Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets

International Review of Financial Analysis

Volumn 17, Issue 1, 2008, Pages 47-63

  Hammoudeh, Shawkat ^a   Li, Huimin ^b  

^a DREXEL UNIVERSITY   (United States)

^b WEST CHESTER UNIVERSITY   (United States)

Author keywords

GARCH; GCC stock markets; ICSS algorithm; Volatility

Indexed keywords

EID: 37349123225     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2005.01.002     Document Type: Article

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