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dc.contributor.authorLombardi, Marco J.
dc.contributor.authorRavazzolo, Francesco
dc.description.abstractIn the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and correlations and find that joint modelling of oil and equity prices produces more accurate point and density forecasts for oil which lead to substantial benefits in portfolio wealth.nb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;24/2012
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjectJEL: C11nb_NO
dc.subjectJEL: C15nb_NO
dc.subjectJEL: C53nb_NO
dc.subjectJEL: E17nb_NO
dc.subjectJEL: G17nb_NO
dc.subjectBayesian DCCnb_NO
dc.subjectBayesian dynamic conditional correlationnb_NO
dc.subjectoil pricenb_NO
dc.subjectstock pricenb_NO
dc.subjectdensity forecastingnb_NO
dc.titleOil Price Density Forecasts: Exploring the Linkages with Stock Marketsnb_NO
dc.typeWorking papernb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO

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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal