SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
16 references·12 citing·39 second hop
Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data (2015)Are benefits from oil–stocks diversificat…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…CAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyOil price shocks and stock market activity (1999)Oil price shocks and stock ma…This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model (2023)Forecasting the stock-cryptoc…A bibliometric review of portfolio diversification literature (2023)A bibliometric review of port…Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism (2021)Intraday return predictabilit…Optimal futures hedging for energy commodities: An application of the GAS model (2020)Optimal futures hedging for e…Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach (2020)Dynamic dependence between ET…Time-varying energy and stock market integration in Asia (2019)Time-varying energy and stock…On the relationship between energy returns and trading volume: a multifractal analysis (2019)On the relationship between e…Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs (2019)Dependence and risk spillover…Oil and stock markets before and after financial crises: A local Gaussian correlation approach (2017)Oil and stock markets before …Can energy commodity futures add to the value of carbon assets? (2017)Can energy commodity futures …A mixed C-vine copula model for hedging price and volumetric risk in wind power trading (2017)A mixed C-vine copula model f…Dependence and risk management in oil and stock markets. A wavelet-copula analysis (2016)Dependence and risk managemen…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)CoVaR (2016)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2004CAViaR2,210 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,333 cited

Cited by

  • 2019Time-varying energy and stock market integration in Asia76 cited
  • 2017Oil and stock markets before and after financial crises: A local Gaussian correlation approach70 cited
  • 2016Dependence and risk management in oil and stock markets. A wavelet-copula analysis65 cited
  • 2017Can energy commodity futures add to the value of carbon assets?65 cited
  • 2020Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach63 cited
  • 2023A bibliometric review of portfolio diversification literature32 cited
  • 2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism28 cited
  • 2020Optimal futures hedging for energy commodities: An application of the GAS model28 cited
  • 2019Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs25 cited
  • 2023Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model21 cited
  • 2017A mixed C-vine copula model for hedging price and volumetric risk in wind power trading20 cited
  • 2019On the relationship between energy returns and trading volume: a multifractal analysis20 cited