作者：Zhiyuan Pan, Yudong Wang, Li Liu

期刊：Energy Economics

发表时间：2016年

摘要：In this paper, we propose an asymmetric dynamic equi-correlation (ADECO) model to investigate the correlations between returns of petroleum futures and stock indices. Our ADECO reveals the in-sample significant asymmetric effect in oil–stock correlations. To evaluate out-of-sample performance, we consider a portfolio with petroleum futures and stocks in which the weights are determined by forecasts of covariance matrix. We find that ADECO provides portfolios with better performances than existing popular DECO, DCC and ADCC models in the minimum-variance framework. Moreover, energy price risk can be better hedged by stocks in oil-exporting countries than stocks in oil-importing countries. Our findings are further demonstrated to be robust to the change of futures maturity.

全文：The relationships between petroleum and stock returns An asymmetric

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