VOLATILITY SPILLOVER BETWEEN USA AND EGYPTIAN CAPITAL MARKETS

Faculty Commerce Year: 2015
Type of Publication: ZU Hosted Pages:
Authors:
Tamer Mohamed Hassan Ibrahiem Shahwan
Journal: scholdge interational journal of maagement & development scholdge interational journal of maagement & development Volume:
Keywords : VOLATILITY SPILLOVER BETWEEN , , EGYPTIAN CAPITAL MARKETS    
Abstract:
This paper investigates volatility spillover among the capital markets of USA and Egypt by applying the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and multivariate regression analysis. During the period from 01/
    
     
 
       

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  • Tamer Mohamed Hassan Ibrahiem Shahwan, "The association between disclosure level and cost of capital in an emerging market: evidence from Egypt", Afro-Asian J. Finance and Accounting, 2014 More
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  • Tamer Mohamed Hassan Ibrahiem Shahwan, "Efficiency analysis of GCC academic libraries: an application of data envelopment analysis", Performance Measurement and Metrics, 2013 More

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