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~person:"Saidi, Youssef"
~source:"repec"
~subject:"GJR"
~subject:"stock markets"
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GJR
stock markets
break identification
2
financial crisis
2
multivariate GARCH model
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GARCH-type models
1
Markov chains
1
Morocco
1
Return and volatility spillovers
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asset returns
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conditional correlation
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conditional volatility
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contagion hypothesis
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derivatives
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ergodicity
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financial markets
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nonlinear time series
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returns
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Saidi, Youssef
McAleer, Michael
13
Chang, Chia-Lin
6
McAleer, M.J.
4
Abderraheem, Sadeq
3
Al-Zoubi, Haitham
3
Chang, C-L.
3
Chen, Chi-Chung
3
Chu, LanFen
3
Maghyereh, Aktham
3
Abbes, Mouna Boujelbène
2
Aslam, Muhammad
2
Belke, Ansgar
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Gokus, Christian
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Guesmi, Khaled
2
Pasha, G.R.
2
Qasim, Tahira
2
Abbes, Mouna Boujelbene
1
Abdalla, Abdelgader M.A.
1
Abdelhedi-Zouch, Mouna
1
Abid, Ilyes
1
Abou-Zaid, Ahmed S.
1
Al-Khouri, Ritab S.
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Al-Zeaud, Hussein Ali
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Ardia, David
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Azar, Samih Antoine
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Basmajian, Loucine
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Bekiros, Stelios D.
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Boujelbene, Younes
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Boujelbène, Younes
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Caporale, Guglielmo Maria
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Chan, Felix
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Chen, C-C.
1
Chen, Chen, C-C.
1
Chu, Chu, L.
1
Chu, L.F.
1
Dajcman, Silvo
1
El Ghini, Ahmed
1
Fattoum, Salma
1
Fethi, Meryem Duygun
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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International Journal of Financial Markets and Derivatives
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RePEc
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Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
El Ghini, Ahmed
;
Saidi, Youssef
-
Volkswirtschaftliche Fakultät, …
-
2014
estimation results of bivariate VAR-BEKK
GARCH
model, we analyze the return and volatility spillover effects between the Moroccan …
Persistent link: https://www.econbiz.de/10011109176
Saved in:
2
Financial market contagion during the global financial crisis: evidence from the Moroccan stock market
Ghini, Ahmed El
;
Saidi, Youssef
- In:
International Journal of Financial Markets and Derivatives
4
(
2015
)
1
,
pp. 78-95
flexible dynamic conditional correlation (DCC) multivariate
GARCH
model. We investigate empirical studies using the DCC-
GARCH
…
Persistent link: https://www.econbiz.de/10011207830
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