Volatility Spillover among Industries in the Capital Market in Iran

Mohamad Hashem Botshekan and Hosein Mohseni
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Mohamad Hashem Botshekan: Allameh Tabataba’i University
Hosein Mohseni: Allameh Tabataba’i University

Journal of Money and Economy, 2017, vol. 12, issue 2, 213-233

Abstract: 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)

Keywords: Volatility Spillover; Dynamic Conditional Correlation; Banking Industries (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:12:y:2017:i:2:p:213-233

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