Replication Data and Code for: Oil and US stock market shocks: implications for Canadian equities

The replication of the paper `Oil and US stock market shocks: implications for Canadian equities' by Heinlein and Mahadeo, 2022, requires a four step procedure (estimation of shocks, clustering of shocks, filtering of returns, computing of contagion test statistics). Secondary data are used and codes are in R, EViews, and Stata. Further, a simulation of critical values is performed. The output of the codes produces 7 tables, 7 figures and 4 matrices of the paper. When replicating all results of the paper including the simulated values, codes will run around 24 hours. Please see the ReadMe file for additional details.