Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

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Filis, George; Degiannakis, S.; Floros, C.;
(2011)

The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexic... View more
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