Neural Networks and Rules-based Systems used to Find Rational and Scientific Correlations between being Here and Now with Afterlife Conditions
Neural Networks and Rules-based Systems used to Find Rational and
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C: FINANCE7YQ5C
The main objectives of this study are twofold. The first objective is to examine the volatility spillover between the GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial returns using copula functions. Five candidates, the Gaussian, the Student’s t, the Frank, the Clayton and the Gumbel copulas, are compared. Our empirical results for the first objective suggest that there exist moderate cross market volatility transmission and shocks between the markets, indicating that the past innovation in stock market have great effect on future volatility in oil market and vice versa. 0
Jaghoubi Salma. 2015. \u201cCrude Oil Price Uncertainty and Stock Markets in Gulf Corporation Countries: A Var-Garch Copula Model\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 15 (GJMBR Volume 15 Issue C10): .
Crossref Journal DOI 10.17406/GJMBR
Print ISSN 0975-5853
e-ISSN 2249-4588
The methods for personal identification and authentication are no exception.
Total Score: 121
Country: Saudi Arabia
Subject: Global Journal of Management and Business Research - C: Finance
Authors: Jaghoubi Salma (PhD/Dr. count: 0)
View Count (all-time): 135
Total Views (Real + Logic): 4134
Total Downloads (simulated): 2046
Publish Date: 2015 11, Sat
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The main objectives of this study are twofold. The first objective is to examine the volatility spillover between the GCC stock markets and Oil prices, over the period 2005-2012, in a multivariate setting, using the VAR (1)-GARCH (1,1) model which allows for transmission in returns and volatility. The second is to investigate the dependence structure and to test the degree of the dependence between financial returns using copula functions. Five candidates, the Gaussian, the Student’s t, the Frank, the Clayton and the Gumbel copulas, are compared. Our empirical results for the first objective suggest that there exist moderate cross market volatility transmission and shocks between the markets, indicating that the past innovation in stock market have great effect on future volatility in oil market and vice versa. 0
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