Forecasting of CVaR based on intraday trading in Tehran ETFs: The approach of heterogeneous autoregression models
Purpose: This study examines the accuracy of Heterogeneous Autoregressive (HAR) models in forecasting the Conditional Value-at-Risk (CVaR) of Exchange-Traded Funds (ETFs) on the Tehran Stock Exchange. The significance of this study stems from the need for better risk management in financial markets,...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Ayandegan Institute of Higher Education, Tonekabon,
2024-12-01
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| Series: | تصمیم گیری و تحقیق در عملیات |
| Subjects: | |
| Online Access: | https://www.journal-dmor.ir/article_212360_fcf1ada6c8ed4dbe45863b0d9b964c20.pdf |
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