Abdelhedi-Zouch, Mouna; Abbes, Mouna Boujelbene; … - In: International Journal of Monetary Economics and Finance 4 (2011) 1, pp. 1-20
developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and … asymmetric effect of volatility. Estimation of an augmented GARCH model indicates that the US current crisis spilled over …