Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak

In this study, we examine oil price extreme tail risk spillover to individual Gulf Cooperation Council (GCC) stock markets and quantify this spillover’s shift before and during the COVID-19 pandemic. A dynamic conditional correlation generalized autoregressive heteroscedastic (DCC- GARCH) model is e...

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Detalles Bibliográficos
Autores principales: Abuzayed, Bana, Al-Fayoumi, Nedal
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760372/
http://dx.doi.org/10.1016/j.najef.2021.101476

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760372/
http://dx.doi.org/10.1016/j.najef.2021.101476

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