In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the...

This paper seeks to investigate the time-varying conditional correlations to the crude oil futures contract returns and the private Credit Default Swap market returns of Germany and France. We employ a dynamic conditional correlation (DCC) Generalized Auto Regressive Conditional...