رستمی, علیرضا

[ 1 ] - اجزاء موقت و دائمی بازدهی سهام: کاربردی از مدل‌های فضا- حالت با واریانس ناهمسانی راه گزینی مارکف

In this study by using Markov Regime Switching Heteroscedasticity Models (MRSH) in the form of state-space model the behavior of stock returns is examined. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory component of stock returns. The period of the study is the fourth month of 2000 to the seventh ...