We discuss the data available for the TSE 300 and S&P 500 total return indexes. We consider a number of models, including the Wilkie model and regime switching models. We discuss calibration by maximum likelihood and by Markov chain Monte Carlo for the regime switching lognormal model. We then show how to use this model to price and hedge simple segregated fund maturity guarantees. keywords: Re...

Measuring Information Systems (IS) value has been constantly attracting much attention and debate within the IS research community. Since information systems effects are often difficult to quantify, traditional payoff evaluation methods often yield conflicting results. In this paper we suggest that some information systems can be evaluated on the basis of their effect on stock return volatility...

This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility and test the market e–ciency hypothesis. We estimate an empirical model that captures the efiect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditio...

In this research using theoretical predictions from a real option-based investment framework, the present study aims to examine the effects of stock returns volatilities on changes of working capital accruals of firms. In addition, the moderating effect of variables such as, life cycle and ownership structure on the relationship between stock return volatilities and working capital accruals is ...

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. under these conditions, considering uncertainty for a favorite investment is more serious than before. multi-objective portfolio selection (return, liquidity, risk and initial cost of investment objectives) using minmax fuzzy goal programmin...

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in returns. We extend this model ...