الملخص
The modeling of strategies for buying and selling in Stock Market Investment has been the object of numerous advances and uses in economic studies, both theoretically and empirically. One of the popular models in economic studies is applying the Markov Switching models for forecasting the time series observations based on stock prices. The semi-parametric estimators for these models are a class of popular methods that have been used extensively by researchers to increase the accuracy of estimation. The main part of these estimators is based on kernel functions. Despite the existence of many kernel functions that are capable in applications for forecasting the stock prices, there is a widely use of Gaussian kernel in these estimators. But there is a question if other types of kernel function can be used in these estimators. This paper tries to introduce the other kernel functions that can be a good replacement for this kernel function to increase the ability of Markov Switching models. We first test six popular kernel functions to find the best one based on simulation studies and then offer the new strategy of buying and selling stocks by the best kernel function selection on real data.
الكلمات المفتاحية
الموضوع
بيانات النشر
- المعرّف الرقمي
- 10.30699/ijf.2021.273273.1200
- المجلة
- Iranian Journal of Finance, 5(3), 108-126
- الناشر
- Iran Finance Association
- وصول مفتوح
- وصول مفتوح ذهبي
- الترخيص
- CC BY 4.0
اقتبس هذه المقالة
APA 7
Naderi, H., Ghanbari, M., Navid, B. J., & Nademi, A. (2021). Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models. Iranian Journal of Finance, 5(3), 108-126. https://doi.org/10.30699/ijf.2021.273273.1200
MLA 9
Naderi, Hossein, et al. "Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models." Iranian Journal of Finance, vol. 5, no. 3, 2021, pp. 108-126. https://doi.org/10.30699/ijf.2021.273273.1200.
شيكاغو (المؤلف–التاريخ)
Naderi, Hossein, Mehrdad Ghanbari, Babak Jamshidi Navid, and Arash Nademi. 2021. "Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models." Iranian Journal of Finance 5 (3): 108-126. https://doi.org/10.30699/ijf.2021.273273.1200.
هارفارد
Naderi, H., Ghanbari, M., Navid, B. J. and Nademi, A. (2021) 'Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models', Iranian Journal of Finance, 5(3), pp. 108-126. doi:10.30699/ijf.2021.273273.1200.
فانكوفر
Naderi H, Ghanbari M, Navid BJ, Nademi A. Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models. Iranian Journal of Finance. 2021;5(3):108-126. doi:10.30699/ijf.2021.273273.1200
IEEE
H. Naderi, M. Ghanbari, B. J. Navid, and A. Nademi, "Developing a Strategy for Buying and Selling Stocks Based on Semi-Parametric Markov Switching Time Series Models," Iranian Journal of Finance, vol. 5, no. 3, pp. 108-126, 2021, doi: 10.30699/ijf.2021.273273.1200.