â â â  â â â â â  abstract: â  up to now, the impact of real exchange rate on the non-oil exports of iran has been mainly on focus. however, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exc...

importance of risk and uncertainty in financial markets became more apparent after financial crisis in 2007. volatility is the most important measure of risk in financial markets. thus, modeling volatility of financial markets is one of the important issues in finance and economics. in this paper first we tried to specify key features of volatility of daily returns of tehran stock exchange pric...

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

Utilizing finance conceptual framework, this paper applies a Frontier-Volatility analysis to illuminate regulatory policies effects on volatility under Iranian Banking Prudential Framework over the period 2003 to 2015 using the raw database collected, classified and compiled by the Rahavard Novin Co. version 3, Securities and Stock Exchange Organization. Findings portray that volatility is affe...

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this p...

Banks may well perform differently in lending to firms according to their funding structure. This paper surveys the relation between Loan volatility and deposit in Iranian banking system. The extent to which bank lending is connected to funding structure is affected by the banks’ characteristics (such as capital structure, profitability, and the measure of non-performing loans). To analyze this...