Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model.
In: Financial Research Journal (FRJ), Jg. 26 (2024), Heft 1, S. 54-82
Online
academicJournal
Zugriff:
Titel: |
Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model.
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Autor/in / Beteiligte Person: | Golarzi, Gholamhosein ; Abolfazli, Seyed Ramin |
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Zeitschrift: | Financial Research Journal (FRJ), Jg. 26 (2024), Heft 1, S. 54-82 |
Veröffentlichung: | 2024 |
Medientyp: | academicJournal |
ISSN: | 1024-8153 (print) |
DOI: | 10.22059/FRJ.2023.361936.1007487 |
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