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Oil price density forecasts: Exploring the linkages with stock markets

Lombardi, Marco; Ravazzolo, Francesco
Working paper
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URI
http://hdl.handle.net/11250/196665
Date
2012
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Abstract
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 nd that joint modelling of oil and equity prices produces more accurate point

and density forecasts for oil which lead to substantial bene ts in portfolio wealth.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;3/2012

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