سرایت بحران‌های مالی جهانی بر تلاطم‌های ارزی در اقتصاد ایران؛ رویکرد گارچ-کاپولا

بهره‌مند، عبدالرضا، الوندی، احسان وتیموری، مهدی . (1394). توابع کاپولا و کاربرد آن در هیدرولوژی استوکاستیک، حفاظت و بهره‌برداری از منابع طبیعی، 2 (۴)، 20-1.

سید حسینی، سید محمد و ابراهیمی، سید بابک .(1392). بررسی سرایت تلاطم بین بازارهای سهام، مطالعه موردی بازار سهام ایران، ترکیه و امارات. دانش مالی تحلیل اوراق بهادار (مطالعات مالی)، 6(19)، 81-97. Id:211159

شهیکی تاش، محمد نبی، خداداد کاشی، فرهاد و میرباقری جم، محمد. (1396). بررسی ضریب وابستگی شاخص‌های ساختاری بازار در صنایع کارخانه‌ ایران بر مبنای توابع مفصلی شرطی. مطالعات و سیاست‌های اقتصادی،107، 13(۱)، 54-29. doi: 10.22096/esp.2017.32480

عبادی، جعفر، الهی، ناصر و هوشمند گهر، سعیده. (1398). اثر شوک ارزی بر شاخص ریسک سیستمی صندوق‌های سرمایه گذاری مشترک. پژوهش‌ها و سیاست‌های اقتصادی، 27(89)، 297-273.

فتاحی، شهرام، سهیلی، کیومرث و دهقان جبارآبادی، شهرام. (1396). بررسی سرایت در بازارهای مالی ایران با استفاده از فرآیند اونشتاین اولنک و مبدل موجک پیوسته. مدلسازی اقتصادسنجی،2(۴)، ،54-33. doi: 10.22075/jem.2018.12956.1090

فلاحی، فیروز و جهانگیری، خلیل (1394). آزمون وجود سرایت مالی میان بازار سهام، ارز و سکه طلا در ایران، اقتصاد پولی، مالی (دانش وتوسعه سابق) دوره جدید، 22(10) ، 35-60. doi:  10.22067/pm.v22i10.40535

کشاورز حداد، غلامرضا و مقاره عابد، سپهر .(1392). آیا بحران مالی جهانی به بازار سهام تهران سرایت کرد؟. تحقیقات اقتصادی ، 48(2)، 199-179. . doi: 10.22059/jte.2013.35173.

کشاورز حداد، غلامرضا. (1396). اقتصاد سنجی سری‌های زمانی. تهران: نشر نی.

یزدانی، مهدی، اسماعیلی، علی .(1396). تعامل جریان‌های تجاری و نشر بحران‌های مالی در کشورهای نوظهور رویکرد معادلات همزمان با متغیر وابسته گسسته در داده‌های تابلویی. پژوهش های اقتصادی ایران،  22(70)، 173-133. doi: 10.22054/ijer.2017.7968

Aderajo, O.M., Olaniran, O.D. (2021). Analysis of financial contagion in influential African stock markets. Future Business Journal, ISSN 2314-7210, Springer, Heidelberg, 7(1),1-9.

Ali, M., Deo, R. C., Downs, N. J., Maraseni, T. (2020). Monthly rainfall forecasting with Markov Chain Monte Carlo simulations integrated with statistical bivariate copulas.In Handbook of Probabilistic Models , Elsevier (Butterworth-Heinemann), Oxford, United Kingdom, 89-105.

Arestis P, Caporale G, Cipollini A, Spagnolo N. (2005). Testing for financial contagion between developed and emerging markets during the 1997 East Asian Crisis. International Journal of Finance & Economics,10(4), 359–367.

Bahremand,A., Alvandi,E., Teimouri,M. (2015). Copula functions and their application in stochastic hydrology. Journal of Conservation and Utilization of Natural Resources, 4 (2), 1-20. [In Persian]

Bouri, E.I. (2014). Isreali-Hezbollah war and global financial crisis in the Middle East and North African equity markets. Journal of Economic Integration, 29, 1–19.

Calvo, S.G. & Reinhart, C.M. (1996). Capital flows to Latin America: is there evidence of contagion effects? World Bank Policy Research Working Paper:1619.

Calvo, S.G., Mendoza,M. (1998). Rational Herd Behavior and the Globalization of Securities Market. Discussion Paper/Institute for Empirical Macroeconomics 120, Federal Reserve Bank of Minneapolis.

Chen, X., Hao, A., Li, Y. (2020). The impact of financial contagion on the real economy. PLoS ONE ,15,3.

Cherubini, U., Luciano, E., Vecchiato, W. (2004). Copula Methods in Finance. West Sussex.

Chiang, T., Jeon, B., Li, H. (2007). Dynamic correlation analysis of financial contagion: evidence from Asian markets. J Int Money Finance, 26,1206–1228.

Cho, J., Parhizgari, A. (2008). East Asian financial contagion under DCCGARCH, Int J Bank Finance ,6(1), 17–30.

 Ciprian, N. (2010). A Copula-Garch Model, Economic Research-Ekonomska Istraživanja, 23(2), 1-10.

Claessens, S., Dornbusch,R., Park,Y.C. (2001). Contagion: Why Crises Spread and How This Can Be Stopped. In Claessens,S. & Forbes,K. (Eds.), International Financial Contagion, Boston: Kluwer Academic Publishers, 19-41.

Corbet, S., Twoney, C. (2015). European equity market contagion: an empirical application to Ireland’s Sovereign debt crisis, Eur Financ Account J ,10(3), 15–34.

Corsetti, G., Marcello P., Massimo, S. (2004). Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion. Journal of International Money and Finance, Elsevier, 24(8), 1177-1199.

Dungey, M., Fry, R.A., González,H.B., Martin, V.L. (2005c). Emprical Modeling of Contagion, A Review of Methodologies, Quantitative Finance, 5(1), 9-24.

Eichengreen, B., Andrew ,R. & Charles ,W. (1996). Contagious Currency Crises. Scandinavian Economic Review, 98, 463-84.

fallahi, F.& jahangiri, K. (2015). The Study of Financial Contagion among Stock Market, Exchange and Gold Coin in Iran. Monetary & Financial Economics, 22(10), 35-60. doi: 10.22067/pm.v22i10.40535 [In Persian]

Fattahi, Sh,, Soheili, K., and Dehghan .J, S. (2017). Investigating the spread in Iran's financial markets using a combination of the Orenstein Olenbeck process and continuous wave conversion. Quarterly Journal of Econometric Modeling, 4, 33-53. doi: 10.22075/jem. 2018.12956.1090 [In Persian]

Forbes, K., Rigobon, R. (2001). Measuring contagion: conceptual and empirical issues. International Financial Contagion, Springer, 43-66.

Forbes, K., Rigobon,R.(1999). No Contagion, Only Interdependence: Measuring Stock Market Co-Movements. NBER Working Paper: 7267.

Forbes, K.J., Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements, The Journal of Finance, 57(5), 2223-2261.

Fuchun, Li.(2009). Testing for Financial Contagion with Applications to the Canadian Banking System, Financial Stability Department. Bank of Canada, Ottawa, Ontario, Canada K۱A ۰G۹, fuchunli@bankofcanada.ca.

Gallegati, M. (2012). A wavelet-based approach to test for financial market contagion. Comput Stat Data Anal, 56, 11,3491–3497.

Glick, R., Hutchison, M. (2011). Currency Crises. Federal Reserve Bank of San Francisco ,Working Paper Series 22.

Goldfajn, I., Valdés, R. (1997). Capital Flows and Twin Crises: The Role of Liquidity. IMF Working Paper : 97/87.

Gose, E., Gomez,G.,Wilmer, R.E. (2019). Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas. Economic Systems, Elsevier, 43(3), Issues 3–4, 1-39.

Gray, D. (2009). Financial contagion among members of the EU-8: a cointegration and Granger causality approach. International Journal of Emerging Markets, 4(4), 299-314.

Houshmand Gohar, S.(2019). Effect of exchange rate change shocks on systemic risk index among mutual funds. Journal of Economic Research and Policies. 2019; 27 (89) , 373-398. [In Persian]

Hylleberg,S., Engle, R.F., Granger, C.W.J., Yoo, B.S. (1990).Seasonal integration and cointegration.  sciencedirect, 44, Issues 1–2, 215-238.

Joe, H. ( 2001). Multivariate models and dependence concepts. 139-168.

Kaminsky,G.L., Reinhart,C.M., Vegh,C.A. ( 2003). The Unholy Trinity of Financial Contagion. NBER Working Paper:10061.

Karanasos, M., Paraskevopoulos, A., Ali, F., Karoglou, M., Yfanti, S. (2014). Modelling stock volatilities during financial crises: a time varying coefficient approach. Empirical Finance, 29, 113–128.

 Keshavarz Haddad, G., Maghareh Abed, S. (2013). Contagion Effects of Global Financial Crisis on Tehran Stock Exchange. Journal of Economic Research (Tahghighat- E- Eghtesadi), 48(2), 179-199. doi: 10.22059/jte.2013.35173. [In Persian]

Keshavarz Haddad, G.(1396). Econometrics of time series. Tehran, Nei Publishing. [In Persian]

king, M.A. , Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.

Masih, A., Masih, R. (1997). Dynamic linkages and the propagation mechanism driving major international stock markets: an analysis of the preand post-crash eras. Q Rev Econ Finance, 37(4), 859–885.

Morales, L., Andreosso,O’C.B. (2014). The global financial crisis: world market or regional contagion effects? Int Rev Econ Finance, 29,108–131.

Offiong, A., Riman, H., Godwin, B. (2018). Financial contagion and its impact on the Nigerian Stock Market. J Econ Bus, 1, 3, 268–281.

Reinhart,C.M., Kaminsky,G., Vegh,C.(2003). Two Hundred Years of Contagion. Journal of Economic Perspectives 17(4),51-74.

Seyed Hosseini, S. M., Ebrahimi, S. B., Babakhani, M. (2013). Correlation Turbulence Model Fixed Condition with Long-Term Memory Evidence from Tehran and Dubai Stock Markets. Journal of Financial Engineering and Securities Management, 3 (11) ,25 – 46.id=353538.[In Persian]

Shahiki Tash, M., Khodadad Kashi, F., Mirbagherijam, M. (2017). Survey of the Dependency Coefficient among Market Structure Indices in the Iranian Manufacturing by the Conditional Vine Copulas Function Approach. The Journal of Economic Studies and Policies, 4(1), 29-54. doi: 10.22096/esp.2017.32480 [In Persian]

Simone, M., Alberto, B., Danilo, L. (2019). Financial contagion and economic development: an epidemiological approach, Econ Behav Organ, 162, 211–228.

Song, P.X.-K. (2000). Multivariate dispersion models generated from Gaussian copula. Scandinavian Journal of Statistics, 27(2), 305–320.

Tiwari, A., Mutascu, M., Albulescu, C. (2016). Continuous wavelet transform and rolling correlation of European stock markets.,Int Rev Econ Finance, 42, 237–256.

Yazdani, M., Esmaeili, A. (2017). Interaction between Trade Flows and Contagion of Financial Crises in Emerging Market Countries: Approach of Simultaneous Equations with Discrete Dependent Variable in Panel Data. Iranian Journal of Economic Research, 22(70), 133-173. doi: 10.22054/ijer.2017.7968. [In Persian]