Ghorbel, Achraf; Boujelbene, Younes - In: International Journal of Energy Sector Management 7 (2013) 4, pp. 430-447
Purpose – This paper aims to employ GARCH-class models (GARCH, IGARCH and CGARCH) to estimate the volatility persistence on crude oil, US, Gulf Corporation Council (GCC), Brazil, Russia, India and China (BRIC) stock markets. Also, the paper investigates the volatility spillover and the dynamic...