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One of the findings of the recent literature is that the 2008 financialcrisis caused reduction in international diversification benefits. To fullyunderstand the possible potential from diversification, we build an empiricalmodel which combines generalised autoregressive score copula functions withhigh frequency data, and allows us to capture and forecast the conditionaltime-varying joint distribution of stock returns. Using this novel methodologyand fresh data covering five years after the crisis, we compute the conditionaldiversification benefits to answer the question, whether it is stillinteresting for an international investor to diversify. As diversificationtools, we consider the Czech PX and the German DAX broad stock indices, and wefind that the diversification benefits strongly vary over the 2008--2013 crisisyears.

Can we still benefit from international diversification? The case of the Czech and German stock markets