Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis

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 extracte...

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Autores principales: Ali Matar, Mahmoud Al-Rdaydeh, Anas Ghazalat, Bilal Eneizan
Formato: article
Lenguaje:EN
Publicado: Taylor & Francis Group 2021
Materias:
gcc
usa
Acceso en línea:https://doaj.org/article/a36c3fb760e54f2c827ff59a1b35f6cd
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