The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...

This paper investigates the conditional correlations and volatility spillovers between 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 Brent markets, and the FTSE100, NYSE, Dow...