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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| Principais autores: | , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Taylor & Francis Group
2021-01-01
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| Colecção: | Cogent Business & Management |
| Assuntos: | |
| Acesso em linha: | http://dx.doi.org/10.1080/23311975.2021.1948658 |
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