Sirous Soleyman, Ali Falahati, Alireza Rostami,
Volume 7, Issue 25 (10-2016)
Abstract
In this study by using Markov Regime Switching Heteroscedasticity Models (MRSH) in the form of state-space model the behavior of stock returns is examined. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the permanent and transitory component of stock returns. The period of the study is the fourth month of 2000 to the seventh month of 2013. The durations of the high-variance regimes for permanent components short-lived and revert to normal levels quickly and low variance regime for this components is more lasting, but durations of high-variance regime for transitory component is reverse. Also, in during periods of study low variance regime is dominant by a permanent component of stock returns but for the transitory component the high variance state is true captured.
Hamidreza Izadbakhsh, Ahmad Soleymanzadeh, Hamed Davari Ardakani, Marzieh Zarinbal,
Volume 8, Issue 29 (10-2017)
Abstract
Since pension funds are among the most important and effective organizations in economic and social environments, it is critical to study their problems ahead. Asset and liability management (ALM) is a useful tool to study pension funds and their stakeholders. This paper tries to understand the key factors effecting on ALM and to analyze them using system dynamics. Fuzzy inference engine is also used to quantify the important risks in ALM. Results show that considering ALM and stakeholders’ benefits as whole and paying attention to risk factors such as changing population are the key factors for successful ALM.
