Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets

By Shawkat Hammoudeh, Yuan Yuan, Michael Mcaleer. 2008

186 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6aa285a77da0a2bae53a54b3d519d9d0a07c42fe

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Citations in the corpus

Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014, methodology): “While a number of authors have applied the VAR–GARCH approach to various economic issues (e.g. Arouri et al., 2012; Chan et al., 2005; Chang et al., 2011; Hammoudeh et al., 2009, 2010), to our knowledge, this study will be the first to apply the VAR–AGARCH model to emerging stock markets.”
Dynamic spillovers among major energy and cereal commodity prices (2014, background): “For example, Hammoudeh et al. (2009) show that the VAR(1)GARCH(1,1) model is useful and suitable for modeling the dynamic volatility and volatility transmission for three major industrial sectors (Service, Banking and Industrial/or Insurance) in four Gulf Cooperation Council (GCC) countries.”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, background): “Some papers have taken the VAR-GARCH approach to investigate the volatility spillover and hedging strategies between Gulf Arab equity sectors (Hammoudeh et al., 2009), between previous metals and exchange rates (Hammoudeh et al., 2010), between crude oil spot and futures returns of the Brent and…”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “VAR(k)-GARCH(p,q) was proposed by Ling and McALeer (2003) and later applied by several researchers, such as Chan et al. (2005), Hammoudeh et al. (2009) and Arouri et al. (2011).”
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, methodology): “It also provides meaningful estimates of the unknown parameters with less computational complication than several other multivariate specifications, such as the full-factor multivariate GARCH model (Hammoudeh et al., 2009).”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “It also provides meaningful estimates of the parameters with less computational complication compared to several other multivariate specifications such as the full factor GARCH model (Hammoudeh et al., 2009).”