حسینیون، نیلوفرسادات، بهنامه، مهدی و ابراهیمی سالاری، تقی (1395). بررسی انتقال تلاطم نرخ بازده بین بازارهای سهام، طلا و ارز در ایران، فصلنامه پژوهشهای اقتصادی ایران، 66، 150-123.
خیابانی، ناصر و دهقانی، منوچهر (1393). نقش بازار نفت در تلاطم بازارهای طلا و ارز(دلار/یورو)، فصلنامه پژوهشهای اقتصادی ایران، 58، 238-207.
کشاورز حداد، غلامرضا، ابراهیمی، سیدبابک و جعفر عبدی، اکبر (1390). بررسی سرایت تلاطم میان بازدهی سهام صنعت سیمان و صنایع مرتبط با آن در ایران،فصلنامه پژوهشهای اقتصادی ایران، 47، 162-129.
Aboura, S., & Chevallierm, J. (2014). Cross-Market spillovers with volatility surprise. Review of Financial Economics, 23 (14), 194-207.
Agnolucci, P. (2009). Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models. Energy Economics, 31, 316–321.
Alexander, C. (1999). Risk management and analysis: Measuring and modeling financial risk. John Wiley and Sons, New York.
Alotaibi, A. R. & Mishra, A. V. (2015). Global and regional volatility spillovers to GCC stock markets. Economic Modeling, 45, 38-49.
Arouri, M. E. H., Lahiani, A., & Khuong Nguyen D. (2015). World gold prices and Stock returns in china: Insights for hedging and diversification strategies. Economic Modeling, 44, 273–282.
Arouri, M. H., Jouini J., & Nguyen D. K. (2012). On the impacts of oil price fluctuations on european equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34, 611–617.
Badshah, I.U., Frijns, B., & Tourani Rad, A.R. (2013). Contemporaneous spillover among equity, gold, and exchange rate implied volatility indices. Journal of Futures Markets, 33(6), 555–572.
Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2010). Global and regional spillovers in emerging Stock markets: A multivariate GARCH-in-mean analysis. Emerging Markets Review, 11, 250–260.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307-327.
Bouri, E., Jain, A., Biswal, P. C., & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. Resources Policy, 52, 201-206.
Chang, C. L., Khamkaew, T., Tansuchat, R. & McAleer, M. (2011). Interdependence of international tourism demand and volatility in leading ASEAN destinations. Tourism Economics, 17 (3), 481–507.
Dornbusch, R., Fischer, S. (1980). Exchange rates and the current account. the American Economic Review, 70(5), 960–971.
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica, 50 (4), 987-1008.
Gavin, M.(1989). The stock market and exchange rate dynamics. Journal of International Money and Finance, 8(2),181–200.
González-Rivera, G.; Lee, T. H. and S. Mishra (2004). Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. International Journal of Forecasting, 20(4), 645-629.
Hassan, S. A. & Malik, F. (2007). Multivariate GARCH modeling of sector volatility transmission. The Quarterly Review of Economics and Finance, 47, 470–480.
Jain, A., & Biswal, P. C. (2016). Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. Resources Policy, 49, 179-185.
Kang, S. H., Kang, S. M. & Yoon, S.M. (2009). Forecasting volatility of Crude oil markets. Energy Economics, 31 (1), 119–125.
Karolyi, G. A. (1995). A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the united states and canada. Journal of Business & Economic Statistics, 13(1), 11-25.
Khalifa A. A. A., Hammoudeh, S., Otranto, E.(2014). Patterns of volatility transmissions within regime switching across GCC and global markets. International Review of Economics & Finance, 29, 512–524.
Kumar, D. (2014). Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness. IIMB Management Review, 26 (1), 5–16.
Ling, S. & McAleer, M.(2003). Asymptotic theory for a vector ARMA–GARCH model. Econometric Theory, 19, 280–310.
Love, I., Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46(2), 190-210.
Martin L.v., Hurn, s. and Harris, D. (2012). Econometric modeling with time series: Specification, estimation and testing, themes in modern econometrics. Cambridge University Press, New York.
Mensi, W., Beljid, M., Boubaker, A. & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modeling, 32, 15–22.
Mensi, W., Beljid, M., Boubaker, A. & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modeling, 32, 15–22.
Mensi, W., Hammoudeh, S., Nguyen, D. K. & Yoon S. M. (2014). Dynamic spillovers among major energy and cereal commodity prices. Energy Economics, 43, 225–243.
Soriano, Pilar and F.G. Climent (2006). Region versus industry effects: Volatility transmission. Financial Analysts Journal, 62(6), 52-64.
Sujit, K. S., & Kumar, B. R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
Sujit, K. S., & Kumar, B. R. (2011). Study on dynamic relationship among gold price, oil price, exchange rate and stock market returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
Wang, K. M., Lee, Y. M. and Nguyen, T. (2011). Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model. Economic Modelling, 28, 806–819.
)