Modeling the Volatility of the Iranian Asset Markets Using Factor Multivariate Stochastic Volatility Model

Using the monthly data of the returns of 5 assets during 05/31/2011 to 02/28/2021, the volatilities of Iranian asset markets have been modeled in this paper. Factor multivariate stochastic volatility model in the framework of space-state approach is the basis for decomposing the asset market volatil...

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Principais autores:	reza Taleblou, Parisa Mohajeri
פורמט:	Artigo
שפה:	Persa
יצא לאור:	Semnan University 2021-08-01
סדרה:	مدلسازی اقتصادسنجی
נושאים:	asset markets factor stochastic volatility bayesian approach space-state model heteroskedasticity dynamic correlation
גישה מקוונת:	https://jem.semnan.ac.ir/article_5734_ebd19dae16420e205808a75e993a9db9.pdf
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