This paper proposes a new clustered correlation multivariate GARCH model (CCMGARCH) that allows conditional correlations to form clusters. This model can generalize the time-varying correlation structure in Tse and Tsui (2002) by determining a natural grouping of the correlations among the series. To estimate the proposed model, we adopt Markov Chain Monte Carlo methods. Two efficient sampling ...

Financial ratios provide useful quantitative financial information about company performance. Most of the economical, industrial, financial or political decision problems are multi-criteria. The application of multi criteria decision making methods significantly improves the robustness of financial analysis and business decisions in general. In this study, based on six wellknown financial perfo...

Hsen-Che Tseng, Ping-Cheng Li, and Hung-Jung Chen Physics Department, National Chung Hsing University, Taichung, Taiwan R.O.C. Abstract We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent θp was defined for non-equilibrium critical phenomena [1, 2], and describing dyn...

  The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

During the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis, different types of these models have been used in forecasting. Now, there is a question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison betw...