Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 116-138
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...