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Bubble measurement and its contagion models in financial markets | ||
| Theory of Approximation and Applications | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 02 آبان 1402 | ||
| نوع مقاله: Research Articles | ||
| نویسندگان | ||
| Vahid mohammadi1؛ Mir feiz Fallah shams* 2؛ gholamreza zomorodian3 | ||
| 1department of financial management,central Tehran branch,islamic azad univercity,tehran, iran | ||
| 2Department of Financial Management, Tehran Azad University, Center, Tehran, Iran | ||
| 3Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| چکیده | ||
| The aim is to investigate three methods to measure the bubble and categorize the methods of its contagion .The price bubbles of the capital market were tested with three methods (RADF), (SADF) and (GSADF) and the dates of their formation and collapse were determined. Two models of contagion using DCC-GARCH and BEKK GARCH methods were expressed and compared.The results indicated four bubble periods as follows 2015:11:17-2016:02:09, 2017:06:13-2017:07:18, 2017:07:25-2018:01:30 and 2018:03:20-2020:12:16. The results showed that in all three methods, the existence of a price bubble in stock exchange companies was confirmed | ||
| کلیدواژه‌ها | ||
| DCC-GARCH؛ BEKK GARCH؛ GSADF؛ SADF؛ RADF | ||
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آمار تعداد مشاهده مقاله: 29 |
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