Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Moslem Nilchi, Daryush Farid, Moslem Peymany, Hamidreza Mirzaei
| Year of publication: |
2023
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|---|---|
| Authors: | Nilchi, Moslem ; Farid, Daryush ; Peymany, Moslem ; Mirzaei, Hamidreza |
| Published in: |
Iranian journal of finance. - Teheran : Iran Finance Association, ISSN 2676-6345, ZDB-ID 3143378-9. - Vol. 7.2023, 3, p. 1-24
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| Subject: | Stock Market | VaR | Hidden Markov Models | Risk | Kupiec Test | DQ Test | Theorie | Theory | Markov-Kette | Markov chain | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Börse | Bourse | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.30699/ijf.2023.383644.1399 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014429053