Time-Varying Volatility Spillovers between Exchange Rate and Tehran Stock Exchange; New Evidences of the Covid-19 Pandemic

This study employs the Diebold-Yilmaz spillover index within the framework of a time-varying parameter vector autoregressive model (TVP-VAR) to analyze the dynamic connectedness between exchange rates and the Iranian stock market amidst the COVID-19 pandemic. Utilizing daily data spanning from Octob...

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Auteurs principaux:	Reza Taleblou, Parisa Mohajeri, Maedeh Samadi
Format:	Artigo
Langue:	Persa
Publié:	Allameh Tabataba'i University Press 2024-03-01
Collection:	Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī
Sujets:	systemic risk volatility spillovers time-varying parameter vector autoregressive (tvp-var) model stock market
Accès en ligne:	https://joer.atu.ac.ir/article_18503_a8d61164c3b0ee78eac82402eb23d44a.pdf
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