تحلیل رفتار متغیر تلاطم تحقق‎یافته در بورس اوراق بهادار تهران مبتنی بر رهیافت مدل‎های خودرگرسیونی ناهمگن

ابونوری، اسمعیل؛ عبداللهی، محمدرضا (1391). مدل‎سازی نوسانات بخش‎های مختلف بازار سهام ایران با استفاده از مدل گارچ چندمتغیره. فصلنامه تحقیقات مالی، 14(1)، 1-16.

سید حسینی، سیدمحمد؛ ابراهیمی، سید بابک (1392). مدل‎سازی مقایسه‎ای سرایت تلاطم با در نظرگرفتن اثر حافظه بلندمدت (مطالعه موردی: سه شاخص منتخب صنایع). فصلنامه تحقیقات مالی، 15(1)، 51-74.

کشاورز حداد، غلامرضا؛ بابایی، آرش (1390). مدل‎سازی تلاطم بازده نقدی در بورس سهام تهران با استفاده از داده‎های پانل و مدل GARCH.فصلنامه تحقیقات مالی، 13(31)، 41-72.

نبوی چاشمی، سید علی؛ مختاری نژاد، ماریه (1395) مقایسه مدل‎های حرکت براونی و براونی کسری و گارچ در برآورد نوسانات بازده سهام.مجلهمهندسیمالیومدیریتاوراقبهادار، 29(3)، 25-44.

 

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