Degiannakis, Stavros; Filis, George; Floros, Christos - In: Journal of International Financial Markets, … 26 (2013) C, pp. 175-191
The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...