Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach

The importance of oil price volatility spillover has significantly increased since the globalization and financial markets’ interaction have expanded. Based on this, the oil price impact on financial markets, as an exogenous variable, is also increased. In this paper, we study the “volatility spillo...

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Bibliographic Details
Published in:	Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān
Main Authors:	Hossein Tavakolian, Seyed Amir Etemadi, Reza Tehrani
Format:	Article
Language:	Persian
Published:	Allameh Tabataba'i University Press 2016-12-01
Subjects:	return spillover volatility multivariate garch models
Online Access:	https://jiee.atu.ac.ir/article_7972_8d41be5acc417d0a4272061adee76e25.pdf

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