نتایج جستجو برای: stock market filtering

تعداد نتایج: 317660  

Journal: Iranian Economic Review 2015

In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil ...

2003
Jonathan R. Stroud

This paper provides a simulation-based approach to filtering and sequential parameter learning for stochastic volatility models. We develop a fast simulation-based approach using the practical filter of Polson, Stroud and Müller (2002). We compare our approach to sequential parameter learning and filtering with an auxiliary particle filtering algorithm based on Storvik (2002). For simulated dat...

2011
Hai V. Pham Thang Cao Iori Nakaoka Junichi Kushida Eric W. Cooper Katsuari Kamei

In this paper, we propose a Hybrid Kansei-SOM model, using Kansei Evaluation integrated with Self-Organizing Map (SOM) for stock market investment strategies. The proposed approach, using a group Decision Support System (DSS), aims to aggregate experts’ preferences with the selection of the most suitable stocks, matching with investing strategies to achieve investment returns by dealing with co...

ژورنال: اقتصاد مالی 2012

در این تحقیق ارتباط بازار سهام وتقاضای پول در ایران مورد بررسی قرار گرفته است. برطبق بحث میلتون فرید­من(1988) بازار سهام دو اثر مهم روی تقاضای پول دارد. یکی اثر مثبت ثروت و دیگری اثر منفی جانشینی. بنابراین میتوان خالص تاثیر شاخص بازارسهام روی تقاضای پول را مورد بررسی قرارداد. در این تحقیق تاثیر خالص شاخص بازار سهام روی تقاضای پول در اقتصاد ایران با استفاده از روش هم انباشتگی یوهانسن-جوسلیوس و د...

2015
Wu Yudong

China stock market has been making great contributions to China’s economy since established. In this paper, a VAR model, with stock market factors and economic growth factors involved, is established to study the relation between China stock market and economic growth. The result indicates that a one-way Granger causality exists between the development scale of stock market and the animation of...

2009
Ash Narayan Sah

1.0 Introduction Seasonal variations in production and sales are a well known fact in business. Seasonality refers to regular and repetitive fluctuation in a time series which occurs periodically over a span of less than a year. The main cause of seasonal variations in time series data is the change in climate. For example, sales of woolen clothes generally increase in winter season. Besides th...

Journal: :Expert Syst. Appl. 2008
Shu-Hsien Liao Hsu-hui Ho Hui-wen Lin

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. This pa...

2017
Marcelle Chauvet Bo-Yu Chen

This paper investigates international stock market dynamics and their linkages. It uses factor models to extract stock market indicators from common cyclical stock components of industrialized countries, emerging markets, the BRICT, and global stock markets. We find that the stock market indicators for these groups are correlated with each other and with the global market factor. The BRICT disp...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه الزهراء - دانشکده علوم اجتماعی و اقتصادی 1387

چکیده ندارد.

Journal: :تحقیقات اقتصادی 0
عبدالله خانی استادیار دانشکدة اقتصاد، دانشگاه اصفهان زهره کریمی دانشجوی دکتری حسابداری، دانشگاه آزاد اسلامی آزاد، واحد علوم و تحقیقات اصفهان لیلا کریمی دانشجوی دکتری اقتصاد، دانشگاه شیراز

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

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