Systemic Risk Analysis in Selected Industries of Tehran Stock Exchange: A Multivariate Quantile Regression Approach
This study examines the impact of a negative shock-attributed to a systemic risk-on the industrial indexes of the Tehran stock market using daily data form 21 January, 2008 to 22 September, 2017. Using a Vector Autoregressive for Value at Risk (VAR-VaR) and a quantile Impulse-response function that...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2018-12-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_10146_206a4bb8685042c7dca2c099d992ee5b.pdf |