Arfaoui, Mongi; Ben Rejeb, Aymen - Volkswirtschaftliche Fakultät, … - 2015
This article investigates stock-forex markets interdependence in MENA countries for the period spanning from February 26, 1999 to June 30, 2014. The analysis has been performed through three competing models; the VAR-CCC-GARCH model, the VAR-BEKK-GARCH model and the VAR-DCC-GARCH model. Our...