Rustam Boldanov

Bournemouth University

Fern Barrow

Poole BH12 5BB, Dorset BH8 8EB

United Kingdom

  • Bournemouth University

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Time-Varying Correlation Between Oil and Stock Market Volatilities: Evidence From Oil-Importing and Oil-Exporting Countries

MPRA Paper No. 80435
Number of pages: 36 Posted: 26 Oct 2018
Rustam Boldanov, Stavros Antonios Degiannakis and George N. Filis
Bournemouth University, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
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Abstract:

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Conditional Volatility, Realized Volatility, Time-Varying Correlation, Diag-BEKK, GARCH, Oil-Importing Countries, Oil-Exporting Countries