Examination of Contagion and Oil Price Volatility on Returns of the Stock Market, Exchange Rate and Gold Price in Iran: VAR-DCC-GARCH, Continuous Wavelet, and Time-Varying Wavelet Approach
The purpose of this study is to investigate the relationship between oil price changes and volatility on stock market, foreign exchange rate, and gold rate, using weekly data from August 2013 to June 2021. First, using the VAR-DCC-GARCH approach, conditional correlations between markets are identifi...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2021-08-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_5669_5fd8677e8037457305b54aced1a63b7f.pdf |