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Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model

Khalifa, Ahmed A.; Alsarhan, Abdulwahab A.; … - In: Research in international business and finance 39 (2017), pp. 307-314

Persistent link: https://www.econbiz.de/10011876487

Extracting portfolio management strategies from volatility transmission models in regime-changing environments : evidence from GCC and global markets

Khalifa, Ahmed A. A.; Hammoudeh, Shawkat; Otranto, Edoardo - In: Economic modelling 41 (2014), pp. 365-374

Persistent link: https://www.econbiz.de/10010440698

Patterns of volatility transmissions within regime switching across GCC and global markets

Khalifa, Ahmed A. A.; Hammoudeh, Shawkat; Ortranto, Edoardo - In: International review of economics & finance : IREF 29 (2014), pp. 512-524

Persistent link: https://www.econbiz.de/10010432303

Systematic risk and time scales : new evidence from an application of wavelet approach to the emerging Gulf stock markets

Masih, Mansur; Alzahrani, Mohammed; Al-Titi, Omar - In: International review of financial analysis 19 (2010) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10008668735

Systematic Risk and Time Scales : New Evidence from an Application of Wavelet Approach to the Emerging Gulf Stock Markets

Masih, Abul M. M. - 2012

The paper is the first attempt to estimate systematic risk ‘beta' at different time scales in the context of the emerging Gulf Cooperation Council (GCC) equity markets by applying a relatively new approach in finance known as wavelet analysis. Our results indicate that on average beta...

Persistent link: https://www.econbiz.de/10013104640