How has the relationship between oil and the US stock market changed after the Covid-19 crisis?☆
Keywords
WTI
Non-normality
Mixture models
Nonparametric test
Dynamic conditional correlation model
JEL classification
F31
G01
G15
G32
Cited by (0)
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The authors deeply appreciate James Schulte for his editorial comments. Yuji Sakurai is thankful to Kei Takasawa, Kei Morisue and Sae Kuwata. The views expressed in this paper are those of the authors and do not necessarily reflect the position of the Bank of Japan, the Federal Reserve Bank of Richmond or the Federal Reserve System.
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