Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Volkswirtschaftliche Fakultät, … - 2014
In this study we examine the dynamic structural relationship between oil price shocks and stock market returns and volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that, by extending the Diebold and Yilmaz (2012) dynamic...