List of Articles گارچ Open Access Article Abstract Page Full-Text 1 - Spillover Effect the on Contest Import & Export oriented industries Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan Open Access Article Abstract Page Full-Text 2 - Evaluation the Management to Control The Liquidity Money by Central Bank in Iran رویا آل عمران سید علی آل عمران Open Access Article Abstract Page Full-Text 3 - Modeling Behavior of Stock Price Using Stochastic Differential Equation with Stochastic Volatility Saber Molaei Mohammad Vaez Barzani Saeid Samadi Open Access Article Abstract Page Full-Text 4 - Risk Measurement in Value at Risk (VaR): Application of Levy GARCH models (Study of Chemical industries in Tehran Stock Exchange) hossein amiri mahmood najafi nezhad mohammad sayadi Open Access Article Abstract Page Full-Text 5 - Introducing an Early Warning System for High Volatility in Tehran Stock Exchange: Markov Switching GARCH Approach Younes Nademi Esmaeil Abounoori Zahra Elmi Open Access Article Abstract Page Full-Text 6 - Investigation of Volatility Forecast Errors using Geometric Brownian Motion and GARCH Models in Sector Indices of Tehran Securities Exchange Ershad Emami Alireza Heidarzadeh Hanzaei 10.30495/jfksa.2022.21084 Open Access Article Abstract Page Full-Text 7 - Comparing of Bayesian Model Selection Based on MCMC Method and Finance Time Series(GARCH Model) محمدرضا صالحی راد نفیسه حبیب یفرد Open Access Article Abstract Page Full-Text 8 - Equity Premium Puzzle in Habit Formation Model With Fuzzy Sensitive Functions: A Case Study of Iran Alireza Erfani Solmaz Safari Open Access Article Abstract Page Full-Text 9 - Identifying instability in the banking system using the Markov Switching Model Donya Hajishahverdi gholamreza zomorodian Open Access Article Abstract Page Full-Text 10 - Forecasting Petroleum Futures Markets Volatility with GARCH and Markov Regime-Switching GARCH Models مرتضی بکی حسکوئی فاطمه خواجوند Open Access Article Abstract Page Full-Text 11 - Modeling Financial return with Markov Time-Varying Mixed Normal GARCH Model Shirin Alipour Fatemeh Azizzadeh Khosro Manteghi Open Access Article Abstract Page Full-Text 12 - The Study of Volatility Trend in Tehran’s Stock Exchange سید علی آل عمران رویا آل عمران Open Access Article Abstract Page Full-Text 13 - Analyze of the dynamics of optimal hedge ratio in the gold coin market: MS-DCC approach Sanaz Miri Teimur Mohammadi Farhad Ghaffari Open Access Article Abstract Page Full-Text 14 - Investigating the causality direction between saffron cash and futures markets focusing on periods of boom and recession Javad Ghiyasi Mohammadtaher AhmadiShadmehri Open Access Article Abstract Page Full-Text 15 - تحلیل اثرات وابسته به وضعیت کلهای پولی بر نرخ ارز واقعی: مدل مارکوف سوئیچینگ گارچ الهام امراللهی بیوکی کامبیز هژبر کیانی عباس معمارنژاد سید یحیی ابطحی 10.30495/jae.2022.64927.1395 Open Access Article Abstract Page Full-Text 16 - Evaluation of RGARCH Model to Estimate the Conditional Variance of Tehran Stock Exchange Index Mohamad Amin Zabol Esmaiel Abounoori Open Access Article Abstract Page Full-Text 17 - comparative study of dynamic performance of investment according to method (garch)and kalman filter Javad Yousefi Brahman JAVAD ramezani Mehdi Khalilpour Open Access Article Abstract Page Full-Text 18 - Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market mahmood mohammadi alamuti mohammad reza haddadi younes nademi Open Access Article Abstract Page Full-Text 19 - Effects of exchange rates shocks on Tehran stock market returns: MSFITGARCH model hajar moradian Ali Haghighat hashem zare Mehrzad Ebrahimi Open Access Article Abstract Page Full-Text 20 - Evaluation of multivariate GARCH models in estimating the Values at Risk (VaR) of currency, stock and gold markets abdollah rajabi khanghah Hashem Nikoomaram Mehdi Taghavi Mirfeiz Fallah Shams Open Access Article Abstract Page Full-Text 21 - Overflow of parallel markets of Tehran Stock Exchange over the trading industries of the stock exchange. hashem mokari seyed alireza mirarab bayigi Hoda Hemmati Open Access Article Abstract Page Full-Text 22 - Calculating Tail Value at Risk Using a EGARCH-Extreme Learning Machine Model And The long-term forecast approach in the insurance industry reza raei Azam Honardoust ezzatolah abbasian Open Access Article Abstract Page Full-Text 23 - The Development of Forecasting Model for Coherent Risk in Exchange Companies: Accounting data Approach Hosein Aryaeinezhad Arash Naderian Hosein Didekhani Ali Khozain Open Access Article Abstract Page Full-Text 24 - Condensed Turbulence Influence of Return on Banks Accepted in the Stock Exchange rahman doostian babak jamshidi navid mehrdad ghanbary Abdolmajid Dehghan Open Access Article Abstract Page Full-Text 25 - Investigating the factors affecting the determination of deposit insurance premiums among Iranian banks listed on the Iranian stock exchange and OTC Mohammadreza Aghamohammad semsar Saeed fallahpor saeed shirkavand Ali Forosh Bastani Open Access Article Abstract Page Full-Text 26 - Modeling the Liquidity Risk Spillover Between Banks Accepted in the Tehran Stock Exchange Market abas banisharif mir feyz fallahshams zad fathi Open Access Article Abstract Page Full-Text 27 - The religious months effect on the stock market return, volatility and volume in the stock exchange of Tehran Reza Tehrani Hosein Bayginia Open Access Article Abstract Page Full-Text 28 - Investigation the Un-Suretunetly of Exchange Rate On Index Price & Level of Investment In Tehran Stock Index (Using VAR and GARCH Models) M. Hossein Ranjbar M. Feiz Fallah Shams Rouhollah Rezazadeh Open Access Article Abstract Page Full-Text 29 - The Relation Between one Economic Events with the Concepts of Changing Regime about Returns, Risk and Liquidity in Stock Market Hassan Ghalibafasl Naser Elahi Masoomeh Torkaman Ahmadi Yadolah Dadgar Open Access Article Abstract Page Full-Text 30 - The Effect of Economic and Financial Regime-switching on Equity Premium Puzzle In Fuzzy Logic Framework: The Evidence from Iran Alireza Erfani Esmaiel Abounoori Solmaz Safari Open Access Article Abstract Page Full-Text 31 - Application of Extreme Value Theory in Value at Risk forecasting Hosein Falahtalab Mohammadreza Azizi Open Access Article Abstract Page Full-Text 32 - Estimating Conditional Value at Risk (CVaR) with consideration the robust of the measure based on robust Cipra method Ehsan Mohammadian Amiri Ehsan Mohammadian Amiri Seyed Babak Ebrahimi Open Access Article Abstract Page Full-Text 33 - Spillover Effect On The On Contest Markets For Capital Market Hashem Nikoomaram Zahra Pourzamani Abdolmajid Dehghan Open Access Article Abstract Page Full-Text 34 - Economic Cycle and Symmetric Volatility of Financial Market Returns: Study of Emerging Economies Saeed Moradpour Reza Tehrani Seyed Mojtaba Mirlohi Ezatolah Abbasian Open Access Article Abstract Page Full-Text 35 - Multivariate GARCH models". Journal of business and economic statistic Value at Risk and Spillover effect estimate using MGARCH Mohammadreza Rostami Sahar Farahmand Open Access Article Abstract Page Full-Text 36 - Expression and design a model to forecast the exchange rate shocks and stress testing of the currency in Iran Abdollah Rajabi Khanghah Hashem Nikomaram Mehdi Taghavi Fereydoon Rahnamay Roodposhti Mirfiyaz Fallah Shams Open Access Article Abstract Page Full-Text 37 - Investigating the Conceptual Model Explaining the Contagion Turbulence Influencing Returns in Banks Accepted in the Stock Exchange Rahman Doostian Babak Jamshidi navid Mehrdad Ghanbari Abdol Majid Dehghan Open Access Article Abstract Page Full-Text 38 - The effect of liquidity and diversification on choosing the optimal investment portfolio ABBAS KHADEMPOUR ARANI Mehdi Madani Zaj AmirReza Keyqobadi QolamReza Zomorodian Open Access Article Abstract Page Full-Text 39 - Long-run Relationship between the Volatility of Effective Real Exchange Rate and Industrial Return Index in Tehran Stock Exchange Market (Multivariate GARCH Approach) Esmaeil Aboonouri AmirMansour Tehranchian Mostafa Hamzeh Open Access Article Abstract Page Full-Text 40 - Money Growth Uncertainty and Currency Substitution in IRAN: A Multivariate GARCH Approach Sima Eskandari Sabzi Asad Allah Farzinvash Kambiz Hojabr Kiani Hamid Shahrestani Open Access Article Abstract Page Full-Text 41 - Modeling Equity Premium Puzzle by Using Fuzzy Logic: A Number of Evidences from Iran Alireza Erfani Solmaz Safari Open Access Article Abstract Page Full-Text 42 - Exchange Rate Pass-Through into Import Price in Iran Economy with Emphasis on Volatility of Oil Revenues (Nonlinear Approach) Mana Mesbahi Hosein Asgharpour Jafar Haghighat Seyed Alireza Kazerooni firooz fallahi Open Access Article Abstract Page Full-Text 43 - Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model) ali akbar baghestani reza rahimi Open Access Article Abstract Page Full-Text 44 - State Dependent Effects of Monetary Aggregates on Exchange Market Pressure in Iran's Economy Mohsen Tooti Seyed Yahya Abtahi Jalil Totonchi Zohreh tabatabaeinasab Open Access Article Abstract Page Full-Text 45 - آیا شاخص قیمت کشاورزی به نوسانات نرخ ارز در ایران واکنش نشان می دهد؟ محمد عبدی سیّدکلایی امیر منصور طهرانچیان احمد جعفری صمیمی سیّد مجتبی مجاوریان Open Access Article Abstract Page Full-Text 46 - Optimizing the investment portfolio using ccc, dcc and Markowitz algorithm models : Evidence from the stock exchange zahra ghorbani Alireza Daghighi Asli Marjan Damankeshideh roya seifipour 10.30495/ECOMAG.1402.1045588 Open Access Article Abstract Page Full-Text 47 - Comparing the Relationship between Inflation and Inflation Uncertainty in Iran and Three OPEC Members Elham Farnaghi Oranus Parivar Hamid Tofighi Open Access Article Abstract Page Full-Text 48 - Portfolio Optimization of Listed Industries in Tehran Stock Exchange using Orthogonal GARCH sahar abedini esmaiel abounoori Gh. Reza Keshavarz Haddad 10.30495/fed.2024.709335 Open Access Article Abstract Page Full-Text 49 - Does oil price uncertainty affect the Tehran Stock Exchange index? Quantile regression approach based on wavelet transform Ali Sargolzaei Narges Salehnia Massoud Homayounifar S. Mohammad Qaim Zabihi 10.30495/fed.2023.707978 Open Access Article Abstract Page Full-Text 50 - تاثیر نوآوری بر نوسانات سهام شرکتهای داروسازی بورس اوراق بهادار تهران حامد عباسی آقا ملکی قهرمان عبدلی علی سوری محسن ابراهیمی Open Access Article Abstract Page Full-Text 51 - پوشش ریسک درآمدهای نفتی ایران: رویکرد پوشش ریسک تجمیع یافته علی طیب نیا محسن مهر آرا آزاده اختری Open Access Article Abstract Page Full-Text 52 - The analysis of permanent and temporary fluctuations of Brent Oil & Relative Industries Index With Gold, Currency Index: Network Approach تیمور محمدی عبدالرسول قاسمی عاطفه تکلیف علی صادقین 10.30495/fed.2021.687871 Open Access Article Abstract Page Full-Text 53 - بررسی اثر نوسانات نرخ ارز بر اشتغال در ایران کریم امامی الهه ملکی Open Access Article Abstract Page Full-Text 54 - واژههای کلیدی: سرریز تلاطم ، معاملات اختلال زا ، بازارهای مالی ، مدل آرچ ، مدل گارچ . طبقه بندی JEL : C22.C32.G11,G4 Sharara Taheri Abdul Majid Abdul Baqi Attaabadi majid vaziri sarashk Mohammad Hossein Arman 10.30495/fed.2023.702186 Open Access Article Abstract Page Full-Text 55 - Investigating the Correlation Between Crude Oil Prices and the Stock Market in Iran: A multivariate GARCH approach and wavelet Nasim Amin Roya Aleemran Rasoul Baradaran Hassanzadeh Amir Ali Farhang 10.30495/fed.2023.705595 Open Access Article Abstract Page Full-Text 56 - America's Exit from Joint Comprehensive Plan of Action and Turbulence in Iran's economy Amir Sajedi Sinaz Sajedi Sajedi DOR:20.1001.1.24234974.1398.12.46.4.7 Open Access Article Abstract Page Full-Text 57 - بررسی اثر نا اطمینانی نرخ ارز بر شاخص قیمت سهام و میزان سرمایهگذاری در بورس اوراق بهادار تهران (با استفاده از مدلهای GARCH و VAR) محمدحسین رنجبر میر فیض فلاح شمس روح اله رضا زاده Open Access Article Abstract Page Full-Text 58 - Study of Financial Distress Spillover Effect among Automobile Supply Chain Companies Listed in the Tehran Stock Exchange Bita delnavaz mirfeiz fallah Open Access Article Abstract Page Full-Text 59 - Assessing the Transparency of Selected Private Banks' Information Based on Risk Criteria (Value At Risk) Hossein Abdo Tabrizi reza tehrani Ghodratolla Imam Verdi Saeed Fallahpour Ali Baghani 10.30495/faar.2022.697084 Open Access Article Abstract Page Full-Text 60 - Integrated Multi-Objective and Econometrics Model for Stock Portfolio Optimization Abbas KhadempourArani Amirreza Keyghobadi Mehdi MadanchiZaj Gholamreza Zomorodian 10.30495/faar.2022.693677 Open Access Article Abstract Page Full-Text 61 - Forecasting the Global Gold Price Movement with Marginal Distribution Modeling Approach: An Application of the Copula GARCH Gaussian and t Mohammad reza Haddadi Younes Nademi Hamed Farhadi Open Access Article Abstract Page Full-Text 62 - Asymmetric effects of volatility in Iran and UAE stock marke Esmaiel abouoori mohammd Noferesti Mansour tour Open Access Article Abstract Page Full-Text 63 - Investigate the effectiveness of gold coin dealing to hedge the risk of stock price volatility Soheila Hoghooghi Mohammad Ebrahim Aghababaei Open Access Article Abstract Page Full-Text 64 - The assessment of extreme value theory and Copula - Garch models in prediction of value at risk and the expected short fall in portfolio Investment Company in Tehran stock exchange. ali alizadeh Mirfeiz Fallah Open Access Article Abstract Page Full-Text 65 - Forecasting Probability of default of Corporations with the Merton model: Using Capital Asset Pricing Model with Time Varying Beta mehdi sabeti Gholamreza Zomorodian mirfeyz fallah mehrzad minuyi Open Access Article Abstract Page Full-Text 66 - Modelling of appropriate pattern in order to forecast systemic liquidity risk of corporate stocks in capital market of Iran, by using multivariate GARCH models and Markov switching approach Seied Hamid Reza Sadat Shekarab Fereydon Ohadi mohsen Seighaly Mirfaze Fallah Open Access Article Abstract Page Full-Text 67 - Designing and Explaining the Systematic Risk Estimation Model using metaheuristic Method in Tehran Stock Exchange: Adaptive Approach to the Model of Econometrics and Artificial Intelligence Nemat Rastgoo hosein panahian Open Access Article Abstract Page Full-Text 68 - Comparison Models of Brownian motion and Fractional Brownian Motion and GARCH in Volatility Estimation of Stock Return S. Ali Nabavi Chashmi Mariyya Mokhtarinejad Open Access Article Abstract Page Full-Text 69 - بررسی عوامل مؤثر بر تغییرات قیمت قراردادهای آتی در بورس کالای ایران علی سعیدی شهریار علیمحمدی Open Access Article Abstract Page Full-Text 70 - مدلسازی عدم تقارن و تغییرساختاری سریهای زمانی مالی با استفاده از فرآیندهای Markov-switching GARCH رسول سجاد امیرحسین فراهانی راد Open Access Article Abstract Page Full-Text 71 - Risk and Return Behavior of Bitcoin in comparison with Gold, Currency, and Stock Markets by application of GJR-GARCH and TGARCH Models Mohammad Salehifar Open Access Article Abstract Page Full-Text 72 - Modeling and Forecasting Evaluation of Different Models of Short-Term Memory, Long-Term Memory, Markov Switching and Hyperbolic GARCH in Forecasting OPEC Crude Oil Price Volatility mahmood mohammadi alamuti Mohammadreza Haddadi Younes Nademi Open Access Article Abstract Page Full-Text 73 - The investigate Irregular Behavioral Stock, Stock Expects and Stock Returns Using the Liponov and Kolmogorov Method and BDS in the Tehran Stock Exchange with an Emphasis on Copula Garch and Copula TGarch mohammadreza Navaeian Mohammadreza Vatanparast Hadi Saeidi Shaban Mohammadi Open Access Article Abstract Page Full-Text 74 - State Dependent Effects of Monetary Policy on Macroeconomic Dynamics Mohsen Toutichobar Seyed Yahya Abtahi jalil totonchi Zohreh tabatabaeinasab 10.30495/ECOMAG.1403.1122769 Open Access Article Abstract Page Full-Text 75 - The Effects of Exchange Rate Volatility on Agricultural Trade in Iran F. زمانی H. مهرابی بشرآبادی