  One of the findings of the recent literature is that the 2008 financial
crisis caused reduction in international diversification benefits. To fully
understand the possible potential from diversification, we build an empirical
model which combines generalised autoregressive score copula functions with
high frequency data, and allows us to capture and forecast the conditional
time-varying joint distribution of stock returns. Using this novel methodology
and fresh data covering five years after the crisis, we compute the conditional
diversification benefits to answer the question, whether it is still
interesting for an international investor to diversify. As diversification
tools, we consider the Czech PX and the German DAX broad stock indices, and we
find that the diversification benefits strongly vary over the 2008--2013 crisis
years.
