Creating an Index to Measure Financial Uncertainty Using the Fama-French Five-factor Model in State Space by the Kalman Filter Algorithm
Objective: The primary purpose of this study is to quantify uncertainty and consequently develop an indicator of financial uncertainty for the Tehran Stock Exchange (TSE). Since paying attention to uncertainty is of importance in the development of economics and management, it is worth acquiring a d...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2022-08-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_88756_a3bc0a3932adab30853d509fef4b0ba6.pdf |