The chaotic behavior among the oil prices, expectation of investors and stock returns: TAR-TR-GARCH copula and TAR-TR-TGARCH copula
نویسندگان
چکیده
منابع مشابه
The Impact of Oil and Gold Prices’ Shock on Tehran Stock Exchange: A Copula Approach
There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the ...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
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...
Investigating the Effect of Investors' Behavior and Management on the Stock Returns: Evidence from Iran
The purpose of the present study is to investigate the effect of behavioral variables on overconfidence in management, herding behavior and investors' emotional tendency on stock return. To this end, by using the data of firms listed in the Iran's Stock Exchange during the seven-year period of 2010-2016, overconfidence index in management, the herding behavior of the investors and the emotional...
متن کاملthe impact of oil and gold prices’ shock on tehran stock exchange: a copula approach
there are several researches that deal with the behavior of ses and their relationships with different economical factors. these range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. this article considers the impact of oil and gold price on tehran stock exchange market (tse). oil and gold are two factors that are essential for the ...
متن کاملDynamic Tail Dependence in Copula-GARCH Models: an Application to Stock-Index Returns
1. Methods and application Several studies in empirical finance literature have highlighted the importance of allowing for skewness, tail-fatness, non normality of returns for asset allocation and pricing models. Moreover, the dependence between returns, that can impact portfolio decisions, often exhibits nonlinear structures and asymmetric extremal behavior that the usual correlation coefficie...
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ژورنال
عنوان ژورنال: Petroleum Science
سال: 2018
ISSN: 1672-5107,1995-8226
DOI: 10.1007/s12182-018-0281-7