On the dynamic transmission of mean and volatility across the Arab stock markets
Elie Bouri; Georges Azzi
| Year of publication: |
2014
|
|---|---|
| Authors: | Bouri, Elie ; Azzi, Georges |
| Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 13.2014, 3, p. 279-304
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| Subject: | Equity returns | MENA | multivariate GARCH | mean spillover | volatility spillover | conditional correlations | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Korrelation | Correlation | Schätzung | Estimation | MENA-Staaten | MENA countries | VAR-Modell | VAR model | Arabische Staaten | Arab countries | Multivariate Analyse | Multivariate analysis |