Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index

Hossein Mohseni and mohammad Hashem Botshekan
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Hossein Mohseni: Allameh tabataba'i University
mohammad Hashem Botshekan: Allameh tabataba'i University

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2017, vol. 10, issue 31, 1-28

Abstract: Today, many researchers and international financial institutions are interested in measuring and identifying the dynamic interdependency among different financial market and their volatility changes. Index. In order to examine the spillover effect of the foreign currency market on the domestic monetary and financial system in Iran, this paper investigates volatility

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmbres:v:10:y:2017:i:31:p:1-28

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