Volatility Transmission Between European Stock Indices and the Tunisian TUNINDEX: A GARCH-BEKK Approach
This study examines volatility transmission between major European indices (CAC 40, DAX, FTSE MIB, IBEX 35, EURO STOXX 50) and Tunisia’s TUNINDEX amid global crises (2008 financial crisis, COVID-19, Russo-Ukrainian war). Using GARCH(1,1) and BEKK models, the analysis reveals low correlation and weak...
Αποθηκεύτηκε σε:
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
MDPI AG
2025-07-01
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| Σειρά: | Computer Sciences & Mathematics Forum |
| Θέματα: | |
| Διαθέσιμο Online: | https://www.mdpi.com/2813-0324/11/1/36 |
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