Vrinceanu, Georgiana; Horobet, Alexandra; Popescu, Consuela - In: The changing financial landscape : financial …, (pp. 41-63). 2021
stock prices and crude oil prices to react in the same way to common factors, such as changes in aggregate demand or in … the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …