منابع مشابه
Causalities of the Taiwan Stock Market
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One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. This pa...
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This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-toclose) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods amongmajor markets, the TWSE is selected to explore the correlation among the three components and compare it wi...
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ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
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ژورنال
عنوان ژورنال: Journal of Business Economics and Management
سال: 2012
ISSN: 1611-1699,2029-4433
DOI: 10.3846/16111699.2011.620168