this paper investigates the asymmetry in volatility of returns for the iranian stock market using the daily closing values of the tehran exchange price index (tepix) covering the period from march 25, 2001 to july 25, 2012, with a total of 2743 observations. to this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric garch (1,1) model. the...

This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahead and dynamic) prediction intervals. Past studies have exclusively used point forecasts, which are of limited value since they carry no information about the intrinsic predictive uncertainty associated. We compare empirical performances of alternative prediction intervals for stock return generat...

Article history: Received 11 January 2006 Received in revised form 31 July 2008 Accepted 1 August 2008 Available online 6 August 2008 This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as away of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of vola...

The stability and sustainability of revegetated ecosystems is a central topic in ecological research. In this study, long-term monitoring and focused research on vegetation, soil and soil moisture from 2006 to 2012 were used to develop a model for evaluating indices of ecosystem stability using the analytical hierarchy process method. The results demonstrated that rainfall (R), vegetation cover...

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates much financial crises of 2008. This study uses daily data model dynamic impact affected countries’ stock market indices commodity markets. panel least squares Vector Auto-Regressive (VAR) estimation results confirm negative short-termed virus spread ...

We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003 through June 2011. Using new indices for market manipulation, insider trading, and broker-agency conflict based on the specific provisions of the trading rules of each stock exchange, along wit...

Value-at-Risk (VaR) is a widely used statistical measure in financial risk management for quantifying the level of risk associated with a specific investment portfolio. It is well-known that historical return data exhibit non-normal features, such as heavy tails and skewness. Current analytical (parameteric) calculation of VaR typically assumes the distribution of the portfolio return to be a n...

Recent studies have uncovered several systematic patterns that increase the probability that individual investors can select stock portfolios with excess returns. This study tests the feasibility of using a commercially available computerized stock screening program for investors to take advantage of these patterns. The screening program searches the three major exchanges and selects stocks on ...