مهاجری، پریسا و طالبلو، رضا. (1401). بررسی پویاییهای سرریز تلاطمات بین بازده بخشها با رویکرد اتصالات خودرگرسیون برداری با پارامترهای متغیر در طول زمان(TVP-VAR)؛ شواهدی از بازار سهام ایران. تحقیقات اقتصادی، 57(2)، 321-356.
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84.
Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2023). Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic. International Review of Economics & Finance, 83, 114-123.
Aydemir, O., & Demirhan, E. (2009). The relationship between stock prices and exchange rates: Evidence from Turkey. International research journal of finance and economics, 23(2), 207-215.
Bahmani-Oskooee, M., & Saha, S. (2016). Do exchange rate changes have symmetric or asymmetric effects on stock prices?. Global Finance Journal, 31, 57-72.
BenSaïda, A., & Litimi, H. (2021). Financial contagion across G10 stock markets: a study during major crises. International Journal of Finance & Economics, 26(3), 4798-4821.
Chatziantoniou, I. and Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. Quarterly Review of Economics and Finance, 79:1–14.
Chatziantoniou, I., Gabauer, D., & Marfatia, H. A. (2022). Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market. Scottish Journal of Political Economy, 69(3), 283-300.
Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and finance, 26(7), 1206-1228.
Civcir, İ., & Akkoç, U. (2021). Dynamic volatility linkages and hedging between commodities and sectoral stock returns in Turkey: Evidence from SVAR‐cDCC‐GARCH model. International Journal of Finance & Economics, 26(2), 1978-1992.
De Mello, L., & Moccero, D. (2009). Monetary Policy and Inflation Expectations in Latin America: Long‐Run Effects and Volatility Spillovers. Journal of money, Credit and Banking, 41(8), 1671-1690.
Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
Diebold, F. X., & Yilmaz, K. (2012). Better to Give than to Receive: Predictive Directional Measurementof Volatility Spillovers Forthcoming. International Journal of Forecasting, 28(1), 57-66.
Diebold, F.X., & Yilmaz, K. (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. Journal of Econometrics, 182(1), 119–134.
Enilov, M., Fazio, G., & Ghoshray, A. (2023). Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis. International Journal of Finance & Economics, 28(3), 2607-2619.
Gabauer, D. (2021). Dynamic measures of asymmetric & pairwise spillovers within an optimal currency area: Evidence from the ERM I system. Journal of Multinational Financial Management, page 100680.
Kanas, A. (2000). Volatility spillovers between stock returns and exchange rate changes: International evidence. Journal of Business Finance & Accounting, 27(3‐4), 447-467.
Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of econometrics, 74(1), 119-147.
Kumar, S., Kumar, A., & Singh, G. (2023). Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach. International Journal of Finance & Economics, 28(1), 47-57.
Li, F., & Zhu, H. (2014). Testing for financial contagion based on a nonparametric measure of the cross‐market correlation. Review of Financial Economics, 23(3), 141-147.
Mohajeri, P. and Taleblou, R. (2022). Investigating the Dynamics of Volatility Spillovers across Sectors’ Returns Utilizing a Time-Varying Parameter Vector Autoregressive Connectedness Approach; Evidence from Iranian Stock Market. Journal of Economic Research, 57(2), 321-356. [In Persian]
Moser, T. (2003). What is international financial contagion?. International Finance, 6(2), 157-178.
Nusair, S. A., & Olson, D. (2022). Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach. Journal of International Financial Markets, Institutions and Money, 78, 101541.
Patra, S., & Panda, P. (2021). Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework. International Journal of Finance & Economics, 26(1), 493-514.
Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics letters, 58(1), 17-29.
Sharma, N. (2015). Causal relation between stock return and exchange rate: Evidence from India. Global Journal of Management and Business Research, 15(11), 27-32.
Taleblou, R. and Mohajeri, P. (2023). Modeling the Daily Volatility of Oil, Gold, Dollar, Bitcoin and Iranian Stock Markets: An Empirical Application of a Nonlinear Space State Model. Iranian Economic Review, 27(3), 1033-1063.
Tiwari, A. K., Adewuyi, A. O., Awodumi, O. B., & Roubaud, D. (2022). Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods. International Journal of Finance & Economics, 27(4), 4515-4540.
Tiwari, A. K., Nasreen, S., Ullah, S., & Shahbaz, M. (2021). Analysing spillover between returns and volatility series of oil across major stock markets. International Journal of Finance & Economics, 26(2), 2458-2490.
Wong, H. T. (2019). Volatility spillovers between real exchange rate returns and real stock price returns in Malaysia. International Journal of Finance & Economics, 24(1), 131-149.
Worthington, A., & Higgs, H. (2004). Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis. International Journal of Finance & Economics, 9(1), 71-80.
Zhang, H., Chen, J., & Shao, L. (2021). Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19. International Review of Financial Analysis, 77, 101828.
)