Valdés, Arturo Lorenzo; Vázquez, Rocío Durán; … - In: Remef - The Mexican Journal of Economics and Finance (2012) Oct
In this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model....