Adding commodity futures to the Swedish stock portfolio, A good strategy for better diversification?
By using data from Ecovision on the DJ AIG commodity index made up of commodity futures and the OMX index consisting of Swedish equities I have estimated the correlation between Swedish equities and US commodity futures. The correlation has been examined in a multivariate GARCH setting by using the BEKK model. The purpose has been to examine if commodity futures from a US exchange market can impro