Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model
The present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systematic risk index is estimated using the ARFIMA-FIGARCH model. Then, based on the re...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2017-12-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_536263_2ba5b3fabdcb027607ad1b72be31c218.pdf |