Forecasting of CVaR based on intraday trading in Tehran ETFs: The approach of heterogeneous autoregression models

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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Bibliographic Details
Main Authors: Shiva Hallaji, Mahdi Madanchi Zaj, Fereydon Ohadi, Hamidreza Vakilifard
Format: Article
Language:fas
Published: Ayandegan Institute of Higher Education, Tonekabon, 2024-12-01
Series:تصمیم گیری و تحقیق در عملیات
Subjects:
forecasting
cvar
heterogeneous regression
Online Access:https://www.journal-dmor.ir/article_212360_fcf1ada6c8ed4dbe45863b0d9b964c20.pdf
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