Saadaoui, Amir; Saidi, Kais; Kriaa, Mohamed - In: Managerial Finance 46 (2020) 10, pp. 1231-1246
Purpose: This paper aims at looking into the transmission of shocks between bond and oil markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have been exchanged due to these index returns, it is essential for financial market participants to figure out the...