correlations between stocks” Physica A: Statistical Mechanics and its Applications, Volume 410, Pages 623–627.
Guo, F.(2011) “markets contagion during financial crisis: a regime switching approach”, international review of economics and finance, Volume 20, pp.95-109.
Ichiue, H., koyama, K., (2011) “regime switching in exchange rate volatility and uncovered interest parity” Journal of international many and finace, Volume 25, pp.213-231.
Jade, V., and Rafael Dix-Carneiro (2012)”Multi-Product Firms and Exchange Rate Fluctuations” University of New South Wales.
José M. Benavente, Christian A. Johnson (2003) “Debt Composition and Balance-Sheet Effects of Exchange Rate: A Firm level Analysis for Chile” Department of Economics, Universidad de Chile, 257 Diagonal Paraguay, Santiago-Chile.
Jung-Bin, S (2015) ” alue-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market” Economic Modelling Volume 46, Pages 204–224.
Hamilton, J.D. (1989) “A new approach to the economic analysis of no stationary time series and the business” economical, Volume 57, pp.357-384.
Hamilton, J.D. (1994)”autoregressive conditional heteroskdestisity and changes in regime” Journal of econometrics, Volume 64, pp.307-333.
Horvath, L., kokoszka, P. and Zhang, A. (2006) “Monitoring constancy of variance in conditional heteroskdestisity time series” Journal of econometrics theory, Volume 22, pp.373-402.
Howard, K., and M. O’Connor (2004)” Convertible Securities, An Investors’ Guide;” Technical report, Deutsche Bank.
Hoa, N, Robert Faff (2003) “Can the use of foreign currency derivatives explain variations in foreign exchange exposure? Evidence from Australian companies” Journal of Multinational Financial Management, Volume 13, Pages 193-215.
Kathryn, M.E. Dominguez, Linda L. Tesar (2006) “Exchange rate exposure” Journal of International Economics, Volume 68 , Pages 188– 218.
Karl, F. (2015) “Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates” Journal of Banking & Finance, Volume 54, Pages 129–140.
Klaassen, F. (2002) “improving GARCH volatility forecasts with regime-switching GARCH” Journal of empirical economics, Volume 27, pp.363-394.
Kyung-Chun, M., and George Emir Morgan (2003) “Bank foreign exchange and interest rate risk management: simultaneous versus separate hedging strategies” Journal of Financial Intermediation, Volume 12, pp. 277–297.
Landskroner, S., and A. Ravi (2007)” Credit Spread implied Convertible Bonds prices;” Hebrew University of Jerusalem.
Lee, H., T., (2010) “regime switching correlation hedging”, Journal of banking and finance, Volume 34, pp.2728-2741.
Liu. X., Margaritis, D., Wang, P., (2012) “stock market volubility and equity returns: evident from a two-state marcov switching model with repressors” Journal of empirical finance, Volume 19, pp.483-496.
Liang-Chun, H., Chia-Hsing Huang (2015) “The nonlinear relationships between stock indexes and exchange rates” Japan and the World Economy, Volume 33, Pages 20–27.
Mike,P.S, Yu,P. (2007)”Emperical analysis of GARCH models in value at risk estimation” Journal of International Financial Markets, Institutions& Money, Volume 16, pp.180-197.
Mike K. P. and Philip L. H. Yu (2008) “Empirical Analysis of GARCH Models in Value at Risk Estimation” Journal of International Financial Markets, Institutions and Money, Volume. 16, pp. 180-197.
Hung, M.W. and J.Y. Wang (2006)” Pricing Convertible Bonds Subject to Default Risk;” Journal of Derivatives, Volume 10.
Magda, K., Hakan Berument, N. Nergiz Dincer (2007) “The effects of exchange rate fluctuations on economic activity in Turkey” Journal of Asian Economics, Volume 18, Pages 466–489.
Opaluwa David, J. C. Umeh and Abu A. Ameh (2010) “The effect of exchange rate fluctuations on the Nigerian manufacturing sector” African Journal of Business Management, Volume 4, pp. 2994-2998.
Ping, H (2007) “Real exchange rate and manufacturing employment in China” China Economic Review, Volume 18, pp. 335–353.
Ping-Tsung Wu a, Shwu-Jane Shieh, (2007) “Value-at-Risk analysis for long-term interest rate futures:Fat-tail and long memory in return innovations”, Journal of Empirical Finance, Volume 14, pp. 248–259.
Monica, B., Loriana Pelizzon (2000) “Value-at-Risk: a multivariate switching regime approach” Journal of Empirical Finance, Volume 7, pp.531–554.
Naifar, N. (2011) “what explain default risk premium during the financial crisis? Evidence from japan” Journal of economics and business, Volume 63, pp.412-430.
Nelson, D.B., (1991) “conditional heteroskdestisity in asset returns: a new approach” Journal of econometrical, Volume 59, pp.347-370.
Nishiyima, K. (1998) “some evidence of regime shifts in international stock markets” Journal of managerial finance, Volume 24, pp.30-55.
Pagan, A. and Aman Ullah (1988)”the econometrics analysis of models with risk term” Journal of economics, Volume 3, pp.87-105.
Quant, R. E. (1958) “estimation of the parameters of a linear regression system Obeying two separate regime” Journal of the American statistical association, Volume 53, pp.873-880.
Grimwood, R. and S.Hodges (2012)” The Valuation of Convertible Bonds: The Study of Alternative Pricing Models;” Warwick Finance Research Institute working paper.
Ramkishen, S. Rajana (2012) “Management of exchange rate regimes in emerging” Review of Development Finance, Available online 23 June 2012.
Robert Dekle (2000) “The yen and Japanese manufacturing employment” Journal of International Money and Finance, Volume 17, pp. 785-801.
Robert, D, Heajin H. Ryoo (2007) “Exchange rate fluctuations, financing constraints, hedging, and exports: Evidence from firm level data” Int. Fin. Markets, Inst. and Money, Volume 17, pp. 437–451.
Sohnke, M. Bartram, G¨unter Dufey, Michael R. Frenkel (2005) “A primer on the exposure of non-financial corporations to foreign exchange rate risk” Journal of Multinational Financial Management, Volume 15, pp. 394–413.
Stephen, P. Huffman, Stephen D. Maka, Scott B. Beyer (2010) “A three-factor model investigation of foreign exchange-rate exposure” Global Finance Journal, Volume 21, pp. 1–12.
Shiuyan, P. (2007) “Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models” Journal of Banking & Finance, Volume 28, pp. 2541–2563.
Stavros Degiannakis (2010) ”Forecasting Value-at-Risk (VaR) using Fractionally Integrated Models of Conditional Volatility” Department of Economics, University of Portsmouth.
Sadorsky, P., (2006) “modeling and forecasting petroleum futures volatility” Journal of energy economics, Volume 28, pp.467-488.
Syllignakis, M., N., Kouretas, G., P., (2011) “marcov switching regimes and the monetary model of exchange rate determination: evidence from the central and eastern European markets” Journal of international financial markets, Volume 52, pp.321-341.
Ta-Lun, T, Shwu-Jane Shieh(2010) “Long memory in stock index futures markets: A value-at-risk approach, Physica A: Statistical Mechanics and its Applications” Volume 366, pp. 437–448.
Reynolds, S. (2012)” The Convertibles Market;” Lazard Asset Management.
Thomas L., Taisei Kaizoji, (2008) “Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching” Journal of Economic Dynamics & Control , Volume 31, pp.1808– 1843.
Aaboa, T., Hgb E., Kuhnc J. (2010) “Integrated foreign exchange risk anagement: The role of import in medium-sized manufacturing firms” Journal of Multinational Financial Management, Volume 20, pp. 235-250.
Takatoshi Ito, Satoshi Koibuchi, Kiyotaka Sato, Junko Shimizu (2010) “Exchange Rate Risk Management of Japanese Firms: New Findings from Questionnaire Survey” Joint International Conference of Edith Cowan University and Yokohama National University P
er
th, Australia, November 22-23.
Gushchin, V. and E. Curien (2010)” The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis;”Journal of Derivatives & Hedge Funds, Volume 14, pp 145-172.
Y. Walid, C., Chaker, A., Masood, O, Fry, J., (2011) “stock market volatility and exchange rates in emerging countries: a markov-state switching approach” journal of emerging markets review, Volume 12, pp. 272-292.
Wang, P., Theobald, M., (2008) “regime switching volatility of six eastern Asia emerging markets” journal of research in international business and finance, Volume 22, pp.267-283.
Landskroner, Y. and A. Raviv(2005)” Pricing inflation-indexed convertible bonds with credit risk;”Hebrew University of Jerusalem.
Yung & Chang,Chia(2008). Adouble- threshold Garch model of stock market and currency shocks on stock returns, journal of mathematics and computers in simulation, Volume 3, pp 458-
Yoon, Seong-Min and Sang Hoon Kang(2009) “A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets” Journal of International Economic Studies, Volume 11, pp. 211-242.
Velucchi, M., (2009)”regime swiching: Italian financial markets over a century” statistical method & application, Volume 18, pp. 67-86
Yuqing, X (2008) “Why is China so attractive for FDI? The role of exchange rates” China Economic Review, Volume 17, Pages 198– 209.
Yilmazkuday, H., Asay, K. (2008) “an analysis of regime shifts in the Turkish economy” journal of economic modelling, Volume 25, pp. 885-898.
Yuan, C., (2011) “the exchange rate and macroeconomic determinants: time-varying transitional dynamics” the North American journal of economics and finance, Volume 22, pp.197-220.

پیوست (الف): خلاصه نتایج یافته‌های سایر محققین در خصوص بررسی رابطه بین نرخ ارز و قیمت و بازده سهام
نویسنده (سال انتشار)
مدل
نتایج
نجاری و موفرجی (2002)
انگل گرنجر
بین متغیرهاي کلان بخش خارجی (نرخ ارز، ذخایر ارزي و تراز تجاري)و شاخص قیمت سهام بورس هند رابطه علیت وجود

Written by 

پاسخی بگذارید

نشانی ایمیل شما منتشر نخواهد شد. بخش‌های موردنیاز علامت‌گذاری شده‌اند *