Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors for changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for a counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …

markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct …We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …

in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …

relationship between World agricultural commodity prices, World oil prices and Hungarian producer and consumer food prices. After …

series. Given the non-stationarity of our variables, we found cointegration to exist only between oil price and foreign … reserve. The presence of cointegration implied the existence of long run relationship between the variables. The Granger …