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In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results...
Persistent link: https://www.econbiz.de/10012657379
In this article, the co-movement between GCC and US stock market returns was investigated using the wavelet coherence method. The Dynamic Conditional Correlation GARCH (DCC-GARCH) modelling is then applied on time-varying components in order to provide a point of comparison with the results...
Persistent link: https://www.econbiz.de/10012631347
Persistent link: https://www.econbiz.de/10012595168
Persistent link: https://www.econbiz.de/10012055165