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Political tension and stock markets in the Arabian Peninsula
(
John Wiley and Sons Ltd
, 2021 , Article)
This note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading Gulf Cooperation Council countries by estimating a VAR-GARCH(1,1) model ...
Spillovers between food and energy prices and structural breaks
(
Elsevier B.V.
, 2017 , Article)
This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible ...