Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 5/2022

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Evaluation, Validation, and Selection ; Financial Econometrics ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Stock-Oil ; Copula ; MIDAS ; SMC ; Portfolio allocation ; Hedging

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nguyen, Hoang ; Virbickaite, Audrone
• Ereignis: Veröffentlichung
• (wer): Örebro University School of Business
• (wo): Örebro
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/262154
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ