This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor …

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 …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor … our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor … our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical …

literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …

commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price …

developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC … South Korea, but only as a diversifier for investors in developed countries and for commodities. Moreover, Bitcoin acts as a … diversifier for all the 10 commodities studied here. During the US election in 2016, Brexit referendum in 2016, and the burst of …

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …