GUESMI, Khaled; Creti, Anna; Ftiti, Zied - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...