Effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock Exchange Index: A copula based approach

Subject Areas : Journal of Investment Knowledge

Mahdi  Salehi ¹ (Assistant Professor , accounting department , ferdowsi university of Mashhad)
Samaneh  Zamani Moghadam ² (Msc in accounting – Islamic Azad university , Birjand sciences and research Branch)
Sadegh  Nekooei ³ (Msc in financial management – Islamc Azad university , Ayatollah Amoli sciences and reseach Branch)

Received: 2015-02-21 Accepted : 2015-05-29 Published : 2015-05-29

Keywords: long memory, dependence structure, copula,

Abstract :

During the last decade crucial part of the analyzing the time series has devoted to the long memory. Existence of long memory in output of possession has significant application for investing in efficiency of market, Pricing the differential paper, and selecting the possessions basket. In our research the effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock exchange index. First the existence of long memory ARFIMA test review and continue to understand the impact of long memory on the dependence structure of two types, raw data and filtered data (Dollar exchange rate variability data and index Petroleum for the period from 2009-2013) have been used. The result showed that the raw data has a long memory, than the tail dependent data are filtered.