Lamine, Ahlem; Zribi, Sirine - In: European journal of government and economics : EJGE 13 (2024) 2, pp. 240-261
This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7, BRICS, and Gulf countries, using a time-varying parameter vector autoregression (TVP-VAR) model. By analyzing responses over short, medium, and long-term horizons, our findings...