Nguyen, Duc Khuong; Arouri, Mohamed; Lahiani, Amine - EcoMod Network - 2011
This paper investigates the return linkages and volatility transmission between oil and stock markets in the Gulf Cooperation Council (GCC) countries over the recent period 2005-2010. We employ a recent generalized VAR-GARCH approach which allows for transmissions in return and volatility. In...
