Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - In: The Quarterly Review of Economics and Finance 49 (2009) 3, pp. 829-842
The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)-GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation...