VOLATILITY SPILLOVER OF BRENT OIL PRICE RETURN ON RETURN OF IRAN AND USA FINANCIAL MARKETS AND RELATED INDUSTRIES: A MGARCH APPROACH

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TAVAKOLIAN HOSSEIN; ETEMADI SEYED AMIR; TEHRANI REZA

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Journal: IRANIAN ENERGY ECONOMICS Year:2017 | Volume:6 | Issue:21 Page(s): 33-61

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Title

VOLATILITY SPILLOVER OF BRENT OIL PRICE RETURN ON RETURN OF IRAN AND USA FINANCIAL MARKETS AND RELATED INDUSTRIES: A MGARCH APPROACH

Author(s)

TAVAKOLIAN HOSSEIN | ETEMADI SEYED AMIR | TEHRANI REZA | Issue Writer Certificate

Keywords

RETURNQ2

SPILLOVERQ1

VOLATILITYQ2

MULTIVARIATE GARCH MODELSQ1

Abstract

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 SPILLOVER of Brent oil price RETURN effects on RETURN of Iran and USA financial markets during 2008-2016 using weekly data. Results show that VOLATILITY of Brent oil price RETURN SPILLOVERs S&P500 and related industries to oil indexes in USA, so it does not SPILLOVER Tehran exchange price index RETURN and related industries to oil indexes in Iran. Also financial market indexes RETURN do not SPILLOVER together in short-time.

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APA: Copy

TAVAKOLIAN, HOSSEIN, ETEMADI, SEYED AMIR, & TEHRANI, REZA. (2017). VOLATILITY SPILLOVER OF BRENT OIL PRICE RETURN ON RETURN OF IRAN AND USA FINANCIAL MARKETS AND RELATED INDUSTRIES: A MGARCH APPROACH. IRANIAN ENERGY ECONOMICS, 6(21 ), 33-61. SID. https://sid.ir/paper/244896/en

Vancouver: Copy

TAVAKOLIAN HOSSEIN, ETEMADI SEYED AMIR, TEHRANI REZA. VOLATILITY SPILLOVER OF BRENT OIL PRICE RETURN ON RETURN OF IRAN AND USA FINANCIAL MARKETS AND RELATED INDUSTRIES: A MGARCH APPROACH. IRANIAN ENERGY ECONOMICS[Internet]. 2017;6(21 ):33-61. Available from: https://sid.ir/paper/244896/en

IEEE: Copy

HOSSEIN TAVAKOLIAN, SEYED AMIR ETEMADI, and REZA TEHRANI, “VOLATILITY SPILLOVER OF BRENT OIL PRICE RETURN ON RETURN OF IRAN AND USA FINANCIAL MARKETS AND RELATED INDUSTRIES: A MGARCH APPROACH,” IRANIAN ENERGY ECONOMICS, vol. 6, no. 21 , pp. 33–61, 2017, [Online]. Available: https://sid.ir/paper/244896/en

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