Modeling the Dynamic Financial Condition Index (FCI) and Assessing Its Effectiveness in Predicting Iran’s Stock Returns
This paper used a factor-augmented vector autoregressive model with time-varying coefficients to construct a financial conditions index. Time variation in the model’s parameters allowed the weights to be attached to each variable in the index to evolve and evaluate dynamics across time. The ability...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | fas |
| Published: |
University of Isfahan
2022-03-01
|
| Series: | Journal of Asset Management and Financing |
| Subjects: | |
| Online Access: | https://amf.ui.ac.ir/article_26718_d48a8737c9f2ea8a87ad694abd473dc2.pdf |