Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk

DOI10.1007/S10479-021-04081-5zbMath1477.62290OpenAlexW3159850554MaRDI QIDQ2241570

Ahmed H. Elsayed, Mohamad Husam Helmi

Publication date: 9 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04081-5

zbMATH Keywords

return spilloversvolatility transmissionADCC-GARCH modelgeopolitical risk (GPR)MENA countries

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Symmetries of the Trihexaflexagon

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