- ابونورى، اسمعیل. عبدالهى، محمدرضا. مدل-سازى نوسانات گروههاى صنعت بازار سهام با استفاده از مدل گارچ چندمتغیره، دانشگاه علامه طباطبایى، پایاننامه کارشناسى ارشد، ١398.
- سید حسینى، سید محمد. مدلهاى سرایت شورش در بازار سهام بورس اوراق بهادار، ١٣9٥.
- زمانى، شیوا. سورى، داوود و محسن ثنایى اعلم. پیش بینى پذیرى و شورش بازده و بررسى سرایت شاخص ها با استفاده از یک مدل دینامیک چند متغیره در بورس اوراق بهادار تهران. پایان نامه کارشناسى ارشد، دانشکده مدیریت و اقتصاد دانشگاه صنعتى شریف، دى١٣9٧
- سعید شعرائى، مدلسازى و پیشبینى بازده بورس اوراق بهادار تهران با استفاده از مدلهاى ARFIMA و FIGARCH، پایان نامه کارشناسى ارشد مدیریت مالى، دانشکده مدیریت و حسابدارى دانشگاه شهید بهشتى، تابستان ١٣9٨
- Li, H. Majerowska, E.(2017) Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach, Rese ARCH in International Business and Finance, vol. 22 (2018), pp. 247-266
- Kim, S.W. and J.H. Rogers, (2015), International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States. Journal of Empirical Finance, No.2, pp. 117-133.
- Connolly, R. A., F. A. Wang (2017), “Economic News and Stock Market Linkages: Evidence from the U.S., U.K., And Japan,” Columbia University’s Graduate School of Business.
- Berkowitz, J. (2020), Testing Density Forecasts with Applications to Risk Management, Journal of Busi- ness & Economic Statistics, No.19, pp.465-474
- Andersen T.G., T. Bollerslev, F.X. Diebold and P. Labys (2020b), The Distribution of Realized Exchange Rate Volatility, Journal of the American Statistical Association, No.96, pp.42-55.
- Bollerslev T. and J.H. Wright (2016), High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting, Review of Economics and Statistics, No. 83, pp. 596-602.
- Weller, P.A. and Neely, C.J. (2016), Predicting Exchange Rate Volatility: Genetic Programming vs. GA- RCH and RiskMetrics, The Federal Reserve Bank Of St. Louis
- Maheu, J.M. and T.H. McCurdy (2017), Nonlinear Features of Realized FX Volatility, Review of Econo- mics and Statistics 84, 668-681.
- Andersen, T.G., T. Bollerslev and F.X. Diebold (2017), Parametric and Nonparametric volatility measur- ement, forthcoming in A¨١t-Sahalia and L.P. Hansen (eds.), Handbook of Financial Econometrics, Amsterdam: North Holland.
- Ewing, B. T., Forbes, S. M., & Payne, J. E. (2018). The effects of macroeconomic shocks on sector-specific returns. Applied Economics, Vol.35, pp.201ـ
- Worthington, A, and Higgs, H.(2019) 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. 71-80
- Lafuente, J. and Ruiz, J. (2019), The New market effect on return and volatility of Spansh stock indexes, Applied Financial Economics, 14, 1343-1350.
- Mittnik,S and H. Claessen (2019), Forecasting Stock Market Volatility and the Informational Efficiency of the DAX Index Options Market, Center For Financial studies.
- Wang, Z., Kutan A., and Yang, J. (2020). Information flows within and across sectors in Chinese stock markets. The Quarterly Review of Economics and Finance, 45, 767-80.
- Bernanke, B. S., & Kuttner, K. N. (2020). What explains the stock market’s reaction to Federal Reserve policy? Journal of Finance, 60, 1221-1257.
- Yu, J. Hassan, K (2016) Global and regional integration of the Middle East and North African (MENA) stock markets, The Quarterly Review of Economics and Finance, vol. 13, pp. 482-504
- Mohamad, S., Hassan, T., and Sori, Z.M. (2016). Diversification across economic sectors and implication on portfolio investments in Malaysia. International Journal of Economics and Management, 1(1), 155-72.
- Hassan, S. A., & Malik, F. (2017). Multivariate GARCH modeling of sector volatility transmission. Quarterly Review of Economics and Finance, Vol.47, pp.470-480.
- Li, H. (2017), International linkages of the Chinese stock exchanges: a Multivariate GARCH Analysis, Applied Financial Economics 17: 285-297.
|
1؛ سیدعلیرضا میرعرب بایگی 
2؛ هدی همتی2
