Исследование российского рынка акций в предположении об иррациональности инвесторов (стр. 11 )

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41Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

42Ibid.

43Zhu, M. Return distribution predictability and its implications for portfolio selection / M. Zhu //  International Review of Economics & Finance. – 2013. – Vol. 27. – P. 209–223.

44Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

45Zhu, M. Return distribution predictability and its implications for portfolio selection / M. Zhu //  International Review of Economics & Finance. – 2013. – Vol. 27. – P. 209–223.

46Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

47Koenker, R. Quantile autoregression / R. Koenker, Z. Xiao // Journal of the American Statistical Association. – 2006. – Vol. 101 № 000. – P. 980–990.

48Ibid.

49Koenker, R. Regression quantiles / R. Koenker, G. Bassett // Econometrica. – 1978. – Vol. 46 № 1. – P. 33–50.

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51 Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

5221.        Lo, A. W. Stock market prices do not follow random walks: Evidence from a simple specification test / A. W. Lo, A. C. MacKinlay // Review of financial studies. – 1988. – Vol. 1 № 1. – P. 41-66.

53 Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

54Semenov, A. Behavioral heuristics and financial modelling [Электронный ресурс] / A. Semenov // Journal of Stock & Forex Trading. – 2012. – Vol. 1 № 3. – Режим доступа: https://www. omicsgroup. org/journals/behavioral-heuristics-and-financial-modelling-2168-9458-1-e110.pdf (дата обращения: 15.04.2017).

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57 Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

58 Ibid.

59 Hastie, R. Rational Choice in an Uncertain World: The Psychology of Judgment and Decision Making / R. Hastie, R. M. Dawes.  – 2 ed. – Sage Publications, 2009. – P. 285.

60 Chow, K. V. A simple multiple variance ratio test / K. V. Chow and K. C. Denning. // Journal of Econometrics. – 1993. – Vol. 58 № 3. – P. 385–401.

61 Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

62 Rahman, O. Investors' Irrationality In The Predictability Of Stock Returns and Forecasting Its VaR Using Quantile Regression / O. Rahman // Working Paper, York University. – 2016.

63Lo, A. W. Stock market prices do not follow random walks: Evidence from a simple specification test / A. W. Lo, A. C. MacKinlay // Review of financial studies. – 1988. – Vol. 1 № 1. – P. 41-66.