Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model
The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between returns...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2014-04-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | http://joer.atu.ac.ir/article_145_673887e2189d249a89b65f10c1a46ff3.pdf |