Majid Mirzaee
Assistant Prof., Department of Financial Engineering, Faculty of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran
[ 1 ] - Analysis of Realized Volatility in Tehran Stock Exchange using Heterogeneous Autoregressive Models Approach
Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...
[ 2 ] - A Dynamic Analysis of Market Efficiency on Benchmark Crude oil markets: Based on the Adaptive Market Hypothesis
This paper examines the applicability of the adaptive market hypothesis (AMH) as an evolutionary alternative to the efficient market hypothesis (EMH) by studying daily returns on the three benchmark crude oils. The data coverage of daily returns is from January 2th 2003 to March 5th 2018. In this paper, two different tests in the form of two distinguished classes (linear and nonlinear) have bee...
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