12 citations · 32 across the 26 of their papers we have counts for
5 papers · 1 filter
A Rational Finance Explanation of the Stock Predictability Puzzle
Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistic…
A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index
Abootaleb Shirvani, Dimitri Volchenkov
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of tha…
Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function
Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev +1
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by i…
Equity Premium Puzzle or Faulty Economic Modelling?
Abootaleb Shirvani, Stoyan V. Stoyanov, Frank J. Fabozzi +1
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a mo…
Multiple Subordinated Modeling of Asset Returns
Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi
Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern…