استفاده از رویکرد بیزی برای مطالعه همبستگی متغیر با زمان میان شاخص‎های منتخب بورس اوراق بهادار تهران

حیدری، حسن؛ ملابهرامی، احمد (1389). بهینه‎سازی سبد سرمایه‎گذاری سهام بر اساس مدل‎های چند متغیره GARCH: شواهدی از بورس اوراق بهادار تهران. تحقیقات مالی، 12 (30)، 35-56.

رستمی، محمدرضا؛ حقیقی، فاطمه (1392). مقایسه عملکرد مدل‎های GARCH چندمتغیره در تعیین ریسک پرتفوی. تحقیقات مالی، 15 (2)، 215-228.

شهیکی تاش، محمدنبی؛ میرباقری جم، محمد (1394). بررسی همبستگی نامتقارن بین بازده سهام، حجم معاملات و تلاطم بازار سهام تهران (رویکرد DCC-GARCH)‏. فصلنامه تحقیقات اقتصادی، 50 (2)، 359-387.

کرمی، سپیده؛ رستگار، محمدعلی (1397). تخمین اثر سرریز بازده و نوسانات صنایع مختلف بر روی یکدیگر در بازار بورس تهران. فصلنامه مهندسی مالی و مدیریت اوراق بهادار، 9 (35)، 323-342.

نصراللهی، زهرا؛ طیبی، راضیه؛ فتوت، آزاده؛ اسکندری‎پور، زهره (1397). بررسی سرایت نوسان بین بازارهای بورس ایران، هند و ترکیه با استفاده از مدل گارچ بک. پژوهش‎های اقتصاد پولی، مالی، 25 (15)، 77-92.

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