The impact of oil price uncertainty on GCC stock markets
This paper investigates the dynamics of the co-movement of GCC stock market returns with global oil market uncertainty, using an ARMA-DCC-EGARCH and time varying Student-t copula models. Empirical results demonstrate that oil uncertainty has significant and time varying impacts on the GCC stock retu...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Elsevier Ltd
2019
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Subjects: | |
Online Access: | View Fulltext in Publisher |