BIS Working Papers No 420 On the correlation between commodity and equity returns : implications for portfolio allocation

@inproceedings{Lombardi2013BISWP,
  title={BIS Working Papers No 420 On the correlation between commodity and equity returns : implications for portfolio allocation},
  author={Marco J. Lombardi and Francesco Ravazzolo},
  year={2013}
}
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 what are the implications of higher correlations between oil and equity prices for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and correlations and… CONTINUE READING