Guesmi, Khaled; Fattoum, Salma; Ftiti, Zied - Institut de Préparation à l'Administration et à la … - 2014
This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and oil prices for a sample of four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCCGARCH approach developed...