Volatility spillover effects between oil and GCC stock markets : a wavelet-based asymmetric dynamic conditional correlation approach
Ho Thuy Tien and Ngo Thai Hung
| Year of publication: |
2022
|
|---|---|
| Authors: | Thuy Tien Ho ; Ngo Thai Hung |
| Subject: | GCC stock markets | Hedge ratio | Oil prices | Spillover effects | Wavelet analysis | Volatilität | Volatility | Ölpreis | Oil price | Aktienmarkt | Stock market | Arabische Golf-Staaten | Gulf countries | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Börsenkurs | Share price | Korrelation | Correlation | Hedging | Kausalanalyse | Causality analysis | Kointegration | Cointegration | VAR-Modell | VAR model | Zustandsraummodell | State space model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IMEFM-07-2020-0370 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014337182