نوامبر 24, 2020

پژوهش – مدلسازی نوسانات بازار سهام ایران با استفاده از مدل گارچ چند متغیره- …

Brooks, C. and Henry, O. T. (2000), Linear and Non-linear Transmission of
Equity Return volatility: evidence from the US, Japan and Australia, Economic Modelling, vol. 17, pp. 497-513.
Calvo, S. and C. Reinhart, (1996).Capital Flows to Latin America: Is There Evidence of Contagion Effect? in Private Capital Flows to Emerging Markets After the Mexican Crisis (G.A. Calvo, M. Goldstein and E. Hochreiter, eds.), Institute for International Economics, Washington, D.C.
Chou, R. Y. Lin, J. and Wu, C. (1999), Modeling the Taiwan Stock Market and International linkages, Pacific Economic Review, vol. 4(3), pp. 305-320.
Cheung, Y.L. & Mak, S.C. (1992), The international transmission of stock market fluctuations between the developed markets and the Asian-Pacific markets, Applied Financial Economics, vol. 2, March, pp. 43–۴۷٫
Cheung, l. Tam, c and Szeto, j. (2009), Contagion of financial crises: a literature review of theoretical and empirical frameworks, Hong Kong Monetary Authority
Corsetti, G., P. Pesenti, N. Roubini, and C. Tille, (1999).Competitive devaluations: a Welfare-Based Approach, NBER Working Paper no. 6889.
Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol. 50(4), pp. 987-1007.
Engle, R.F. (2002), Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models, Journal of Business and Economic Statistics, 20, 339-350.
Engle, R. F. and Kroner, K. F. (1993), Multivariate Simultaneous Generalized ARCH, Discussion Paper No 89-57R.
Eun, C. S. and Shim, S. (1989), International Transmission of Stock Market Movements, Journal of Financial and Quantitative Analysis, vol. 24(2), pp. 241- 256.
Goeij, P. D. and Marquering, W. (2004), Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach, Journal of Financial Econometrics, vol. 2(4), pp. 531-564.
Glick R. and A.K. Rose (1999).Contagion and trade: Why are currency crises regional? Journal of International Money and Finance, vol. 18(4), pp. 603-617.
Hamao, Y., Masulis, R.W. & Ng, V., (1990), Correlations in price changes and volatility across international stock markets, Review of Financial Studies, vol. 3, pp. 281–۳۰۷٫
Hosking, J. R. M. (1980). The Multivariate Portmanteau Statistic. Journal of the American Statistical Association, vol. 75(371), pp. 602-608.
Ito, T. & Lin, W. (1993), Price volatility and volume spillovers between the Tokyo and New York Stock Markets, Working Paper No. 4592, National Bureau of Economic Research, Cambridge, USA.
Kaminsky, G. and C. Reinhart, (1998).On Crises, Contagion and Confusion mimeo, George Washington University and University of Maryland.
Kaminsky, G. and C. Reinhart,(2001).Financial Markets in Times of Stress NBER Working Paper, No. 8569.
Kanas, A. (1998), Volatility Spillovers Across Equity Markets: European Evidence, Applied Financial Economics, vol. 8, pp. 245-256.
Karunanayake , I and Valadkhani , A, (2009), Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach, University of Wollongong , Economics Working Paper Series
King, M., Sentana, E. & Wadhwani, S. (1994), Volatility and links between national stock markets, Econometrica, vol. 62, July, pp. 901–۹۳۳٫
King, M. A. and Wadhwani, S. (1990), Transmission of Volatility Between Stock Markets. The Review of Financial Studies, vol. 3(1), pp. 5-33.
Li, H. (2007), International linkages of the Chinese stock exchanges: a Multivariate GARCH Analysis, Applied Financial Economics, vol. 17, pp. 285- 297.
Li, H. Majerowska, E.(2007) Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach, Research in International Business and Finance, vol. 22 (2008), pp. 247–۲۶۶
Lin, W., Engle, R.F. & Ito, T. (1994), Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, vol. 7, pp. 507–۵۳۸٫
Nelson, D.B. (1991), Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, vol. 59, pp. 347-370.
Ng, V.K., Chang, R.P. & Chou, R.Y. (1991), An examination of the behavior of Pacific-Basin stock market volatility, Pacific-Basin Capital Markets Research vol. 2, Rhee, S.G. & Chang, R.P. (eds.), Elsevier Science Publishers B.V.,
Amsterdam, pp. 245–۲۶۰٫
Peiro, A.; Quesada, J. and Uriel, E. (1998), Transmission of Movements in Stock Markets, the European Journal of Finance, vol. 4, pp. 331-343.
Scherrer, W. and Ribarits, E (2007), On the Parameterization of Multivariate GARCH Models, Econometric Theory, vol. 23, pp. 464-484.
Shin, H.S. and T. Adrian, (2008). Liquidity and Leverage, Paper presented at the Financial Cycles, Liquidity, and Securitization Conference hosted by the International Monetary Fund, April 18.
Theodossiou, P. & Lee, U. (1993), Mean and volatility spillovers across major national stock markets: Further empirical evidence, Journal of Financial Research, vol. 16, winter, pp. 337–۳۵۰٫
Wei, K.C.J., Liu, Y.J., Yang, C.C. & Chaung, G.S. (1995), Volatility and price change spillover effects across the developed and emerging markets, Pacific- Basin Finance Journal, vol. 3, May, pp. 113–۱۳۶٫
Worthington, A, and Higgs, H.(2004) Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis, international journal of finance and economics, vol. 9, pp. 71–۸۰
Yu, J. Hassan, K (2006) Global and regional integration of the Middle East and North African (MENA) stock markets, The Quarterly Review of Economics and Finance, vol. 13, pp. 482–۵۰۴
پیوست ها
پیوست ۱٫ نتایج حاصل از مدل گارچ برداری قطری با استفاده از نرم افزار EVIEWS6

نوشته ای دیگر :   بررسی عوامل اجتماعی، اقتصادی، فرهنگی مرتبط با تمایل زوجین به برنامه های ...