مدل‌سازی بازه بیشترین قیمت ـ کمترین قیمت سهام: رویکرد VAR هم‌انباشته کسری (FCVAR)

برزین‌پور، فرناز؛ ابراهیمی، سید بابک؛ هاشمی‌نژاد، سید محمد و نصر اصفهانی، حامد (1390). مقایسه دقت مدل‌های فراابتکاری و اقتصادسنجی در پیش‌بینی سری‌های زمانی مالی دارای حافظه بلندمدت (مطالعه‌ی موردی؛ شاخص سهام صنعت سیمان در ایران). تحقیقات مالی، 13(31)، 1-22.

حسینی، علی؛ صالحی، مهدی؛ موسوی شیری، سید محمود و غلام‌زاده، علیرضا (1392). تخمین پارامتر انباشتگی کسری حافظه سری زمانی قیمت گروه فلزات اساسی در بورس اوراق بهادار تهران با استفاده از روش‌های نوین اقتصادسنجی. بورس اوراق بهادار، 24(6)، 103-121.

دموری، داریوش و میرزاد، نگار (1397). بررسی حافظه بلندمدت در نوسانات پویا: رابطه بین بازده سهام و نرخ ارز. مدیریت دارایی و تأمین مالی، 6(3)، 147-164.

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

محمدی، شاپور و چیت‌سازان، هستی (1390). بررسی حافظه بلندمدت بورس اوراق بهادار تهران. تحقیقات اقتصادی، 46(4)، 207-226.

مرادی، مهدی و اسماعیل‌پور، مصطفی (1397). بررسی حافظه بلندمدت شاخص بورس اوراق بهادار تهران. اقتصاد پولی مالی، 25(15)، 21-48.

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