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- W3170099342 abstract "In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the period in two sub-period to make the empirical analysis easier. Empirical results reveal increased conditional correlation in the first sub-period (2005-2012) and no contagion in the second sub-period (2012-2020). Results are of interest to investors, who invest long-term into the under investigation financial markets, as well as, to policymakers, who provide regulations for the under investigation derivate market." @default.
- W3170099342 created "2021-06-22" @default.
- W3170099342 creator A5061193303 @default.
- W3170099342 date "2020-01-01" @default.
- W3170099342 modified "2023-09-25" @default.
- W3170099342 title "The Time-Varying Correlation between Crude oil Future and USA Bond Markets During 2005-2020: Evidence from a DCC-GARCH Model" @default.
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- W3170099342 doi "https://doi.org/10.2139/ssrn.3843938" @default.
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