Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different …