Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model
ObjectiveIn financial literature, there are two well-explored characteristics of volatility. The first pertains to the asymmetric reactions of volatility to positive and negative news, while the second involves the presence of volatility spillover (contagion) between markets and various financial as...
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| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2024-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_96666_eb242e2ed61b97fa57cac286b8083483.pdf |
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