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- W3123779770 abstract "Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically important industries in Iran’s capital market. The purpose of this study is to understand and identify the volatility spillover between industries to predict financial fluctuations, as well as policy decisions and risk management. The results of this study confirm the spillover between “Banking” and the five industries of Basic Metals, Industrial Multidisciplinary, Investments, Computers, and Transportation & Warehousing. There is also an asymmetric spillover between “Banking” index and the Chemical Industry, the Extraction of Metal Ores, Pharmaceuticals and Communications Devices. The results are used for mapping fundamental analysis and risk programming." @default.
- W3123779770 created "2021-02-01" @default.
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- W3123779770 date "2017-01-01" @default.
- W3123779770 modified "2023-09-25" @default.
- W3123779770 title "Volatility Spillover Among Industries in the Capital Market in Iran" @default.
- W3123779770 hasPublicationYear "2017" @default.
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