Improving return forecasting is very important for both investors and researchers in financial markets. In this study we try to aim this object by two new methods. First, instead of using traditional variable, gold prices have been used as predictor and compare the results with Goyal's variables. Second, unlike previous researches new machine learning algorithm called Deep learning (DP) has bee...

This paper proposes a procedure for using a GARCH or exponentially weighted moving average model in conjunction with historical simulation when computing value at risk. It involves adjusting historical data on each market variable to reflect the difference between the historical volatility of the market variable and its current volatility. We compare the approach using nine years of daily data ...

Improving out-of-sample forecasting is one of the main issues in financial research. Previous studies have achieved this objective by increasing the number of input variables or changing the kind of input variables. Changing the forecasting model is another possible approach to improve out-of-sample forecasting. Most researches have focused on linear models, while few have studied nonlinear mod...

A convertible bond is defined to be (e.g., Jorion [10]) a bond issued by a corporation that can be converted into the equity of that corporation at certain times using a predetermined exchange ratio. This entails the creation of new shares issued by the corporation if and when conversion occurs, and the existing shares are diluted by the creation of the new shares. The option to convert is sole...

The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric kernel regression framework. It is also extended to the semiparametric single index model when multiple predictors are used. We construct the constrained LHA estimator via an indicator function which ...

Historical records for rivers in Fars Province are inadequate in comparison with the design period of hydraulic structures. In this study, time series techniques are applied to the records of three Iranian rivers in the Fars Province in order to generate forecast values of the mean monthly river flows. The autoregressive models (AR), moving average models (MA) and autoregressive moving ave...