This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing Engle’s (2002) Dynamic Conditional Correlation (DCC). This process detects...

Frontier markets are increasingly sought by investors in search of higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...

This article takes a time scale perspective to examine the interactions between crude oil and stock

The aim of this paper is to study the degree of interdependence between oil price and stock market

The paper analyses the time-varying conditional correlations between stock markets and oil

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...

This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and oil prices for a sample of four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCCGARCH approach developed...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...