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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| Auteurs principaux: | , , , |
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| Format: | article |
| Langue: | EN |
| Publié: |
Taylor & Francis Group
2021
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| Sujets: | |
| Accès en ligne: | https://doaj.org/article/a36c3fb760e54f2c827ff59a1b35f6cd |
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