2011)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)How much do firms hedge with derivatives? (2003)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)“Options, Futures, and Other Derivatives” (2016)The Limits of Arbitrage (1995)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Extrapolation and bubbles (2018)Individual differences in reasoning: Implications for the rationality debate? (2000)Heuristics and Biases: The Psychology of Intuitive Judgment (2004)Heuristic Decision Making (2010)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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References

  • 2008Introductory Econometrics for Finance3,662 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2001Naive Diversification Strategies in Defined Contribution Saving Plans1,538 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2000Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers745 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers643 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2012Elements of Financial Risk Management436 cited

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Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
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