97 citations
- Laboratoire de Mathématiques Analyse, Probabilités, Modélisation OrléansFR12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Observatoire de ParisFR3 papers
- Université Paris CitéFR3 papers
- University of Milano-BicoccaIT3 papers
- Australia Telescope National FacilityAU2 papers
- Bielefeld UniversityDE2 papers
- Centre de Physique ThéoriqueFR2 papers
- Commonwealth Scientific and Industrial Research OrganisationAU2 papers
- Délégation Paris 7FR2 papers
- Galaxies, Etoiles, Physique et InstrumentationFR2 papers
- GIPSA-LabFR2 papers
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2009★ 3 cited
Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
Mohamed El Hedi Arouri
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process…
q-fin.ST2009★ 79 cited
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
Mohamed El Hedi Arouri, Julien Fouquau
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susc…