Article2009

Time‐varying characteristics of cross‐market linkages with empirical application to Gulf stock markets

Mohamed El Hédi Arouri · Duc Khuong Nguyen

50 citations0/0 files storedManagerial Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Purpose – The purpose of this paper is to propose an empirical procedure for examining the time‐varying features of cross‐market correlations in selected Gulf stock markets.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances n.d.Multivariate GARCH models: a survey 2000Foreign Speculators and Emerging Equity Markets 1994Predictable Risk and Returns in Emerging Markets

Cited by

2014Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework 2018On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries 2014Dependence patterns across Gulf Arab stock markets: A copula approach 2013Stock Market Linkages in Emerging Asia-Pacific Markets

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