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The Effect of Asymmetric volatilities of exchange rate and oil price on Stock index of Tehran stock exchange
The aim of this study was to investigate the asymmetric effects of exchange rate shocks on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate shocks using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these shocks on the Stock index of Tehran Stock Exchange was estimated using the Generalized Method of Moments (GMM). Also, the effect of positive and negative shocks were separated and included as independentdoi:10.5281/zenodo.2631227 fatcat:xc74kwnfizgtfkjzvhoai4hhdy