سنجش پویایی‌های سرریز تلاطم بین دلار و بازار سهام ایران؛ کاربردی از رویکرد اتصالات فرکانسی

Abbasi, Ebrahim; Dehghan-Nairy, Leila; and Pourdadash-Mehrabani, Nazila (2016). Investigating the relationship between trading volume, stock returns and return volatility at different scales in Tehran Stock Exchange. Asset Management and Financing, 4(4), 99-114. DOI: 10.22108/amf.2016.21115. (In Persion

Adewuyi, A. O., Adeleke, M. A., Tiwari, A. K., & Abakah, E. J. A. (2023). Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method. Resources Policy, 83, 103638. DOI: 10.1016/j.resourpol.2023.103638

Andrieș, A. M., Ihnatov, I., & Tiwari, A. K. (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238. DOI: 10.1016/j.econmod.2014.05.013

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. DOI: 10.3390/jrfm13040084

Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271-296. DOI: 10.1093/jjfinec/nby001

Basnarkov, L., Stojkoski, V., Utkovski, Z., & Kocarev, L. (2020). Lead–lag relationships in foreign exchange markets. Physica A: Statistical Mechanics and its Applications, 539, 122986. DOI: 10.1016/j.physa.2019.122986

Bouri, E., Cepni, O., Gabauer, D., & Gupta, R. (2021). Return connectedness across asset classes around the COVID-19 outbreak. International review of financial analysis, 73, 101646. DOI: 10.1016/j.irfa.2020.101646

Camilleri, S. J., Scicluna, N., & Bai, Y. (2019). Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. The North American Journal of Economics and Finance, 48, 170-186. DOI: 10.1016/j.najef.2019.01.019

Chatziantoniou, I., Abakah, E. J. A., Gabauer, D., & Tiwari, A. K. (2022). Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. Journal of Cleaner Production, 361, 132088. DOI: 10.1016/j.jclepro.2022.132088

Chatziantoniou, I., Gabauer, D., & Gupta, R. (2021). Integration and risk transmission in the market for crude oil: A time-varying parameter frequency connectedness approach. University of Pretoria Department of Economics Working Paper Series.

Chatziantoniou, I., Gabauer, D., & Gupta, R. (2023). Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach. Resources Policy, 84, 103729. DOI: 10.1016/j.resourpol.2023.103729

Cui, J., & Maghyereh, A. (2022). Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic. Financial Innovation, 8(1), 90. DOI: 10.1186/s40854-022-00395-w

Cui, J., Goh, M., Li, B., & Zou, H. (2021). Dynamic dependence and risk connectedness among oil and stock markets: new evidence from time-frequency domain perspectives. Energy, 216, 119302. DOI: 10.1016/j.energy.2020.119302

Cunado, J., Gabauer, D., & Gupta, R. (2024). Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach. Financial Innovation, 10(1), 12. DOI: 10.1186/s40854-023-00554-7

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Huang, J., Chen, B., Xu, Y., & Xia, X. (2023). Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. Finance Research Letters, 53, 103634. DOI: 10.1016/j.frl.2023.103634

Jebran, K., & Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. Financial Innovation, 2, 1-20. DOI: 10.1186/s40854-016-0021-1

Khalfaoui, R., Tiwari, A. K., Kablan, S., & Hammoudeh, S. (2021). Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches. Energy Economics, 101, 105421. DOI: 10.1016/j.eneco.2021.105421

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Li, Z., & Meng, Q. (2022). Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19. The North American Journal of Economics and Finance, 59, 101565. DOI: 10.1016/j.najef.2021.101565

Malik, F. (2021). Volatility spillover between exchange rate and stock returns under volatility shifts. The Quarterly Review of Economics and Finance, 80, 605-613. DOI: 10.1016/j.qref.2021.04.011

Mohajari, Parisa; and Taleblo, Reza (2022). Investigating the dynamics of spillovers of volatility between sector returns using the time-varying vector autoregressive linkages (TVP-VAR) approach; evidence from the Iranian stock market. Economic Research, 57(2), 321-356. DOI: 10.22059/jte.2023.349895.1008727. (In Persion

Monteiro, A., Silva, N., & Sebastião, H. (2023). Industry return lead-lag relationships between the US and other major countries. Financial Innovation, 9(1), 40. DOI: 10.1186/s40854-022-00439-1

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Norbakhsh, Asgar; Soltani, Ramin; and Asadi-Mafi, Mahboobeh (2021). The lead-lag effect between stocks within an industry: Assessing market efficiency and providing trading strategies. Financial Research, 23(3), 419-439. DOI: 10.22059/frj.2021.328503.1007227. (In Persion

Pan, M. S., Fok, R. C. W., & Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance, 16(4), 503-520. DOI: 10.1016/j.iref.2005.09.003

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Shang, J., & Hamori, S. (2024). Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU. Energy Economics, 107473. DOI: 10.1016/j.eneco.2024.107473

Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609-621. DOI: 10.1016/j.intfin.2012.04.005

Zhu, H., Yu, D., Hau, L., Wu, H., & Ye, F. (2022). Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis. The North American Journal of Economics and Finance, 61, 101708. DOI: 10.1016/j.najef.2022.101708