Title : ( Forecasting Tehran Stock Exchange Return; Kalman Filter Approach )
Authors: moheb alah motahari , Mohammad Reza Lotfalipour ,
Full TextAbstract
Return forecasting is an important topic in stock markets. The aim of this paper is forecasting return of Tehran Stock Exchange with Kalman Filter approach. Also, we tested efficiency hypothesis in Tehran Stock Exchange. Results indicate that TSE is inefficient market. So, investors can use forecast return based on historical data of return
Keywords
, Forecasting, Tehran Stock Exchange, Return, Conditional, Kalman Filter
@article{paperid:1036401,
author = {Motahari, Moheb Alah and Lotfalipour, Mohammad Reza},
title = {Forecasting Tehran Stock Exchange Return; Kalman Filter Approach},
journal = {Journal of Basic and Applied Scientific Research},
year = {2012},
volume = {6},
number = {2},
month = {May},
issn = {2090-4304},
pages = {6041--6046},
numpages = {5},
keywords = {Forecasting; Tehran Stock Exchange;Return; Conditional;Kalman Filter},
}
%0 Journal Article
%T Forecasting Tehran Stock Exchange Return; Kalman Filter Approach
%A Motahari, Moheb Alah
%A Lotfalipour, Mohammad Reza
%J Journal of Basic and Applied Scientific Research
%@ 2090-4304
%D 2012
