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Potential contagion effects on OECD countries : a FAVAR model under bayesian framework
Kaabia, Olfa - In: International economic journal 29 (2015) 1, pp. 73-94
Persistent link: https://www.econbiz.de/10010532624
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International equity markets co-movements and contagion : a novel perspective
Kaabia, Olfa - In: The journal of applied business research 31 (2015) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10010503421
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Contagion effect of financial crisis on OECD stock markets
Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - 2011
In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...
Persistent link: https://www.econbiz.de/10010304806
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Detecting contagion effects during the subprime crisis using different VAR size models : comparison between OLS and Bayesian shrinkage
Kaabia, Olfa; Abid, Ilyes - In: The journal of applied business research 29 (2013) 3, pp. 717-736
Persistent link: https://www.econbiz.de/10009771604
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Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?
Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled - In: Economic modelling 31 (2013), pp. 423-432
Persistent link: https://www.econbiz.de/10009729031
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Does shift contagion exist between OECD stock markets during the financial crisis?
Guesmi, Khaled; Kaabia, Olfa; Kazi, Irfan Akbar - In: The journal of applied business research 29 (2013) 2, pp. 469-484
Persistent link: https://www.econbiz.de/10009731313
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Theoretical channels of international transmission during the subprime crisis to OECD countries : a FAVAR model under Bayesian framework
Kaabia, Olfa; Abid, Ilyes - In: The journal of applied business research 29 (2013) 2, pp. 443-460
Persistent link: https://www.econbiz.de/10009731318
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Contagion effect of financial crisis on OECD stock markets
Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - 2011
In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...
Persistent link: https://www.econbiz.de/10009127150
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Contagion effect of financial crisis on OECD stock markets
Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - Institut für Weltwirtschaft (IfW) - 2011
In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion...
Persistent link: https://www.econbiz.de/10009149314