Arouri, Mohamed El Hedi; Jouini, Jamel; Le, Nhu Tuyen; … - In: Journal of Quantitative Economics 10 (2012) January, pp. 98-120
We provide comprehensive evidence on the relationship between oil prices and stock markets for six GCC countries. Unlike previous contributions, a wide range of modern econometric techniques are applied in order to: i) capture both short- and long-term interactions between considered markets;...