Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries

Author:

Boldanov Rustam,Degiannakis Stavros,Filis GeorgeORCID

Funder

European Union's Horizon

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference103 articles.

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3. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach;Aloui;Energy Economics,2009

4. Answering the skeptics: Yes, standard volatility models do provide accurate forecast;Andersen;International Economic Review,1998

5. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Emperical Finance,1997

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