The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...

In this paper, we introduce a new skewed distribution of which normal and power normal distributions are two special cases. This distribution is obtained by taking geometric maximum of independent identically distributed power normal random variables. We call this distribution as the power normal--geometric distribution. Some mathematical properties of the new distribution are presented. Maximu...

This research analyzes asymmetric volatility and multifractality in four representative cryptocurrencies using index-based multifractal detrended fluctuation analysis. We suggest investigating an idiosyncratic risk premium, which can be obtained by removing the market influence cryptocurrency return series. call process a capital asset pricing model filter. The analyses on original series showe...

In parametric models a su cient condition for local identi cation is that the vector of moment conditions is di erentiable at the true parameter with full rank derivative matrix. We show that there are corresponding su cient conditions for nonparametric models. A nonparametric rank condition and di erentiability of the moment conditions with respect to a certain norm imply local identi cation. ...

Inception of Markowitz’s modern portfolio theory has also fuelled the development of asset pricing models for empirical finance, ranging from linear single-factor models like the capital asset pricing model to fairly complex multi-factor models such as the arbitrage pricing theory (APT). It is well-known in the literature of finance that APT could be used for modelling the underlying security r...

In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier tra...