Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - Crawford School of Public Policy, Australian National … - 2014
This paper examines the impact of structural oil price shocks on the covariance of U.S. stock market return and stock market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly frequency. The measures of daily volatility are...