Martín-Barragán, Belén; Ramos, Sofía B.; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2013
In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks and stock markets crashes on correlations between stock and oil markets. We test changes in correlations at different scales with non-overlapping confidence...