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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

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

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

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

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

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

Stock market integration and risk premium : empirical evidence for emerging economies of South Asia

Abid, Ilyes; Kaabia, Olfa; Guesmi, Khaled - In: Economic modelling 37 (2014), pp. 408-416

Persistent link: https://www.econbiz.de/10010417665

Contagion effect of financial crisis on OECD stock markets

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - 2011

Persistent link: https://www.econbiz.de/10009127150

ASEAN plus three stock markets integration

Guesmi, Khaled; Kaabia, Olfa; Abid, Ilyes - In: Journal of quantitative economics 15 (2017) 3, pp. 565-581

Persistent link: https://www.econbiz.de/10012418315

How do Bitcoin price fluctuations affect crude oil markets?

Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled; Sahut, … - In: Revue Gestion 2000 : management & prospective 37 (2020) 1/2, pp. 47-60

Persistent link: https://www.econbiz.de/10012372792