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characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets … risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective …
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Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
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Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
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