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Keywords = Markov Chain
Number of Articles: 2
Fad Models with Markov Switching Hetroskedasticity: Decomposing Tehran Stock Exchange Return into Permanent and Transitory Components
Volume 23, Issue 75 , July 2018, , Pages 1-20
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 MoreThe average wait time to see a trend in the prices of gold coin by using partially exchangeable sequence
Volume 18, Issue 55 , July 2013, , Pages 141-158