Arouri, Mohamed El Hédi; Lahiani, Amine; Nguyen, Duc Khuong - In: Economics Bulletin 32 (2012) 4, pp. 2768-2778
We employ a bivariate VAR-GARCH model of Ling and McAleer (2003) to examine the volatility transmission between oil prices and stock market sectors in the United States. We also compute the optimal weights and hedge ratios for oil-stock portfolio holdings and show how they can be used to build...