Alqahtani, Abdullah; Chevallier, Julien - In: Journal of risk and financial management : JRFM 13 (2020) 4/69, pp. 1-17
This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets...
