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Keywords = Value at Risk
Number of Articles: 4
Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation
Volume 20, Issue 77 , July 2020, , Pages 1-28
Abstract
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, ... Read MoreRanking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models)
Volume 17, Issue 66 , October 2017, , Pages 151-178
Abstract
In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution ... Read MoreModeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation
Volume 14, Issue 53 , July 2014, , Pages 143-166
Abstract
In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more detail and parameters of this model based on the ... Read MoreRisk spillover effect of US dollar exchange rate on oil prices
Volume 12, Issue 45 , July 2012, , Pages 99-121