Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets : an asymmetric volatility spillover study
Year of publication: |
2024
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Authors: | Eissa, Mohamed Abdelaziz ; Al Refai, Hisham M. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 94.2024, Art.-No. 103402, p. 1-13
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Subject: | Asymmetric BEKK GARCH | Asymmetric volatility spillover | Geopolitical risk | Middle east and africa (MEA) region | Stock market returns | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | Mittlerer Osten | Middle East | Afrika | Africa | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Geopolitik | Geopolitics |
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