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 …

data from Jan 1987 to May 2008. To explore asymmetries in conditional correlation, the multivariate asymmetric dynamic … diagonal conditional correlation (AD‐DCC) GARCH specification is utilized in this paper. We document that the time … distinguishable for different types of REITs.Interestingly, when the correlation between REITs and S&P are the lowest, the future …