Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
during the pre-, the in-, and the post-2008 crisis periods by employing world oil prices and Cleveland financial stress index … volatility structure (the GARCH model estimations) of oil prices and financial stress index works against each other; but both … oil prices and financial stress are dominated by long-run volatility. The volatility spillover test by Hafner and Herwartz …