VOLATILITY SPILLOVER AND DYNAMIC CORRELATION BETWEEN THE CARBON MARKET AND ENERGY MARKETS

Dynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran

In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of th...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Volatility Spillover among Industries in the Capital Market in Iran

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...

Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

investigating the effects of volatility spillover between stock, gold, oil and exchange markets

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