Browsing Finance & Economics by Subject "Kalman filter"

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    • Impact of global health crisis and oil price shocks on stock markets in the GCC 

      Al Refai, Hisham; Zeitun, Rami; Eissa, Mohamed Abdel Aziz ( Elsevier , 2022 , Article)
      This study examines the impact of global COVID-19 cases and oil price shocks on the stock markets in the GCC. Using the Kalman filter to generate the unexpected oil price shocks, we find that, with the exception of Oman, ...

    • Time varying market efficiency of the GCC stock markets 

      Charfeddine, Lanouar; Ben Khediri, Karim ( Elsevier B.V. , 2016 , Article)
      This paper investigates the time-varying levels of weak-form market efficiency for the GCC stock markets over the period spanning from May 2005 to September 2013. We use two empirical approaches: (1) the generalized ...