Fad Models with Markov Switching Hetroskedasticity: Decomposing Tehran Stock Exchange Return into Permanent and Transitory Components
In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015. In this model, stock returns are decomposed into two components; permanent and transitory components....
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2018-07-01
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| Series: | Faṣlnāmah-i Pizhūhish/hā-yi Iqtiṣādī-i Īrān |
| Subjects: | |
| Online Access: | http://ijer.atu.ac.ir/article_9119_ea6df9203815d3a6672fa0b1073ec197.pdf |