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作者:Jamel Jouini , Nizar Harrathi
来源:[J].Economic Modelling, 2014, Vol.38, pp.486-494
摘要:Abstract(#br)The paper explores the empirical evidence of the volatility interactions among the Gulf Cooperation Council (GCC) stock markets and world oil price over the weekly period spanning from June 24, 2005 to March 25, 2011. The study is conducted based on the BEKK-GARCH pr...
作者:Nizar Harrathi , Chaker Aloui ...
来源:[J].International Journal of Financial Research, 2016, Vol.7 (2)
摘要:In this paper, we investigate the volatility spillovers between equity market indexes for Islamic and non-Islamic emerging countries. To do so, we implement a combination of a vector autoregressive (VAR) and a multivariate GARCH models under BEKK specification (VAR-BEKK-MGAR...
作者:Bukhari M. S. Sillah , Nizar Harrathi
来源:[J].International Journal of Financial Research, 2015, Vol.6 (4)
摘要:This study employs data envelope analysis to produce the efficiency measures for both Islamic and conventional banks and conducts the means tests to investigate the efficiency comparison between the two bank types in the Gulf Cooperation Council (GCC) countries. 28 conventio...

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