Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets
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- Khalifa, Ahmed A. & Alsarhan, Abdulwahab A. & Bertuccelli, Pietro, 2017. "Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 307-314.
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More about this item
KeywordsGCC markets; Global markets; Multi-chain MS model; Hedging effectiveness; Portfolio weights;
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