Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk
(2021)
Journal Article
Elsayed, A., & Helmi, M. (2021). Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk. Annals of Operations Research, 305, 1-22. https://doi.org/10.1007/s10479-021-04081-5
This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to... Read More about Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk.