in this article using autoregressive (ar), autoregressive conditional heteroskedasticity (arch), generalized autoregressive conditional heteroskedasticity (garch) models we assess the weekend effect and also compare the trading patterns of individual and legal investors during 1381-1385 in tehran stock exchange. our findings suggest that weekend effect exists in tehran stock exchanges which are...

We propose an estimator for the conditional density p(Y |X) that can adapt for asymmetric heavy tails which might depend on X. Such estimators have important applications in nance and insurance. We draw from Extreme Value Theory the tools to build a hybrid unimodal density having a parameter controlling the heaviness of the upper tail. This hybrid is a Gaussian whose upper tail has been replace...