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Abstract

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries.
The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed.
Our findings report the following regularities.
i The correlation between the oil and stock market volatilities changes over time fluctuating at both positive and negative values.
ii.
Heterogeneous patterns in the time-varying correlations are evident between the oil-importing and oil-exporting countries.
iii Correlations are responsive to major economic and geopolitical events, such as the early-2000 recession, the 9-11 terrorist attacks and the global financial crisis of 2007-2009.
These findings are important for risk management practices, derivative pricing and portfolio rebalancing.



Item Type: MPRA Paper -

Original Title: Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries-

Language: English-

Keywords: Conditional volatility, realized volatility, time-varying correlation, Diag-BEKK, GARCH, oil-importing countries, oil-exporting countries-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and EstimationG - Financial Economics > G1 - General Financial Markets > G15 - International Financial MarketsQ - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q40 - General-





Autor: Boldanov, Rustam

Fuente: https://mpra.ub.uni-muenchen.de/72082/



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