Keyword Index

A

  • American Option Pricing American Option Pricing under Markov-Modulated Pure Jump Processes [Volume 2, Issue 2, 2017, Pages 133-157]
  • ANFIS An ANFIS System for High Frequency Trading using Intraday Seasonality Observation Model [Volume 2, Issue 1, 2017, Pages 80-97]
  • Anomalies CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach [Volume 2, Issue 2, 2017, Pages 179-196]
  • Asset Allocation Asset Allocation Modeling: A Combined Regime-Switching and Black-Litterman Model [Volume 2, Issue 3, 2017, Pages 380-397]
  • Asymmetric Autoregressive Conditional Duration Model Intraday Value at Risk Estimation Based on an Asymmetric Autoregressive Conditional Duration Approach [Volume 2, Issue 3, 2017, Pages 278-296]

B

  • Bank Lending Performance House Prices and Lending Performance of Banks [Volume 2, Issue 2, 2017, Pages 197-224]
  • Bankruptcy prediction models Financial Bankruptcy Risk Prediction Based on Accounting, Market and Hybrid Models by using RBF and MLP Neural Networks Technique in TSE [Volume 2, Issue 3, 2017, Pages 320-339]
  • Bankruptcy Risk The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE [Volume 2, Issue 2, 2017, Pages 158-178]
  • Bank System Impacts of Credit Risk and Liquidity Risk on Performance of Banks [Volume 2, Issue 1, 2017, Pages 22-41]
  • Bayesian Modeling Bayesian Modeling Speculative Bubbles in Iran Stock Market [Volume 2, Issue 2, 2017, Pages 225-241]
  • Behavioral Finance Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange) [Volume 2, Issue 2, 2017, Pages 242-262]
  • Black-Litterman Asset Allocation Modeling: A Combined Regime-Switching and Black-Litterman Model [Volume 2, Issue 3, 2017, Pages 380-397]

C

  • Capital asset pricing CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach [Volume 2, Issue 2, 2017, Pages 179-196]
  • Credit risk Impacts of Credit Risk and Liquidity Risk on Performance of Banks [Volume 2, Issue 1, 2017, Pages 22-41]
  • Credit risk The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE [Volume 2, Issue 2, 2017, Pages 158-178]
  • Cross-Holding Systemic Risk Measures in Financial Markets: Identifying the Systemically Important Companies in TSE [Volume 2, Issue 1, 2017, Pages 1-21]

E

  • Entropy Optimization of Multi-Objective Portfolios Based on Mean, Variance, Entropy and Particle Swarm Algorithm [Volume 2, Issue 3, 2017, Pages 362-379]

F

  • Feedback trading Funds Flow, Market Return and Retail Investors Risk [Volume 2, Issue 1, 2017, Pages 115-132]
  • Financial Bankruptcy Financial Bankruptcy Risk Prediction Based on Accounting, Market and Hybrid Models by using RBF and MLP Neural Networks Technique in TSE [Volume 2, Issue 3, 2017, Pages 320-339]
  • Financial Institutions Deployment of Risk Culture In Financial Institutions [Volume 2, Issue 1, 2017, Pages 42-59]
  • Financial Market Bayesian Modeling Speculative Bubbles in Iran Stock Market [Volume 2, Issue 2, 2017, Pages 225-241]
  • Finite difference method American Option Pricing under Markov-Modulated Pure Jump Processes [Volume 2, Issue 2, 2017, Pages 133-157]
  • Firm Life Cycle Firm Life Cycle and Stock Price Crash and Jump Risk [Volume 2, Issue 1, 2017, Pages 98-114]
  • Fractional Integration Empirical Study on the Existence of Long-term Memory in TSE Returns [Volume 2, Issue 3, 2017, Pages 398-425]
  • Fund flows Funds Flow, Market Return and Retail Investors Risk [Volume 2, Issue 1, 2017, Pages 115-132]

G

  • GARCH-COPULA The Impact of the Investment Horizon in Optimizing Portfolio using Wavelet and GARCH-COPULA [Volume 2, Issue 3, 2017, Pages 340-361]

H

  • High-Frequency Data Intraday Value at Risk Estimation Based on an Asymmetric Autoregressive Conditional Duration Approach [Volume 2, Issue 3, 2017, Pages 278-296]
  • High-frequency trading (HFT) An ANFIS System for High Frequency Trading using Intraday Seasonality Observation Model [Volume 2, Issue 1, 2017, Pages 80-97]
  • Housing Prices House Prices and Lending Performance of Banks [Volume 2, Issue 2, 2017, Pages 197-224]

I

  • Interconnectedness Systemic Risk Measures in Financial Markets: Identifying the Systemically Important Companies in TSE [Volume 2, Issue 1, 2017, Pages 1-21]
  • Intraday Value-At-Risk Intraday Value at Risk Estimation Based on an Asymmetric Autoregressive Conditional Duration Approach [Volume 2, Issue 3, 2017, Pages 278-296]

L

  • Leverage Ratio The Impact of Intellectual Capital on the Financial Performance of Banks in Iran [Volume 2, Issue 1, 2017, Pages 60-79]
  • Linear Capital Asset Pricing Model Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE [Volume 2, Issue 2, 2017, Pages 263-277]
  • Liquidity risk Impacts of Credit Risk and Liquidity Risk on Performance of Banks [Volume 2, Issue 1, 2017, Pages 22-41]
  • Loan Behavior House Prices and Lending Performance of Banks [Volume 2, Issue 2, 2017, Pages 197-224]
  • Long Memory Empirical Study on the Existence of Long-term Memory in TSE Returns [Volume 2, Issue 3, 2017, Pages 398-425]

M

  • Market Anomaly Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange) [Volume 2, Issue 2, 2017, Pages 242-262]
  • Market Tension Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange) [Volume 2, Issue 2, 2017, Pages 242-262]
  • Monthly Effect Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange) [Volume 2, Issue 2, 2017, Pages 242-262]
  • Multi-Objective Optimization Optimization of Multi-Objective Portfolios Based on Mean, Variance, Entropy and Particle Swarm Algorithm [Volume 2, Issue 3, 2017, Pages 362-379]
  • Mutual Funds Funds Flow, Market Return and Retail Investors Risk [Volume 2, Issue 1, 2017, Pages 115-132]
  • Mutual Funds Presenting a Model for Measuring Predictability Strength and the Relationship of Stock Index Return and Mutual Fund Flow [Volume 2, Issue 3, 2017, Pages 297-319]

N

  • Network Theory Systemic Risk Measures in Financial Markets: Identifying the Systemically Important Companies in TSE [Volume 2, Issue 1, 2017, Pages 1-21]
  • Neural Networks Financial Bankruptcy Risk Prediction Based on Accounting, Market and Hybrid Models by using RBF and MLP Neural Networks Technique in TSE [Volume 2, Issue 3, 2017, Pages 320-339]
  • Neuro-fuzzy network An ANFIS System for High Frequency Trading using Intraday Seasonality Observation Model [Volume 2, Issue 1, 2017, Pages 80-97]
  • Nonlinear Capital Asset Pricing Model Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE [Volume 2, Issue 2, 2017, Pages 263-277]
  • Nonperforming Loan House Prices and Lending Performance of Banks [Volume 2, Issue 2, 2017, Pages 197-224]

O

  • Off-balance Sheet Activities The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE [Volume 2, Issue 2, 2017, Pages 158-178]
  • Organizational Culture Deployment of Risk Culture In Financial Institutions [Volume 2, Issue 1, 2017, Pages 42-59]

P

  • Particle Swarm Method Optimization of Multi-Objective Portfolios Based on Mean, Variance, Entropy and Particle Swarm Algorithm [Volume 2, Issue 3, 2017, Pages 362-379]
  • Price pressure Funds Flow, Market Return and Retail Investors Risk [Volume 2, Issue 1, 2017, Pages 115-132]
  • Profitability Impacts of Credit Risk and Liquidity Risk on Performance of Banks [Volume 2, Issue 1, 2017, Pages 22-41]
  • Pure Jump Process American Option Pricing under Markov-Modulated Pure Jump Processes [Volume 2, Issue 2, 2017, Pages 133-157]

R

  • Regime Switching Asset Allocation Modeling: A Combined Regime-Switching and Black-Litterman Model [Volume 2, Issue 3, 2017, Pages 380-397]
  • Regime Switching Process American Option Pricing under Markov-Modulated Pure Jump Processes [Volume 2, Issue 2, 2017, Pages 133-157]
  • Return on Assets The Impact of Intellectual Capital on the Financial Performance of Banks in Iran [Volume 2, Issue 1, 2017, Pages 60-79]
  • Risk Culture Deployment of Risk Culture In Financial Institutions [Volume 2, Issue 1, 2017, Pages 42-59]
  • Risk Management Deployment of Risk Culture In Financial Institutions [Volume 2, Issue 1, 2017, Pages 42-59]

S

  • Security Selection Asset Allocation Modeling: A Combined Regime-Switching and Black-Litterman Model [Volume 2, Issue 3, 2017, Pages 380-397]
  • Speculative Bubble Bayesian Modeling Speculative Bubbles in Iran Stock Market [Volume 2, Issue 2, 2017, Pages 225-241]
  • Spillover Effect Presenting a Model for Measuring Predictability Strength and the Relationship of Stock Index Return and Mutual Fund Flow [Volume 2, Issue 3, 2017, Pages 297-319]
  • Stock Exchange Empirical Study on the Existence of Long-term Memory in TSE Returns [Volume 2, Issue 3, 2017, Pages 398-425]
  • Stock market return Funds Flow, Market Return and Retail Investors Risk [Volume 2, Issue 1, 2017, Pages 115-132]
  • Stock Price Crash Risk Firm Life Cycle and Stock Price Crash and Jump Risk [Volume 2, Issue 1, 2017, Pages 98-114]
  • Stock Price Jump Risk Firm Life Cycle and Stock Price Crash and Jump Risk [Volume 2, Issue 1, 2017, Pages 98-114]

T

  • The hierarchical Bayesian CAPM Anomalies Analysis in Respect of Hierarchical Bayesian Approach [Volume 2, Issue 2, 2017, Pages 179-196]
  • Threshold regression Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE [Volume 2, Issue 2, 2017, Pages 263-277]
  • Time-space-frequency Analysis Studying Investors Behavior and Monthly Effect Using Time-space-frequency Analysis (Case Study: Tehran Stock Exchange) [Volume 2, Issue 2, 2017, Pages 242-262]
  • Time-Varying Beta Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE [Volume 2, Issue 2, 2017, Pages 263-277]
  • Total Risk The Impact of Off-balance-sheet Activities on the Risk of Banks Listed in TSE [Volume 2, Issue 2, 2017, Pages 158-178]

V

  • Value Added The Impact of Intellectual Capital on the Financial Performance of Banks in Iran [Volume 2, Issue 1, 2017, Pages 60-79]
  • Vector Autoregression (VAR) Presenting a Model for Measuring Predictability Strength and the Relationship of Stock Index Return and Mutual Fund Flow [Volume 2, Issue 3, 2017, Pages 297-319]
  • Volatility Model An ANFIS System for High Frequency Trading using Intraday Seasonality Observation Model [Volume 2, Issue 1, 2017, Pages 80-97]

W

  • Wavelet The Impact of the Investment Horizon in Optimizing Portfolio using Wavelet and GARCH-COPULA [Volume 2, Issue 3, 2017, Pages 340-361]