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  Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio

  Writer : Mahboubi Zadeh، Shaghayegh ؛ Corresponding Author : Ghalibaf Asl، Hassan ؛

  Journal:Iranian Journal of Finance»Winter 2021, Volume 5 - Number 1 Ranking ب (Ministry of Science (‎30 page(s) - From 61 to 90 )

  Keywords:Markov Switching Modelportfolio optimizationValue at Risk (VaR)ARFIMA- GARCH FamilyMSR-FIEGARCH

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