2 papers
q-fin.ST2020
Non-Extensive Value-at-Risk Estimation During Times of Crisis
Ahmad Hajihasani, Ali Namaki, Nazanin Asadi +1
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at…
q-fin.ST2019
Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices
Somayeh Kokabisaghi, Mohammadesmaeil Ezazi, Reza Tehrani +1
In this paper, we model the impact of oil price volatility on Tehranstock and industry indices in two periods of international sanctions and post-sanction. To analyse the purpose o…