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Author = Havaj, Sahar

Number of Articles: 1
Fad Models with Markov Switching Hetroskedasticity: Decomposing Tehran Stock Exchange Return into Permanent and Transitory Components

Teimour Mohammadi; Abdolsadeh Neisi; Mahnoush Abdollahmilani; Sahar Havaj

Volume 23, Issue 75 , July 2018, , Pages 1-20

https://doi.org/10.22054/ijer.2018.9119

Abstract
  In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components. ...  Read More