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Keywords = Tehran Stock Exchange
Number of Articles: 3
Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach
Volume 23, Issue 77 , February 2019, , Pages 1-36
Abstract
This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that was ... Read MoreThe Application of Aumann-Serrano Index of Riskiness in Portfolio Optimization: A Case Study of Tehran Stock Exchange
Volume 20, Issue 64 , October 2015, , Pages 117-150
Abstract
In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of ... Read MoreOptimal Portfolio Selection in the Stock Exchange: An Application of Value at Risk (VaR) Index
Volume 8, Issue 29 , February 2007, , Pages 75-92