Somayeh Mohammadi

[ 1 ] - Co-movement among industry indices of Tehran Stock Exchange, Wavelet Coherence approach

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE ...