Sayadi, Mohamad
Kharazmi University
[ 1 ] - Designing a Dynamic Macro Econometric Model for the Iranian economy with Emphasizing on dynamics of the National Development Fund
Oil Revenue Management (ORM) has always been one of the key challenges facing the oil rich developing countries. In this regard, the main objective of this paper is to provide a dynamic macroeconometric model adapted to the state of the Iranian economy. Also, the assessment of the dynamics of the National Development Fund (NDF) and its impact on macroeconomic variables are discussed. The result...
[ 2 ] - Analysis of the Dynamic Optimal Hedging Ratio and its Effectiveness by M-GARCH Models: A Case Study for Iran Crude Oil Spot Price
Hedging the risk of crude oil prices fluctuation for countries such as Iran that are highly dependent on oil export earnings is one of the important subject to discuss. In this regard, the main purpose of this study is to calculate and analyze the optimal dynamic hedging ratio for Iranian light and heavy crude oil spot prices based on one-month to four-month cross hedge contracts in New York St...
[ 4 ] - Modeling the Dependency Structure between Stocks of Chemical Products Return, Oil Price and Exchange Rate Growth in Iran; an Application of Vine Copula
The main objective of this study is modeling the dependency structure between the returns of oil markets, exchange rate and stocks of chemical products in Iran. For this purpose, the theory of Vine Copula functions is used to investigate the dependency structure. In addition to consider a linear relationship between financial markets in Iran, the nonlinear dependency structure of these markets ...
[ 5 ] - Prediction-Based Portfolio Optimization Model for Iran’s Oil Dependent Stocks Using Data Mining Methods
This study applied a prediction-based portfolio optimization model to explore the results of portfolio predicament in the Tehran Stock Exchange. To this aim, first, the data mining approach was used to predict the petroleum products and chemical industry using clustering stock market data. Then, some effective factors, such as crude oil price, exchange rate, global interest rate, gold price, an...
[ 6 ] - A Copula-based Quantile Model for Crude oil Return-Volatility Dependence Modelling: Case of Iran Heavy Oil
The main purpose of this study is to investigate the relationship between Iran’s heavy crude oil price returns and volatility dependence using the Copula-based quantile model (CQM). CQM is an efficient tool for analyzing nonlinear time series models as it has no need for initial assumptions. We use monthly data from January 1990 to December 2019. We use the Hadrick-Prescott filter to calculate...
[ 7 ] - Simulation-Base Multi- Objective Risk Management for Optimal Wind Turbines Placement: Case of Khodabandeh City
The main purpose of this study is to provide three simulation-based risk management models for optimal placement of wind turbines in Khodabandeh city (located in the south of Zanjan province) taking into account the wake effect and uncertainty in wind speed and direction. For this purpose, wind speed and direction data were collected, then wind speed and direction uncertainty was modeled by Mon...
[ 8 ] - Simulation-Base Multi- Objective Risk Management for Optimal Wind Turbines Placement: Case of Khodabandeh City
The main purpose of this study is to provide three simulation-based risk management models for optimal placement of wind turbines in Khodabandeh city (located in the south of Zanjan province) taking into account the wake effect and uncertainty in wind speed and direction. For this purpose, wind speed and direction data were collected, then wind speed and direction uncertainty was modeled by Mon...
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