Investment funds in China started in 1991. After 20 years of development, the mutual fund industry is now offering a rich product line for investors. At present, individual investors hold about 90% of the mutual fund with more than 90,000,000 fund accounts. Mutual fund purchasing has become the preferred way of managing money for urban residents in China. This paper study on risk assessment met...

Abstract This article discusses the evolution of monetary policy (MP) in Peru 1996Q1–2019Q4 using a mixture innovation time-varying parameter vector autoregressive (VAR) model with stochastic volatility (TVP-VAR-SV) as proposed by Koop, Leon-Gonzales and Strachan. The main empirical results are: (i) VAR coefficients volatilities change more gradually than contemporaneous over time; (ii) MP shoc...

We introduce the Multivariate Autoregressive Conditional Double Poisson model to deal with discreteness, overdispersion and both auto and cross-correlation, arising with multivariate counts. We model counts with a double Poisson and assume that conditionally on past observations the means follow a Vector Autoregression. We resort to copulas to introduce contemporaneous correlation. We apply it ...

Article history: Received 18 July 2013 Received in revised form 9 May 2014 Accepted 15 May 2014 Available online 22 May 2014 Highly volatile scenarios, such as those provoked by the recent subprime and sovereign debt crises, have questioned the accuracy of current risk forecasting methods. This paper adds fuel to this debate by comparing the performance of alternative specifications for modelin...

the risk free rate of return plays a main role in financial economic theory and financial markets. due to prohibition of interest in islamic countries there is no specific financial instrument with risk free rate of return as a criterion for measuring the risk free rate of market. we apply the kalman filter to estimate this variable for financial markets in iran. the technique is based on a sta...

sharp increase in oil price and the volatility in recent decades have attracted most researchers towards the field of energy. it seems not only the direct oil price, but also the uncertainty caused by the oil price volatility affect the raw oil supply. in this research the effect of oil price volatility on oil supply has been estimated using monthly time series data from january 1980 to septemb...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

 Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran...

The purpose of this paper is to demonstrate that the success of the Litterman prior in VAR forecasting is not due to the realism of the prior, but rather because the prior conveniently reduces forecast error variance in common cases of misspecification. Specifically, it is shown that the imposition of a random walk prior reduces forecast error variance in misspecifications involving (1) time-va...