* Ardia, David. (2009). Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations. Econometrics Journal Vol 12, PP: 105–126
* Aloui, C., Jammazi, R. (2009). The Effects of Crude Oil Shocks on Stock Market Shifts Behavior: A Regimes Witching Approach. Energy Economics Vol 31 (5) , PP: 789–799
* Bae, J., Kim, C. J., Nelson, C. R. (2007). Why are stock returns and volatility negatively correlated? Journal of Empirical Finance Vol 14, 41–58
* Bauwens, L., Preminger, A., Rombouts, J. V. K. (2006). Regime Switching GARCH Models. CORE Discussion Paper, Vol 11, PP: 47- 63
* Bohl, M. T, Essid, B, Siklos, P. L. (2012) "Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan" The Quarterly Review of Economics and Finance,
Vol 52, PP 198–206
* Bollerslev, T., Mikkelsen, H. (1996). Modelling and pricing long memory in stock market volatility. J. Econometrics Vol 73, PP: 151–184
* Chkili, W., Nguyen, D.K. (2014) Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries, Research in International Business and Finance. Vol 31. PP: 46-56
* Chkili, Walid, Aloui, Chaker, NguyenDuc, Khuong. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets Institutions & Money. Vol 22, PP: 738-757
* Chortareas, Georgios and et al. (2012).Switching to floating exchange rates, Devaluations, and stock returns in MENA countries, International Review of
* Financial Analysis Vol 21, PP: 119–127
* Diamantis, P. F. (2008). Financial liberalization and changes in the dynamic behaviour of emerging market volatility: evidence from four Latin American equity markets. Research in International Business and Finance Vol 22, PP: 362–377
* Ding, Z., C. W. J. Granger, and R. F. Engle. (1993). A long memory property of stock market returns and a new model, Journal of Empirical Finance Vol 1, 83–106
* Dunne, Peter, Hau, Harald, Moore Michael. (2010). International order flows: Explaining equity and exchange rate returns. Journal of International Money and Finance. Vol 29. PP: 358-386
* Fakhfekh,
M , Hachicha ,
N , Jawadi,
F , Selmi ,
N , Idi,
Cheffou (2016). Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach.
Emerging Markets Review. Vol
27, PP : 84–99
* Guidolin, M., Timmermann, A. (2006). An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. Journal of Applied Econometrics Vol 21, PP: 1–22
* Hamilton, J. D. (2008). Oil and the macroeconomy, In: Durlauf, S., Blume, L. (Eds.) , The New Palgrave Dictionary of Economics, 2nd Ed. Palgrave MacMilan Ltd.
* Henry, O. (2009). Regime switching in the relationship between equity returns and short-term interest rates. Journal of Banking and Finance Vol 33, PP: 405–414
* Imran, et al. (2010). Causal Relationship between Macroeconomic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management.Vol. 4(3).
* Ismail, M. T., Isa, Z. (2008). Identifying regime shifts in Malaysian stock market returns. International Research Journal of Finance and Economics Vol 15, PP: 44–57.
* Kutty, G. (2010). The relationship between exchange rates and stock prices: the case of Mexico. North American Journal of Finance and Banking Research Vol 4, PP: 1–12.
* Liang, C.C, Lin, J.B, Hsu, H.C (2013). "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach. “Economic Modelling,
Vol 32, PP : 560–563
* Lin, C.H, (2012). "The comovement between exchange rates and stock prices in the Asian emerging market." International Review of Economics and Finance,
Volu 22, PP: 161–172
* Maheu, J. M., McCurdy, T. H. (2000). Identifying bull and bear markets in stock returns. Journal of Business and Economic Statistics Vol 18, PP: 100–112.
* Moore .Tomoe, Wang.Ping. (2014). Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets. International Review of Economics and Finance Vol 29, PP: 1-11
* Schaller, H. (Norden, S., 1997). Regime switching in stock market returns. Applied Financial Economics Vol 7, PP: 177–192.
* Skovmand, David. (2015). Modeling tail distributions with regime switching GARCH models. Master Thesis. Copenhagen Business School
* Turner, M. C., Startz, R., Nelson, C. F. (1989). A Markov model of heteroskedasticity, risk, and learning in the stock market. Journal of Financial Economics Vol 25, PP: 3–22.
* Walid, C., Chaker, A., Masood, O., Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach, Emerging Markets Review Vol 12, 272-292.
* Wang, P., Theobald, M. (2008). Regime-switching volatility of six East Asian emerging stock markets. Research in International Business and Finance Vol 22, PP: 267–283.
* Xiu Jin & Yao Jin, (2007), “Empirical Study of ARFIMA Model Based on Fractional Differencing”, Physica vol 377, PP: 138–154.
* Yang, S. Y., Doong, S. C. (2004). Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries. International Journal of Business and Economics Vol 3, PP: 139–153.
* Zakoin, J-M (1992). Threshold heteroskedasity models. jornal of economic dynamics and control. vol 18. PP: 931-955