Jouini, Jamel; Harrathi, Nizar - In: Economic Modelling 38 (2014) C, pp. 486-494
The paper explores the empirical evidence of the volatility interactions among the Gulf Cooperation Council (GCC) stock markets and world oil price over the weekly period spanning from June 24, 2005 to March 25, 2011. The study is conducted based on the BEKK-GARCH process developed by Kroner and...
