ارزیابی و سنجش بروز حباب در بورس اوراق بهادار تهران

Abreu, Dilip & Brunnermeier, Markus. (2003). Bubbles and Crashes. Econometrica, 71, 173-204.

Al-Anaswah, N. and Wilfling, B. (2011). Identification of Speculative Bubbles Using StateSpace Models with Markov-Switching. Journal of Banking & Finance, 35.5, 1073-1086.

Allen F. & Morris S. & Postlewaite A. (1993). Finite Bubbles with Short Sale Constraints and Asymmetric Information. Journal of Economic Theory, Elsevier, 61(2), 206-229.

Arshanapalli, Bala and Nelson, William Bernard. (2016).  Testing for Stock Price Bubbles: A Review of Econometric Tools. The International Journal of Business and Finance Research, 10(4), 29-42.

Balke, N. S. and Wohar, M. E. (2009). Market Fundamentals versus Rational Bubbles in Stock Prices: A Bayesian Perspective. Journal of Applied Econometrics, 24(1), 35–75

Blanchard, Olivier J. and Mark W. Watson. (1982). Bubbles, Rational Expectations and Financial Markets. Crises in the Economic and Financial Structure, ???, 295-316

Brunnermeier, M. and Pedersen, L. (2005). Predatory trading. Journal of Finance, Vol. 4, 1825–1863.

Campbell, J., & Shiller, R. (1988). Stock Prices, Earnings, and Expected Dividends. The Journal of Finance, 43(3), 661-676.

De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. (1990). Noise Trader Risk in Financial Markets. the Journal of Political Economy 98(4): 703–738.

Etienne, X. L., Irwin, S. H., and Garcia, P. (2015). Price Explosiveness, Speculation, and Grain Futures Prices. American Journal of Agricultural Economics, 97(1), 65–87.

Fahad Almudhaf. (2017). Speculative bubbles and irrational exuberance in African stock markets. Journal of Behavioral and Experimental Finance, Vol. 13, 28-32.

Flood, R., & Hodrick, R. (1990). On Testing for Speculative Bubbles. The Journal of Economic Perspectives, 4(2), 85-101.

Frommel, M. and Kruse, R. (2012). Testing for a Rational Bubble under Long Memory. Quantitative Finance, 12.11, 1723–1732.

Garber, Peter M. (2000). Famous First Bubbles; the Fundamentals of Early Manias. the MIT Press Cambridge, Massachusetts Institute of Technology.

Grossman, S. J. and Shiller, R. J. (1981). The Determinants of the Variability of Stock Market Prices. American Economic Review, 71(2), 222.

Gürkaynak, Refet S. (2008). Econometric Tests of Asset Price Bubbles: Taking Stock. Journal of Economic Surveys, 22(1), 166-186.

Gutierrez, L. (2013). Speculative Bubbles in Agricultural Commodity Markets. European Review of Agricultural Economics, 40(2), 217–238.

Homm, U. and Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198–231

Kindleberger, C. P and R. Aliber. (2005). Panics, Mania, and Crashes: A History of Financial Crises. Wiley Investment Classics (John Wiley).

Kleidon, Allan W. (1986). Variance Bounds Tests and Stock Price Valuation Models. Journal of Political Economy, 94(5), 953-1001.

Komarek, Lubos & Kubicová, Ivana. (2011). The Classification and Identification of Asset Price Bubbles. Czech Journal of Economics and Finance, 61. 34-48.

Koustas, Zisimos & Serletis. (2005). Apostolos. Rational Bubbles or Persistent Deviations from Market Fundamentals?. Journal of Banking and Finance, 29, 2523−2539, 1−15.

Lammerding, M., Stephan, P., Trede, M., and Wilfling, B. (2013). Speculative Bubbles in Recent Oil Price Dynamics: Evidence from a Bayesian Markov-Switching State-Space Approach. Energy Economics, 36, 491–502.

LeRoy, S., & Porter, R. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds. Econometrica, 49(3), 555-574.

Luis Alberiko Gil-Alana, Robinson Dettoni, Rodrigo Costamagna, Mario Valenzuela. (2019). Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile. Research in International Business and Finance, Vol 49, 269-281.

Miller, M. H. (1977). Debt and Taxes. The Journal of Finance, 32, 261-275.

Okpara, G. (2010). Do Rational Speculative Financial Bubbles Exist in the Nigerian Stock Market?. Interdisciplinary Journal of Contemporary Research in Business, ???, ???.

Pavlidis, E. G., Paya, I., and Peel, D. A. (2017). Testing for Speculative Bubbles Using Spot and Forward Prices. International Economic Review, 58(4), 1191–1226.

Phillips, P. C. B., Shi, S. P. and Yu, J. (2014). Specification sensitivity in right tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics, 76(3): 315–333.

Phillips, P.C.B., Wu, Y., and Yu, J. (2011). Explosive behaviour in the 1990s Nasdaq: when did exuberance escalate asset values?. International Economics Review, 52(1), 201–226.

Rosser, J. B. (2008). Econophysics and economic complexity. Journal of Advances in Complex Systems, Vol 11, ???.

Scheinkman, José and Xiong, Wei. (2003). Overconfidence and Speculative Bubbles. 13th Annual Utah Winter Finance Conference; AFA 2003 Washington, DC Meetings. Available at SSRN: https://ssrn.com/abstract=298865 or http://dx.doi.org/10.2139/ssrn.298865

Shiller, Robert J. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?. The American Economic Review, 71(3), 421-436.

Shleifer, A. and Vishny, R.W. (1997). The Limits of Arbitrage. The Journal of Finance, 52: 35-55.

Siegel, J. J. (2003). What Is an Asset Price Bubble? An Operational Definition. European Financial Management, 9: 11-24.

Tirole, J. (1985). Asset Bubbles and Overlapping Generations. Econometrica, 53(6), 1499–1528.

Voth, Hans-Joachim and Temin, Peter, Riding the South Sea Bubble. (2004). CEPR Discussion Paper No. 4221. Available at SSRN: https://ssrn.com/abstract=509661.

West, K. D. (1987). A Specification Test for Speculative Bubbles. Quarterly Journal of Economics, 102(3), 553–580.

Wöckl, Ines. (2019). Bubble Detection in Financial Markets: A Survey of Theoretical Bubble Models and Empirical Bubble Detection Test. Working Paper, Doi: 10.13140/RG.2.2.32636.69768.

Zhao Zhao, Huwei Wen, Ke Li. (2020). Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China, Economic Modelling, ???, ???.