Volume 28 (2023)
Volume 27 (2022)
Volume 26 (2021)
Volume 25 (2020)
Volume 24 (2019)
Volume 23 (2018)
Volume 22 (2017)
Volume 21 (2016)
Volume 20 (2015)
Volume 19 (2014)
Volume 18 (2013)
Volume 17 (2012)
Volume 16 (2011)
Volume 15 (2010)
Volume 14 (2010)
Volume 13 (2009)
Volume 12 (2008)
Volume 11 (2008)
Volume 10 (2008)
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Volume 8 (2006)
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Volume 6 (2004)
Volume 5 (2003)
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Volume 1 (1995)
Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach

Naser Khiabani; ehsan mohammadian nikpey

Volume 23, Issue 77 , February 2019, , Pages 1-36

https://doi.org/10.22054/ijer.2018.10146

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 More

The Application of Aumann-Serrano Index of Riskiness in Portfolio Optimization: A Case Study of Tehran Stock Exchange

Reza Talebloo; Moloud Rahmaniani

Volume 20, Issue 64 , October 2015, , Pages 117-150

https://doi.org/10.22054/ijer.2015.4608

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 More

Optimal Portfolio Selection in the Stock Exchange: An Application of Value at Risk (VaR) Index

Javad Torkamani; Ali Hosseini

Volume 8, Issue 29 , February 2007, , Pages 75-92

Abstract
  The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum portfolio ...  Read More