عملکرد مدل‏ نیمه‌پارامتریک قیمت‌گذاری دارایی در بورس اوراق بهادار تهران

References

Asima, M., Ali Abbaszade Asl, A. (2017). Does Time-Varying Beta Improve Asset Pricing? Evidence from TSE. Journal of Risk modeling and Financial Engineering, 2(2), 263-277. (in Persian)

Asima, M., Ali Abbaszadeh Asl, A. (2016). A Comparison between Performance of Linear and Nonlinear Capital Asset Pricing Models in TSE. Journal of Risk modeling and Financial Engineering, 1(1), 114-128. (in Persian)

Asima, M., Ali Abbaszadeh Asl, A. (2019). Developing a Hybrid Model to Estimate Expected Return Based on Genetic Algorithm. Financial Research Journal, 21(1), 101-120.
(in Persian)

Bansal, R. & Viswanathan, S. (1993). No Arbitrage and Arbitrage Pricing: A New Approach. Journal of finance, 48(4), 1231-1262.

Bansal, R., Hsieh, D.A. Viswanathan, S. (1993). A New Approach to International Arbitrage Pricing. Journal of Finance, 48(5), 1719-1747.

Blundell, R. & Duncan, A. (1991). Kernel Regression in Empirical Microeconomics. The Journal of Human Resources, (33), 62-87.

Cai, Z., Ren, Y. & Yang, B. (2015). A Semiparametric Conditional Capital Asset Pricing Model. Journal of Banking and Finance, (61), 117-126.

Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57-82.

Chapman, D. (1997). Approximating the Asset Pricing Kernel. Journal of Finance, 52(4), 1383-1410.

Dittmar, R. (2002). Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns. Journal of Finance, 57(1), 369-403.

Erdos, P., Ormos, M., Zibriczky, D. (2011). Nonparametric and Semiparametric asset pricing. Journal of Economic Modelling, 28(3), 1150-1162.

Eyvazlu, R., Ghahramani, A. & Ajam, A. (2017). Analyzing the Performance of Fama and French Five-factor Model Using GRS Test. Financial Research Journal, 18(4), 691-714.
(in Persian)

Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116(1), 1-22.

Fama, E.F., French, K.R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84.

Fan, J., Yao, Q. (2003). Nonlinear Time Series: Nonparametric and Parametric Methods. New York, Springer-Verlag.

Ferreira, E., Gil-Bazo, J., Orbe, S. (2008). Nonparametric Estimation of Conditional Beta Pricing Models. Working Paper.

Gomez-Gonzalez, J.E., Sanabria-Buenaventura, E.M. (2014). Nonparametric and Semiparametric Asset Pricing: An Application to the Colombian Stock Exchange. Journal of Economic Systems, 38(2), 261-268.

Haqiqi, F. & Rostami, M.R. (2013). Parametric Versus Semi Parametric VaR Models: A Comparative Approach, Journal of Securities Exchange, 6(22), 139-159. (in Persian)

Hardle, W., Muller, M., Sperlich, S., Werwatz, A. (2004). Springer series in statistics: Nonparametric and Semiparametric models. Springer -Verlag.

Lintner, J. (1965). The valuation of risk assets on the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37.

Massin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 468-483.

Merton, R.C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, 41(5), 867-887.

Nadaraya, E.A. (1964). On Estimating Regression. Theory of Probability and its Application, 9(1), 141-142.

Ramsey, J. B. (1969). Tests for specification errors in classical linear least-squares regression analysis. Journal of the Royal Statistical Society. Series B (Methodological), 31(2), 350-371.

Ross, S.A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360.

Sharpe, W.f. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-442.

Stapleton, R.C. & Subrahmanyam, M.G. (1986). The Market Model and Capital Asset Pricing Theory: a note. Journal of Finance, 38(5), 1637-1642.

Tehrani, R., Mohammadi, S. & Pour Ebrahimi, M. (2011). Modeling and forecasting volatility of return in Tehran Stock Exchange. Journal of Financial Research, 12(30), 23-34.
(in Persian)

Tsay, R. (2010). Analysis of Financial Time Series. John Wiley & Sons.

Watson, G.S. (1964). Smooth Regression Analysis. Sankhya series, 26(4), 359-372.

Yang, L., & Hamori, S. (2020). Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. Energies, 13(14), 3700.