نتایج جستجو برای: garch method measures portfolio risk more accurately in comparison with traditional methods

تعداد نتایج: 19044979  

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه یزد - دانشکده علوم اجتماعی 1392

this study aims to investigate value conflicts between mothers and their daughters among families and influential factors on this conflict in yazd city. this study adopted a survey method and a questionnaire was used that its validity through construct validity (factor analysis) and its reliability by cronbach alpha were measured. the population of this study consists of all yazdian families th...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه علامه طباطبایی 1389

after the soviet union dissolution, a chaotic period was begun in the russia. russia lost its glory and felt disgrace. the first group of elites came to power under yeltsin; they tried to re-define russia’s identity as a european country and build a foreign policy on this baseline. therefore russia tried to become closer with the west especially with the u.s. according to their view the sovie...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تربیت مدرس 1389

abstract: country’s fiber optic network, as one of the most important communication infrastructures, is of high importance; therefore, ensuring security of the network and its data is essential. no remarkable research has been done on assessing security of the country’s fiber optic network. besides, according to an official statistics released by ertebatat zirsakht company, unwanted disconnec...

Journal: :تحقیقات مالی 0
محمد رضا رستمی استادیار مدیریت مالی، دانشگاه الزهرا، تهران ، ایران فاطمه حقیقی کارشناس ارشد مدیریت بازرگانی گرایش مالی، دانشگاه الزهرا (س)، تهران، ایران

in this paper we compared multivariate garch models toestimate value-at-risk. we used a portfolio of weekly indexesincluding tedpix, klse, xu100 during ten years. to estimatevalue-at-risk, first we estimated ccc, dcc of engle, dcc of tseand tsui, dynamic equi correlation models by oxmetrics. then,optimum lags were estimated by minimizing the information criteria.to estimate var, the models accu...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تبریز - دانشکده علوم طبیعی 1391

in recent years many researchers have been focused on interaction of small molecules with dna. dna is generally the primary intracellular of anticancer drugs, so the interaction between small molecules and dna can cause dna damage in cancer cells, blocking the division of cancer cells and resulting in cell death. the flavonoids are a large group of polyphenolic natural products that are widely ...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه فردوسی مشهد - دانشکده ادبیات و علوم انسانی دکتر علی شریعتی 1389

the purpose of this study is to investigate the relationships between teachers’ immediacy behaviors and iranian students’ willingness to talk in english classes. analysis of the results from willingness to talk scale represents a relatively high level of willingness to talk in english classrooms among iranian language learners. the total mean score of students’ willingness to talk was 66.3 ou...

پایان نامه :دانشگاه آزاد اسلامی - دانشگاه آزاد اسلامی واحد گرمسار - دانشکده علوم انسانی 1390

this study was an attempt to investigate the effect of subtitling on vocabulary learning among iranian intermediate students. to find the homogeneity of the groups, tofel test was administered to student in kish mehr institute in garmsar. after analyzing the data, 60 participants (female students) who scored within the range of one standard deviation above and below the mean, were selected as h...

Journal: :مدیریت صنعتی 0
محمدحسین پورکاظمی دانشیار گروه اقتصاد، دانشکده اقتصاد و علوم سیاسی دانشگاه شهیدبهشتی، ایران مصطفی فتاحی دانشجوی دکترای مدیریت تحقیق در عملیات، دانشکده مدیریت دانشگاه تهران، ایران ساسان مظاهری دانشجوی کارشناسی ارشد مدیریت صنعتی، دانشکده مدیریت و حسابداری دانشگاه شهیدبهشتی، ایران بهرنگ اسدی دانشجوی کارشناسی ارشد mba، ، دانشکده مدیریت و اقتصاد دانشگاه صنعتی شریف، ایران

due to project evaluation complexity and resource constraints, the project portfolio optimization is numerous decision making challenges. hence, many researches have been done to introduce model and methods for portfolio optimization. but most of them have not considered the interaction between projects. considering the interactions between projects increase complexity of portfolio optimization...

Journal: :تحقیقات اقتصاد و توسعه کشاورزی ایران 0
حبیبه شرافتمند دانشجوی دکتری اقتصاد کشاورزی دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران سعید یزدانی استاد گروه اقتصاد کشاورزی، پردیس کشاورزی و منابع طبیعی دانشگاه تهران رضا مقدسی دانشیار گروه اقتصاد کشاورزی دانشگاه آزاد اسلامی، واحد علوم و تحقیقات تهران

agricultural activities are risky activities. in these activities, various natural, social and economic risks have created fragile and vulnerable situation for producers. price risk in agricultural products has caused financial problems for many producers and farmers. to deal with these price risks and price fluctuations, there are varieties of tools. this paper focused on futures markets instr...

Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

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