Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Mirbargkar Seyed Mozaffar; SOHRABI MARYAM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:13 | Issue:47 Page(s): 87-102

Download Full-Text

Persian Verion

View:

175

Download:

Cites:

Information Journal Paper

Title

Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching

Author(s)

Mirbargkar Seyed Mozaffar | SOHRABI MARYAM | Issue Writer Certificate

Keywords

share market

dependence structure

GARCH models

Markov switching-Copula functions

Abstract

Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial markets. Among them, the Copula model has a high ability to recognize the asymmetric dependence structure. The present research is going to study the dependency structure in the financial markets of four countries; Iran, the United Arab Emirates, Turkey and China at the boom and bust cycling in the period of 2014-2017, applying conditional heterogeneity variance model (GARCH), the Markov switching approach, and the Copula functions. The results illustrate that there is an asymmetric structure in every regime, as at the recession time, the correlation between these markets and Iranian market would be higher than the boom time.

Cites

No record.

References

No record.

Cite

APA: Copy

Mirbargkar, Seyed Mozaffar, & SOHRABI, MARYAM. (2020). Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 13(47 ), 87-102. SID. https://sid.ir/paper/950439/en

Vancouver: Copy

Mirbargkar Seyed Mozaffar, SOHRABI MARYAM. Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;13(47 ):87-102. Available from: https://sid.ir/paper/950439/en

IEEE: Copy

Seyed Mozaffar Mirbargkar, and MARYAM SOHRABI, “Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 13, no. 47 , pp. 87–102, 2020, [Online]. Available: https://sid.ir/paper/950439/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops