Ben Cheikh, Nidhaleddine; Ben Naceur, Sami; Kanaan, Oussama - 2020
Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models … wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We … specifically, we find four out of six GCC stock markets that are more sensitive to large oil deviations than to small ones. Our …