The dynamics of the beta coefficient of stock prediction in the framework of structural macroeconomic models

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Kaviani Meisam

Educational Videos and Scientific Workshops

Scientific Information Database

ISSN: 2588-4824

Journal Paper

Paper Information

Journal: DECISIONS AND OPERATIONS RESEARCH Year:2019 | Volume:4 | Issue:Special Issue 1 Page(s): 41-61

Download Full-Text

Persian Verion

View:

457

Download:

Cites:

Information Journal Paper

Title

The dynamics of the beta coefficient of stock prediction in the framework of structural macroeconomic models

Author(s)

Kaviani Meisam | Issue Writer Certificate

Keywords

Shock

Economic variables

Prediction

DSGE

PVAR

Abstract

The present research is aimed at predicting the beta coefficient (systematic risk) Prediction dynamics within the framework of two macroeconomic structural models, the model in the framework of Dynamic stochastic general equilibrium (DSGE) and Panel Vector Autoregressive (PVAR) with the inclusion of financial data of companies and Some of the facts observed in the Iranian economy during the 15-year period (2002-2016). The results of the research show that economic Shocks affect the beta coefficient of the stock. Also, in three approaches to predict stock beta coefficient, the VAR model has a lower error than the DSGE model. Finally, by comparing the moments of the present variables in the DSGE model and the real data of Iran's real moments, it shows the relative success of this model in the realities of Iran's economy.

Cites

No record.

References

No record.

Cite

APA: Copy

Kaviani, Meisam. (2019). The dynamics of the beta coefficient of stock prediction in the framework of structural macroeconomic models. DECISIONS AND OPERATIONS RESEARCH, 4(Special Issue 1 ), 41-61. SID. https://sid.ir/paper/268874/en

Vancouver: Copy

Kaviani Meisam. The dynamics of the beta coefficient of stock prediction in the framework of structural macroeconomic models. DECISIONS AND OPERATIONS RESEARCH[Internet]. 2019;4(Special Issue 1 ):41-61. Available from: https://sid.ir/paper/268874/en

IEEE: Copy

Meisam Kaviani, “The dynamics of the beta coefficient of stock prediction in the framework of structural macroeconomic models,” DECISIONS AND OPERATIONS RESEARCH, vol. 4, no. Special Issue 1 , pp. 41–61, 2019, [Online]. Available: https://sid.ir/paper/268874/en

Related Journal Papers

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops

Download

Move to top

وبگردی