This article investigates the time series relationship between equity and crude oil markets using option-implied risk-neutral moments. We recover daily time series of constant-maturity risk-neutral volatility (RNV), skewness and kurtosis using options data for the S&P 500 and WTI oil futures...

Purpose – The purpose of this paper is to examine financial integration across North American stock markets from January 1984 to December 2003. Design/methodology/approach – The paper uses an arbitrage pricing theory framework. The risk factors considered are the three Fama and French...

This paper evaluates the domestic and international impacts of lowering short-term interest rates and increasing budget spending on several indicators of liquidity, volatility, credit and economic activity. Data from the 2003–2011 period in the United States, the Euro zone and Canada were used...