explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

abstract the aim of this study was to selecting the suitable model for forecast land, production and price of sugar beet in iran. for this purpose, models applied to forecast are arima, single and double exponential smoothing, harmonic, artificial neural network and arch for period 1993-2008. results of durbin-watson tests, land, production and price of sugar beet series were found non stochast...

on one hand, oil is the greatest energy resource in the world and, on the other hand, because of the role of oil revenue in the economic of oil producer countries, such as iran,it is vital for these countries. so it is necessary to recognize different affective parameters on oil market for these countries. in this research, we try to forecast oil price as an important variable in world wide oil...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, an...

One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results sh...

The present paper thoroughly explores second-best efficient allocations in an adverse selection insurance economy. We start from a natural extension of the classical model, assuming less than perfect risk perceptions. We propose first and second welfare theorems, by means of which we describe efficiencyenhancing policies. Notions of weak and strong adverse selection are promising for interpreti...

the hypothesis which more educated women experience less fertility has motivated many researches. current study is also carried out in the same direction of those investigations. the theoretical model is designed based on microeconomics of fertility that show since the substitution effect of rising female schooling surpasses the income effect, the presence of negative relation between the level...

this paper presents a new index of financial stress which is constructed by macro data from different financial markets (including banking sector and also housing, foreign exchange and stock markets). the proposed approach has been applied to the iranian economy based on the available quarterly time series, covering the period 1991(1)–2008(2). the paper explains how the selected components capt...

the main purpose of this paper is theoretically to design the optimal intervention in the foreign exchange market in iran, which has not been investigated by previous studies. the economic fundamentals are strongly affected by the optimal foreign exchange intervention, the consistency of foreign exchange intervention with other policies and political authorities' beliefs about the interven...