iranian banks can not freely determine their interest rates in the financial market. this characteristic causes banking industry unable to perform their duties of financial intermediaries in the transmission mechanism of monetary. in these circumstances, monetary shocks will have a significant and high effect on the alternative markets (like stocks and housing). in this study, we used dynamic s...

Some expansion methods have been proposed for pricing options approximately in analytical form. One of these is the smart method based on Malliavin calculus, which used to price Heston stochastic volatility model with deterministic interest rates. In this paper, we apply Heston–Hull–White model, admits rates enhance and obtain formula up second order. Then numerical studies are performed compar...

In this paper we propose a sequential testing approach for a structural change in the variance of a time series, which amounts to a procedure with a controlled asymptotic size as we repeat the test. Our approach builds on that taken in Chu, Stinchcombe & White (1996) for structural change in the parameters of a linear regression model. We provide simulation evidence to examine the empirical siz...

this paper investigates the effect of exchange rate uncertainty on the iran’s import trade. the exchange rate ‎uncertainty series were generated utilizing the tarch model. this model analyzes the asymmetric effects. the analysis of uncertainty and asymmetry ‎of the exchange rate shows significant tarch ‎effect on iran’s exchange rates‎. the findings of the study indicate negative shocks (bad ne...

in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...

We report some findings from a survey of practitioners in the interbank foreign exchange markets in Hong Kong, Tokyo, and Singapore. The respondents contend that liquidity and market uncertainty are two important reasons for deviating from the conventional interbank bid-ask spread. A strong customer base is perceived as a source of competitive advantage for large participants. Most respondents ...

The present paper examines the out-of-sample forecasting performance of four conditional volatility models applied to the European Monetary System (EMS) exchange rates. In order to provide improved volatility forecasts, the four models’ forecasts are combined through simple averaging, an ordinary least squares model, and an artificial neural network. The results support the EGARCH specification...

Garber and Spencer have argued that dynamic hedging may lead to perverse results when interest rates are used to defend an exchange rate. This paper shows that interest rate changes have little effects on dynamic hedgers when volatility is high.

We study the link between volatility of exchange rates and interest rate differentials (IRD), motivated by importance currency carry trade activities in dynamics. examine this means an extended stochastic model, for which we detail efficient estimation strategy based on Gaussian mixture sampling a linearization process. apply approach to six pairs over period from January 1999 December 2017. Ou...

the purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with moving calendar events such as the holy month of ramadan using a garch specification and data for the tehran stock exchange (tse) from april 1998 to june 2010. the result shows a statistically significant increase in returns and a systematic patte...