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A reality check on the GARCH-MIDAS volatility models

Virk, Nader Shahzad; Javed, Farrukh; Awartani, Basel - 2021

Persistent link: https://www.econbiz.de/10012604771

Time-varying transmission between oil and equities in the MENA region : new evidence from DCC-MIDAS analyses

Awartani, Basel; Javed, Farrukh; Maghyereh, Aktham I.; … - In: Review of development finance 8 (2018) 2, pp. 116-126

In this paper we use the DCC-MIDAS (Dynamic Conditional Correlation-Mixed Data Sampling) model to infer the association between oil and equities in five MENA countries between February 2006 and April 2017. The model indicates that higher oil returns tends to reduce the long-term risk of the...

Persistent link: https://www.econbiz.de/10011979991

A reality check on the GARCH-MIDAS volatility models

Virk, Nader Shahzad; Javed, Farrukh; Awartani, Basel; … - In: The European journal of finance 30 (2024) 6, pp. 575-596

Persistent link: https://www.econbiz.de/10014547966

Are herding transmissions in the Gulf Cooperation Council stock markets regional or international?

Gabbori, Dina; Awartani, Basel; Maghyereh, Aktham I.; … - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 588-611

Persistent link: https://www.econbiz.de/10013453731

The systemic risk in the Gulf Cooperation Council countries' equity markets and banking sectors : a dynamic CoVaR approach

Maghyereh, Aktham I.; Virk, Nader Shahzad; Awartani, Basel - In: Bulletin of monetary economics and banking 25 (2022) 3, pp. 439-470

Persistent link: https://www.econbiz.de/10013482966