Macroeconomic and financial indicators have a significant impact on the exchange market pressure (EMP) in Turkey. Despite huge amount of literature subject, there is no study focusing Turkey that takes into account role model uncertainty pressure. The should be taken consideration, given lack unique theoretical framework markets set numerous explanatory variables. Bayesian averaging (BMA) techn...

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

There have been several efforts in the literature to extract as much information as possible from the financial networks. Most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. This paper proposes a stock market filtering model using the correlation - ba...

Demand response (DR) has many beneficiaries in the electricity market. There are independent players who are interested in DR, which include: transmission system owners, distributors, retailers, and aggregators. In this paper DR is introduced as a tradable commodity that can be exchanged between DR buyers and sellers in a pool-based market which is called demand response exchange (DRX). DRX ope...