This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping backtest density forecasts, which are based on a weighted threshold quantile continuously ranked probability score, developed. Developed backtesting procedures revealed that an estimated...

This paper aims to study the effect of herding on buy and hold, momentum and contrarian strategy. In this research, the cross-sectional absolute deviation is used to identify herding behavior in twenty industries in Tehran stock market. It is observed that the down and boom periods had more industries with herding. Moreover, the weak herding is more common than the strong herding in this market...

Tropical cyclones in the vicinity of Hawaii have resulted in great property damage. An estimate of the return periods of tropical cyclone intensities is of particular interest to governments, public interest groups, and private sectors. A dimensionless quantity called relative intensity (RI) is used to combine all available information about the tropical cyclone characteristics at different pla...

Waves are main characteristics of seas that produce by wind. Importance of the study of waves and recognizing the wave climate in the coastal zone management that the waves are the most important influence on the design and implementation of all projects. Wave are main boundary condition in dynamic loading and structural calculations and hydraulic coastal structures. Height of waves are the mos...

using the treynor and mazoy model (expanded by fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in funds and investment companies in tehran stock exchange during 2004-2010. the results do not support the application of management market timing during the study period and managers were only able to create addit...