Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study
<p>This paper examines the asymmetric volatility spillover impact of geopolitical risk on stock market returns across six Middle Eastern and African (MEA) economies: Egypt, Israel, Saudi Arabia, Tunisia, Turkey, and South Africa. Using the asymmetric MGARCH (Multivariate GARCH) model of BEKK (...
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2024
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