We use a model of international trade to show that (i) trade a¤ects exchange rate volatility and (ii) exchange rate volatility impacts trade in goods di¤erently according to their degree of di¤erentiation. In particular, commodity goods are less a¤ected by exchange rate volatility than more highly di¤erentiated products. These insights allow us to structurally address one of the main shortcomin...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

The technique (VaR) is a statistical measure of the risk. It associated with financial risks related to high volatility in prices, interest rates, or exchange rates. used massively by entities because necessity risk constantly traded portfolios.

Utilizing finance conceptual framework, this paper applies a Frontier-Volatility analysis to illuminate regulatory policies effects on volatility under Iranian Banking Prudential Framework over the period 2003 to 2015 using the raw database collected, classified and compiled by the Rahavard Novin Co. version 3, Securities and Stock Exchange Organization. Findings portray that volatility is affe...

Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts. To obtain more flexibility regarding volatility persistence, this paper generalizes the GARCH model by distinguishing two regimes with...

A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation structure between the observation and state innovation vectors and we extend the convolution between the Wishart and the multivariate singular beta distribut...