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Keywords = Dynamic Correlation

Number of Articles: 1
Study of Correlation between Volatility of Stock, Exchange and Gold Coin Markets in Iran with DCC-GARCH Model

Firouz Fallahi; Jafar Hghighat; Naser Sanoubar; Khalil Jahangiri

Volume 14, Issue 52 , April 2014, , Pages 147-123

Abstract
  Abstract The aim of this paper is to investigate the behavior of stock, exchange and gold coin markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between ...  Read More