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Forecasting Tehran stock exchange volatility; Markov switching GARCH approach · Study

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ArticleForecasting Tehran stock exchange volatility; Markov switching GARCH approach

Esmaiel Abounoori2015

Article2015

Forecasting Tehran stock exchange volatility; Markov switching GARCH approach

Esmaiel Abounoori · Zahra Mila Elmi · Younes Nademi

47 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy

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2019The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach 2019Forecasting stock volatility process using improved least square support vector machine approach

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Year2015

Typearticle

Published2015-11-05

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations47

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2015.10.024

openalex_workW1934859356

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