Degiannakis, Stavros; Angelidis, Timotheos; Filis, George - Bank of Greece - 2013
The paper investigates whether oil price shocks and oil price volatility provide predictive information for the state … of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us …, can only be revealed when the oil price shocks are disentangled and as such we claim that the oil price shocks have an …