Measuring the Volatility Persistence of the Tehran Stock Exchange using Stochastic Volatility Models with Jump in Return

Volume 11, Issue 4, October 2024, Pages 121-140

10.22108/amf.2024.139957.1841

Mohammad Mehdi Momenzadeh; Moslem Nilchi; Mojtaba Rostami

• View Article
• PDF 1.62 M

Applying the Meta-Synthesis Method in Banking Operational Risk Management Methodology

Volume 10, Issue 4, August 2022, Pages 115-132

10.22108/amf.2023.135765.1767

Hamed Naderi; Mohammad Ali Rastegar

• View Article
• PDF 1.49 M

Estimation of Value-at-Risk (VaR) through Filtered Historical Simulation (FHS) and Analysis of Risk Spillover in Tehran Stock Exchange (TSE): Evidence from the Groups of Chemical Products and Banks & Credit Institutions

Volume 10, Issue 2, July 2022, Pages 53-80

10.22108/amf.2022.129512.1678

Reza Foroutan; Reza Ramezanian; Majid Mirzaee

• View Article
• PDF 1.89 M

The Effect of Financial Statement Comparability on Idiosyncratic Return Volatility by Emphasis on the Financial Reporting Quality

Volume 9, Issue 3, September 2021, Pages 1-18

10.22108/amf.2020.123782.1554

Majid Hashemi Dehchi; Naser Izadinia; Hadi Amiri

• View Article
• PDF 1.94 M

Asset Risk Behavior in Value and Growth Firms Under Stable and Adverse Market Conditions: Evidence from the Tehran Stock Exchange

Volume 8, Issue 3, June 2020, Pages 1-24

10.22108/amf.2019.115687.1385

Mojtaba Rostami Noroozabad; Abolhassan Jalilvand; Mir Feyz Fallashamss; Ali Saeedi

• View Article
• PDF 1.13 M

Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH)‎

Volume 6, Issue 4, August 2019, Pages 135-154

10.22108/amf.2018.102325.1053

Hassan Karnameh haghighi; Ali Rostami

• View Article
• PDF 761.45 K

The Examination of Relationship between Stock Systematic Risk and Skewness of Returns

Volume 6, Issue 1, May 2018, Pages 1-10

10.22108/amf.2017.21176

Zohreh Hajiha; Fatemeh Safari

• View Article
• PDF 281.64 K

Stress Testing as a Key Tool for Financial Assets Risk Management with Emphasis on Extreme Value Theory and Copula Functions

Volume 6, Issue 3, May 2018, Pages 67-86

10.22108/amf.2018.107070.1177

Alireza Saranj; Marziyeh Nourahmadi

• View Article
• PDF 1.3 M

Decision Making Model under Uncertain and Risky Situations Based on Dynamic Reference Point: Evidences from Tehran Stock Exchange

Volume 5, Issue 2, July 2017, Pages 51-68

10.22108/amf.2017.21573

Reza Tehrani; Asgar Noorbakhsh

• View Article
• PDF 610.76 K

Dynamics of the Relation between Macroeconomic Variables and Stock Market Index

Volume 5, Issue 1, January 2017, Pages 61-82

10.22108/amf.2017.21153

Hossein Abbasinejad; Shapour Mohammadi; Sajad Ebrahimi

• View Article
• PDF 787.24 K

Surveying the Relation among Volume, Stock Return and Return Volatility in the Tehran Stock Exchange: A Wavelet Analysis

Volume 4, Issue 4, January 2017, Pages 99-114

10.22108/amf.2016.21115

Ebrahim Abbasi; Leyla Dehghan nayeri; Nazila Poordadash Mehrabani

• View Article
• PDF 590.47 K

The Impact of Information Asymmetry on the Future Stock Price Crash Risk of Listed Companies in the Tehran Stock Exchange

Volume 4, Issue 3, October 2016, Pages 39-58

10.22108/amf.2016.20646

Behrooz Khodarahmi; Heidar Foroughnejad; Mohammad Javad Sharifi; Alireza Talebi

• View Article
• PDF 669.04 K

Rating Tehran Stock Exchange Industries Based on Risk Criteria from the Perspective of Institutional Investors: A Data Envelopment Analysis Approach

Volume 4, Issue 2, September 2016, Pages 49-64

10.22108/amf.2016.20639

Fereidoun Rahnamaye Roodposhti; Farzaneh Asharion; Hamed Tajmir Riahi

• View Article
• PDF 508.78 K

Using Extreme Value Theory to Estimate Value at Risk (Case Study: Foreign Exchange rate)

Volume 4, Issue 2, September 2016, Pages 77-94

10.22108/amf.2016.20641

Hojjatollah Sadeghi; Saeideh Behboodi

• View Article
• PDF 714.25 K

Artificial Neural Networks versus OLS Regression Models Using Principal Components Analysis in Forecasting Unexpected Returns

Volume 4, Issue 1, June 2016, Pages 1-18

10.22108/amf.2016.20629

Reza Raei; Mahdi Bostanara

• View Article
• PDF 548.55 K

The Impact of Stock Price Synchronicity and Stock Return Volatilities on the Stock Liquidity for Companies Listed in Tehran Stock Exchange

Volume 3, Issue 4, March 2016, Pages 85-98

dariush foroghi; Malihe Farjami

• View Article
• PDF 706.92 K

An Anatomic Study of the Relationship between Stock Return and Idiosyncratic Volatility Evidences from Tehran Stock Exchange

Volume 3, Issue 3, December 2015, Pages 37-48

Maryam Davaloo; Azim Rajabi

• View Article
• PDF 646.55 K

Evaluation of Long Memory in the Volatility of Tehran Stock Exchange

Volume 3, Issue 3, December 2015, Pages 67-82

Akbar Komijani; Esmaeil Naderi; Nadiya Gandali Alikhani

• View Article
• PDF 545.06 K

Forecasting Stock Index with Neural Network and Wavelet Transform

Volume 3, Issue 1, June 2015, Pages 55-74

Reza Raei; Shapour Mohammadi; Hanzaleh Fendereski

• View Article
• PDF 335.21 K

Prediction of Stock Market Returns with out of Sample Data: Evaluating out of Sample Methods (Regression Method and Wavelet Neural Network)

Volume 2, Issue 2, September 2014, Pages 1-16

Meysam Mahmoudiazar; Reza Raei

• View Article
• PDF 452.26 K

Predicting Tehran’s Stock Market Index With Adaptive Nework-Based Fuzzy Inference System (ANFIS)

Volume 1, Issue 1, September 2013, Pages 27-44

Sajad Farazmand; Asadollah Kordnaeij; Asghar Moshabaki

• View Article
• PDF 537.08 K