The debate of actuality concerns room occupied by the nonlinear models within modelling of the financial sets. To justify the nonlinearity inherent to these sets dynamics, we explore effects of the microstructure of the financial market and teachings of the behaviour finance theory (i.e....

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...