Khalifa, Ahmed A.A.; Hammoudeh, Shawkat; Otranto, Edoardo - In: International Review of Economics & Finance 29 (2014) C, pp. 512-524
Unlike previous studies, this paper examines volatility transmission patterns for pairs of six stock markets of countries of the Gulf Cooperation Council (GCC) and pairs of these markets with the three global markets (S&P 500 index, Oil-WTI prices and MSCI-world), using the Multi-Chain Markov...