Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment

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Degiannakis, S.; Filis, George; Floros, C.;
(2013)

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based o... View more
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