Browsing Academic by Subject "Multivariate GARCH"
Now showing items 1-2 of 2
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Do oil producing countries offer international diversification benefits? Evidence from GCC countries
( Elsevier , 2016 , Article)This paper provides evidence of the existence of diversification benefits in international stock markets when oil producing countries are included in a global portfolio. Moreover, it examines whether recent oil shocks and ... -
Dynamic Parametric and Nonparametric Hedging: Evidence from the Arab Gulf Equity Markets
( EuroJournals , 2017 , Article)This paper examines the optimal hedging strategies in the Arab Gulf equity markets using a parametric and a nonparametric dynamic approaches in modeling the conditional variances and covariances of equity returns. The ...