Tehran Stock Exchange dynamics in a Markov regime switching EGARCH-in-mean model
This paper examines regime shifts in TEDPIX return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using Markov switching EGARCH model with Student’s t-distribution. We detect two episodes of series behavior, one re...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2014-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51841_99b535448fc7179fbeae5c5aee4f7e77.pdf |