Oil and stock markets before and after financial crises: A local Gaussian correlation approach
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DOI: 10.1002/fut.21860
Abstract: The effect of financial shocks on the cross-market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the… read more here.
Keywords: stock markets; correlation approach; gaussian correlation; local gaussian ... See more keywords
Is there a missing factor? A canonical correlation approach to factor models
Sign Up to like & getrecommendations! Published in 2018 at "Review of Financial Economics"
DOI: 10.1016/j.rfe.2017.11.002
Abstract: Title discontinued by Elsevier on 31 December 2017, and published by Wiley as of 1 January 2018. This pending paper which was ready for publication at the time of journal closure will be transferred to… read more here.
Keywords: canonical correlation; correlation approach; missing factor; approach factor ... See more keywords