Turhan, M. Ibrahim; Sensoy, Ahmet; Ozturk, Kevser; … - In: International Review of Economics & Finance 33 (2014) C, pp. 286-299
Using DCC-MIDAS model, we estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies. We reveal a strong positive (negative) secular trend toward higher correlation...