A change in the time-varying correlation between oil prices and the stock market
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DOI: 10.1080/13504851.2018.1488037
Abstract: ABSTRACT We investigate the time-varying correlation between oil prices and stock prices. Estimation results from a multivariate DCC-GARCH model reveal that the correlation has changed since the financial crisis. Historically, the correlation has been close… read more here.
Keywords: varying correlation; correlation oil; time varying; correlation ... See more keywords