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

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 capture risk associated with wars, terrorist acts,...

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Veröffentlicht in:	Annals of operations research 2021-10, Vol.305 (1-2), p.1-22
Hauptverfasser:	Elsayed, Ahmed H., Helmi, Mohamad Husam
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Autoregressive models Business and Management Combinatorics Geopolitics Influence International relations Operations research Operations Research/Decision Theory Original Research Political risk Securities markets Stochastic models Stock markets Theory of Computation Volatility Volatility (Finance)
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