Risk Evaluation of Banking Index with Volatility Estimation through Stochastic Volatility Model: A Semiparametric Bayesian Approach
Estimation of the return distribution has a crucial role in Risk measurement and since the precision of risk measures depends on the precision of the return distribution, truly estimation of return distribution has attracted a huge attention. Although using Stochastic Volatility models with parametr...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2017-04-01
|
| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_64229_19bfd53d0374ab2500ec19856b7dfc61.pdf |