WTI crude oil Futures in portfolio diversification: The time-to-maturity effect

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Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012, background): “Additionally, Geman and Kharoubi (2008) found that investors tend to introduce crude-oil futures into an equity portfolio because of the remarkable rise in crude-oil prices over the past few years and the low, negative correlation between crude oil and stock markets.”
Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010, unknown): “For example, Geman and Kharoubi [11] introduces copula functions to have a better representation of the dependence structure of oil Futures with equity indexes.”
Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017, background): “…commodity prices (e.g., weather variations, supply constraints) are different from those influencing the values of equities and bonds (Geman, 2005; Geman and Kharoubi, 2008), commodity prices exhibit lower correlation with the traditional asset class; (3) commodities extend more effective…”
Extreme risk spillovers between crude oil and stock markets (2015, background): “Currently a few studies have used copula models to investigate the risk dependence between crude oil and stock returns.2 For example, Geman and Kharoubi (2008) estimate copula functions between crude oil futures and the S&P500 stock index from May 1990 to August 2006, and find that when the S&P 500…”