How to cite this paper
Pakray, F & Madrakian, H. (2015). A comparative study on value at risk versus TEFIX 30: Evidence from Tehran Stock Exchange.Management Science Letters , 5(12), 1067-1070.
Refrences
Adabi Firouzjaee, B., Mehrara, M., & Mohammadi, S. (2015). Evaluation approaches of value at risk for Tehran Stock Exchange. Iranian Economic Review, 19(1), 41-62.
Ahmadi, M & Baghani, A. (2015). Analysts & apos; use of earnings forecasts in predicting stock returns: Forecast horizon effects. Management Science Letters, 5(6), 531-536.
Aloui, C., & Mabrouk, S. (2010). Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models.Energy Policy, 38(5), 2326-2339.
Dose, C., & Cincotti, S. (2005). Clustering of financial time series with application to index and enhanced index tracking portfolio. Physica A: Statistical Mechanics and its Applications, 355(1), 145-151.
Gilli, M., & Këllezi, E. (2002). The threshold accepting heuristic for index tracking. In Financial Engineering, E-Commerce and Supply Chain (pp. 1-18). Springer US.
Hosseini, S., Moradifard, A., & Sabzzadeh, K. (2013). Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach. International Journal of Industrial Engineering Computations, 4(1), 155-164.
Maringer, D., & Oyewumi, O. (2007). Index tracking with constrained portfolios.Intelligent Systems in Accounting, Finance and Management, 15(1?2), 57-71.
Molodpoor, A & Darabi, R. (2015). The impact of economic fluctuations on earnings forecast. Management Science Letters, 5(7), 679-684.
Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471.
Rounaghi, M. M., Abbaszadeh, M. R., & Arashi, M. (2015). Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique.Physica A: Statistical Mechanics and its Applications, 438, 625-633.
Vasicek, O. (2002). The distribution of loan portfolio value. Risk, 15(12), 160-162.
Ahmadi, M & Baghani, A. (2015). Analysts & apos; use of earnings forecasts in predicting stock returns: Forecast horizon effects. Management Science Letters, 5(6), 531-536.
Aloui, C., & Mabrouk, S. (2010). Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models.Energy Policy, 38(5), 2326-2339.
Dose, C., & Cincotti, S. (2005). Clustering of financial time series with application to index and enhanced index tracking portfolio. Physica A: Statistical Mechanics and its Applications, 355(1), 145-151.
Gilli, M., & Këllezi, E. (2002). The threshold accepting heuristic for index tracking. In Financial Engineering, E-Commerce and Supply Chain (pp. 1-18). Springer US.
Hosseini, S., Moradifard, A., & Sabzzadeh, K. (2013). Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach. International Journal of Industrial Engineering Computations, 4(1), 155-164.
Maringer, D., & Oyewumi, O. (2007). Index tracking with constrained portfolios.Intelligent Systems in Accounting, Finance and Management, 15(1?2), 57-71.
Molodpoor, A & Darabi, R. (2015). The impact of economic fluctuations on earnings forecast. Management Science Letters, 5(7), 679-684.
Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471.
Rounaghi, M. M., Abbaszadeh, M. R., & Arashi, M. (2015). Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique.Physica A: Statistical Mechanics and its Applications, 438, 625-633.
Vasicek, O. (2002). The distribution of loan portfolio value. Risk, 15(12), 160-162.