Jouini, Jamel - In: Journal of Policy Modeling 35 (2013) 6, pp. 1124-1144
The paper aims at investigating the links between world oil price and stock sector markets in Saudi Arabia over the weekly period from January 10, 2007 until September 28, 2011. To that effect, we make use of the VAR-GARCH process developed by Ling and McAleer (2003), which has the advantage to...