Jalal Seifoddini
Department of Financial Management, Islamshahr Branch, Islamic Azad University
[ 1 ] - Investors' Perception of Bank Risk Management: Multivariate Analysis Techniques
According to the nature of their activities, banks are exposed to various types of risks. Hence, risk management is at the heart of financial institutions management. In this study, we intend to summarize the information content of bank financial statements on diverse risks faced by banks and then determine how stock markets react to bank's risk management behavior. The methodology used in this...
[ 2 ] - Realized Volatility in Noisy Prices: a MSRV approach
Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...
[ 3 ] - برآورد عمق بازار و بررسی رابطه آن با اخلال قیمت ها به روش حداکثر درست‌نمایی
محتوای اطلاعاتی داده‌های پربسامد، آن‌ها را به ابزار اصلی در مطالعه ریزساختار بازار تبدیل کرده است. با این حال این داده‌ها حاوی اخلال نیز هستند که بر نتایج برآوردها از ویژگی‌های فرایند قیمت نظیر برآورد نوسانات قیمت اثر منفی می‌گذارد. در پژوهش پیش رو، با استفاده از روش حداکثر درست‌نمایی، اخلال ریزساختاری قیمت‌های سهام شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران برآورد شده و از نوسانات واقعی د...
[ 4 ] - Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk
Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...
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