Financial Research Journal - Articles List

Keywords = Kalman Filter

Application of Kalman Filter to Estimate Dynamic Hedge Ratio in Pairs Trading Strategy: A Case Study of the Automobile Industry

Volume 25, Issue 1, 2023, Pages 63-87

10.22059/frj.2021.325988.1007206

Mohammad Javad Nourahmadi; Marziyeh Norahmadi

Creating an Index to Measure Financial Uncertainty Using the Fama-French Five-factor Model in State Space by the Kalman Filter Algorithm

Volume 24, Issue 2, 2022, Pages 307-328

10.22059/frj.2022.333142.1007254

Kaoos Mohammadzadeh; Mehdi Heydari

Static & Dynamic Models & Stock Market Efficiency Evaluation of T.S.E. Listed Companies’

Volume 22, Issue 4, 2021, Pages 476-495

10.22059/frj.2020.300741.1007011

Hanieh Hekmat; Ali Rahmani; Mahnaz Mola Nazari; Mir Hossein Mosavi; Hasan Ghalibaf Asl

The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

Volume 17, Issue 1, April 2015, Pages 1-20

10.22059/jfr.2015.51914

Hojjatollah Bagherzadeh; Ali Asghar Salem

Financial Research Journal

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