محاسبۀ فاصلۀ اطمینان و ارزیابی دقت ارزش در معرض خطر محاسبه‎شده با مدل مارکف سوئیچینگ گارچ در بورس اوراق بهادار تهران

Abad, P., Benito, S. & López, C. (2014). A comprehensive review of Value at Risk methodologies. The Spanish Review of Financial Economics, 12(1), 15-32.

Alexander, C. & Lazar, E. (2006). Normal mixture GARCH (1, 1): Applications to exchange rate modelling. Journal of Applied Econometrics, 21(3), 307-336.

Ardia, D. (2009). Bayesian estimation of a Markov‐switching threshold asymmetric GARCH model with Student‐t innovations. The Econometrics Journal, 12(1), 105-126.

Barone‐Adesi, G. & Giannopoulos, K. (2001). Non parametric var techniques. myths and realities. Economic Notes, 30(2), 167-181.

Bauwens, L., & Storti, G. (2009). A component GARCH model with time varying weights. Studies in Nonlinear Dynamics & Econometrics, 13(2).

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.

Cao, R., Febrerobande, M., González-Manteiga, W., Prada-Sánchez, J. M. & Garcfa-Jurado, I. (1997). Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive process. Communications in Statistics-Simulation and Computation, 26(3), 961-978.

Chappell, D. & Dowd, K. (1999). Confidence intervals for VaR. Financial Engineering News, 9, 1-2.

Christoffersen, P. & Gonçalves, S. (2004). Estimation risk in financial risk management. CIRANO.

Christoffersen, P. F. (1998). Evaluating interval forecasts. International economic review, 39(4), 841-862.

Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica. Journal of the Econometric Society, 987-1007.

Gray, S. F. (1996). Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics, 42(1), 27-62.

Haas, M., Mittnik, S., & Paolella, M. S. (2004). A new approach to Markov-switching GARCH models. Journal of Financial Econometrics, 2(4), 493-530.

Hamilton, J. D., Susmel, R. (1994). Autoregressive Conditional Heteroskedasticity and changes in regimes. Journal of Econometrics, 64(1-2), 307-333.

Jorion, P. (1996). Risk2: Measuring the risk in value at risk. Financial Analysts Journal,  52(6), 47-56.