Filis, George; Degiannakis, Stavros; Floros, Christos - In: International Review of Financial Analysis 20 (2011) 3, pp. 152-164
The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and...