Volatility Spillover and Time-Varying Conditional Correlation Between DDGS, Corn, and Soybean Meal Markets

the intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

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

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

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Multivariate Volatility and Spillover Effects in Financial Markets

The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...

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...