Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE

Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets. In this study, to examine risk hedge ratio, op...

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Bibliographic Details

Published in:	فصلنامه پژوهش‌های اقتصادی ایران
Main Authors:	Esmaiel Abounoori, Mansour Tour
Format:	Article
Language:	Persian
Published:	Allameh Tabataba'i University Press 2019-12-01
Subjects:	multivariate garch optimal weight risk hedge spillover
Online Access:	https://ijer.atu.ac.ir/article_11688_ec7012a3dd07827c7d240fb70533fc1a.pdf