Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper investigates the conditional correlations and volatility spillovers between the crude oil and financial markets, based on crude oil returns and stock index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from the WTI and...