In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selection (DMS) and Dynamic Model Averaging (DMA) and a comparison with the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (with data on a monthly basis) are discussed. In the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selecting (DMS) and Dynamic Model Averaging (DMA) and their comparison via the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (monthly) are discussed. In the present study the variables of unofficial exchange rate changes, interest rate changes and inflation oil price forecast returns for stocks ...

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock couplings can be associated with the distributions of index fluctuations which reveal...

The gaining returns in line with risks is always a major concern for market play-ers. This study compared the selection of stock portfolios based on the strategy of buying and retaining winning stocks and the purchase strategy based on the level of investment risks. In this study, the two-step optimization algorithms NSGA-II and SPEA-II were used to optimize the stock portfolios. In order to de...

We model and test for the role of heterogeneously informed, strategic multi-asset speculation for cross-price impact—the impact of trades in one asset on the prices of other (even unrelated) assets—in the U.S. stock market. Our investigation of the trading activity in New York Stock Exchange (NYSE) and National Association of Securities Dealers Automated Quotation System (NASDAQ) stocks between...

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). ...

T his paper investigates the movement between stock market bubbles and fluctuations in aggregate variables within a DSGE model for the Iranian economy. We apply a new Keynesian monetary framework with nominal rigidity in wages and prices based on the study by Ikeda (2013), which is developed with appropriate framework for the Iranian economy. We consider central bank behavior differe...