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