distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013 … model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the … forecastable component (expected variation) from the best fitted models, we measure the time series of the IIR uncertainty …

variance was elevated for some weeks, indicating signs of increased uncertainty and potentially negative consequences for the …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …