Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/262154 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 5/2022
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
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 long-run component, governed by related macro-finance variables. We find that inflation/interest rate, uncertainty and liquidity factors are the main drivers of the long-run co-dependence. We show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic outcomes as compared to other alternatives.
Subjects: 
Stock-Oil
Copula
MIDAS
SMC
Portfolio allocation
Hedging
JEL: 
C32
C52
C58
G11
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
778.28 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.