Khalifa, Ahmed A.A.; Hammoudeh, Shawkat; Otranto, Edoardo - In: Economic Modelling 41 (2014) C, pp. 365-374
Unlike previous studies, this paper uses the Multi-Chain Markov Switching model (MCMS) to examine portfolio management strategies based on volatility transmission between six domestic stock markets of Gulf Arab states (GCC) and global markets (i.e., the U.S. S&P 500 index and oil prices) and...
