The article studies the macroeconomic impact of oil price changes in 17 highly heterogeneous countries classified in six groups: advanced, emerging, oil producer, non-oil producers, with energy price controls and without energy price controls. The results show that despite analyzed countries...

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....