financial markets will offer facilities to investors and helps to receive the growth path that we need. tehran stock exchange (t.s.e) market was developed in recent years to help investors and give rise to resources for this purpose. stock market most obtain stockholders satisfaction to guarantee fortune it depends stocks rate of return. clear information will help stock holders receive this ai...

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Most procedures for modeling and forecasting financial asset return volatilities rely on restrictive and complicated parametric GARCH or stochastic volatility models. The method of realized volatility constructed from high-frequency intraday returns is an alternative choice for volatility measurement. In this paper we make an empirical analysis on Chinese stock index data by using the method of...

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our ...

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...