Developing Non-linear Dynamic Model to Estimate Value at Risk, Considering the Effects of Asymmetric News: Evidence from Tehran Stock Exchange
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Iran University of Science & Technology
2016-12-01
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| Series: | International Journal of Industrial Engineering and Production Research |
| Subjects: | |
| Online Access: | http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-118-5&slc_lang=en&sid=1 |