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Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Working Paper No. 2012/24
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
In 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.
Schlagwörter: 
Bayesian DCC
Bayesian dynamic conditional correlation
oil price
stock price
density forecasting
correlation
JEL: 
C11
C15
C53
E17
G17
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-713-1
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper
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