model that divides the sample into high- and low-volatility regimes based on the variance-covariance matrix of the oil and … stock prices. We find that the high-volatility regime more frequently exists prior to the Great Depression and after the … 1973 oil price shock caused by the Organization of Petroleum Exporting Countries. The low-volatility regime occurs more …

volatility periods in both of them, separately. From a multivariate perspective, we do not observe a significant effect between …

shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate … and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility … relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis …-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long …