Volatility Transmission of the Rate of Returns in Iranian Stock, Gold and Foreign Currency Markets
The aim of this paper is to study volatility spillovers among stock, gold and exchange rate markets. A “VAR–MGARCH” model was applied for Iranian financial markets for the period of March 21, 2011 to September 22, 2014. The data used are daily price of Bahar Azadi Coin, Tehran price stock index and...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2016-03-01
|
| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_7049_3d591041ba05b0e5e8693cd29f219c97.pdf |