Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?
This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH mo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2015-06-01
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| Series: | International Journal of Management and Economics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/ijme-2015-0022 |