THE INFLUENCE OF VOLATILITY STRUCTURAL CHANGES ON SHOCK TRANSMISSION AND VOLATILITY SPILLOVER BETWEEN GOLD AND STOCK MARKETS IN IRAN

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ELMI ZAHRA (MILA); ABOUNOORI ESMAIEL; RASEKHI SAEED; SHAHRAZI MOHAMADMEHDI

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Journal: Journal of Economic Modelling Year:2014 | Volume:8 | Issue:2 (26) Page(s): 57-73

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Title

THE INFLUENCE OF VOLATILITY STRUCTURAL CHANGES ON SHOCK TRANSMISSION AND VOLATILITY SPILLOVER BETWEEN GOLD AND STOCK MARKETS IN IRAN

Author(s)

ELMI ZAHRA (MILA) | ABOUNOORI ESMAIEL | RASEKHI SAEED | SHAHRAZI MOHAMADMEHDI | Issue Writer Certificate

Keywords

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Abstract

This study investigates the effect of volatility structural changes on the shock transmission and volatility Spillover between gold and stock markets in Iran during 2007-2013. For this purpose, firstly, we will detect the time periods of structural breaks in volatility of gold and stock returns endogenously using the standard and modified iterated cumulated sums of squares (ICSS) algorithm. Then, this information incorporates to model the volatility process. The application of bi-variate GARCH model in off-diagonal BEKK parameterization suggest that shock transmission and volatility spillover between gold and stock markets is bidirectional in Iran. Also, based on the present research findings, ignoring or incorrect detection of structural breaks mislead the researcher about the direction of volatility transmission between gold and stock markets.

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References

IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN

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APA: Copy

ELMI, ZAHRA (MILA), ABOUNOORI, ESMAIEL, RASEKHI, SAEED, & SHAHRAZI, MOHAMADMEHDI. (2014). THE INFLUENCE OF VOLATILITY STRUCTURAL CHANGES ON SHOCK TRANSMISSION AND VOLATILITY SPILLOVER BETWEEN GOLD AND STOCK MARKETS IN IRAN. ECONOMIC MODELLING, 8(2 (26)), 57-73. SID. https://sid.ir/paper/176206/en

Vancouver: Copy

ELMI ZAHRA (MILA), ABOUNOORI ESMAIEL, RASEKHI SAEED, SHAHRAZI MOHAMADMEHDI. THE INFLUENCE OF VOLATILITY STRUCTURAL CHANGES ON SHOCK TRANSMISSION AND VOLATILITY SPILLOVER BETWEEN GOLD AND STOCK MARKETS IN IRAN. ECONOMIC MODELLING[Internet]. 2014;8(2 (26)):57-73. Available from: https://sid.ir/paper/176206/en

IEEE: Copy

ZAHRA (MILA) ELMI, ESMAIEL ABOUNOORI, SAEED RASEKHI, and MOHAMADMEHDI SHAHRAZI, “THE INFLUENCE OF VOLATILITY STRUCTURAL CHANGES ON SHOCK TRANSMISSION AND VOLATILITY SPILLOVER BETWEEN GOLD AND STOCK MARKETS IN IRAN,” ECONOMIC MODELLING, vol. 8, no. 2 (26), pp. 57–73, 2014, [Online]. Available: https://sid.ir/paper/176206/en

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