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α: calibrated so average coauthorship-adjusted count equals average raw count
This paper examines the time-varying linkages of a major oil-based frontier stock market with major commodity futures markets including WTI oil, gold, silver, wheat, corn and rice, and draws implications for portfolio risk management. For this purpose, we consider the bivariate DCC–FIAPARCH model with and without structural breaks. Our empirical results reveal evidence of asymmetry and long memory in the conditional volatility and insignificant dynamic conditional correlations between the considered commodity and Saudi stock markets except for the silver–Tadawul pair. Moreover, we assess the implications for mixed commodity–stock portfolios and find strong evidence of diversification benefits, hedging effectiveness and downside risk reductions. This result underscores the usefulness of including commodities in a traditional portfolio of risk management for investors in the Saudi market. These findings are also useful for both portfolio risk managers and designers of policies aimed at using commodities to preserve or stabilize oil exporters' purchasing power.