Asymmetric volatility spillovers of oil price and exchange rate on chemical stocks : fresh results from a VAR-TBEKK-in-mean model for Iran
Year of publication: |
2022
|
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Authors: | Sayadi, Mohammad ; Rafei, Meysam ; Sheykha, Younes |
Published in: |
Iranian economic review : journal of University of Tehran. - Teheran : [Verlag nicht ermittelbar], ISSN 2588-6096, ZDB-ID 2627358-5. - Vol. 26.2022, 4, p. 885-904
|
Subject: | Volatility Spillover | VAR-TBEKK-in-Mean Model | Conditional Volatility | Chemical Industry | Crude Oil | Volatilität | Volatility | Ölpreis | Oil price | Chemieindustrie | Chemical industry | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Iran | Wechselkurs | Exchange rate |
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