[1] | Agren, M., “Does Oil Price Uncertainty Transmit To Stock Markets?” Working Paper No.23: Department of Economics, Uppsala University, 2006. |
|
[2] | Alam, M. Z., Siddikee, M. N., and Masukujjaman, M, “Forecasting Volatility of Stock Indices with ARCH Model,” International Journal of Financial Research, 4(2). 126-143. Apr. 2013. |
|
[3] | Aziz, M. S. I., and Uddin, M. N, “Volatility Estimation in the Dhaka Stock Exchange (DSE) returns by GARCH models,” Asian Business Review, 4(1). 41-49. Feb. 2015. |
|
[4] | Baba, Y., Engle, R. F., Kraft, D. F. and Kroner, K. F, “Mulitvariate Simultaneous Generalized ARCH,” MIMEO, Department of Economics, University of California, San Diego, 1990. |
|
[5] | Basher, S. A., Hassan, M. K. and Islam, A. M, “Time-varying Volatility and Equity Returns in Bangladesh Stock Market,” Applied Financial Economics, 17(17). 1393-1407. Nov. 2007. |
|
[6] | Bhar, R., and Nikolova, B, “Oil Prices and Equity Returns in the BRIC Countries,” The World Economy, 32(7). 1036-1054. Jul. 2009. |
|
[7] | Bollerslev, T., Chou, R. Y., and Kroner, K. F, “ARCH Modelling in Finance,” Journal of Econometrics, 52(1-2). 5-59. Apr. 1992. |
|
[8] | Bollerslev, T., Engle, R.F. and Wooldridge, J. M, “A Capital Asset Pricing Model with Time Varying Covariances,” Journal of Political Economy, 96(1). 116-131. Feb. 1988. |
|
[9] | Brooks, C., Introductory Econometrics for Finance, Cambridge University Press, Second edition, 2008. |
|
[10] | Dickey, D. A. and Fuller, W. A, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74(366a). 427-431. 1979. |
|
[11] | Dickey, D. A. and Fuller, W. A,“ Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica: Journal of the Econometric Society, 1057-1072. Jul. 1981. |
|
[12] | Gatfaoui, H., “Translating Financial Integration into Correlation Risk: A Weekly Reporting's Viewpoint for the Volatility Behavior of Stock Markets,” Economic Modelling, 30. 776-791. Jan. 2013. |
|
[13] | Glosten, L. R., Jagannathan, R., and Runkle, D. E, “On the Relation Between the Expected Value and the Global Volatility of the Nominal Excess Return on Stocks,” The Journal of Finance, 48(5). 1779-1801. Dec. 1993. |
|
[14] | Huq, M. M., Rahman, M. M., Rahman, M. S., Shahin, M. A. and Ali, M. A, “Analysis of Volatility and Forecasting General Index of Dhaka Stock Exchange,” American Journal of Economics, 3(5). 229-242. 2013. |
|
[15] | Islam, M. A., Islam, M. R., and Siddiqui, M. H, “Stock Market Volatility: Comparison between Dhaka Stock Exchange and Chittagong Stock Exchange,” International Journal of Economics Finance and Management Sciences, 2(1). 43-52. 2014. |
|
[16] | Islam, M., Munira, S., Roy, R., and Khan, M. S, “Performance Measurement of Some Selected Companies of Dhaka Stock Exchange by GARCH Family,” Journal of Mathematics and Informatics, 5. 57-61. 2016. |
|
[17] | Iwatsubo, K., Inagaki, K., “Measuring Financial Market Contagion using Dually-Trade Stocks of Asian Firms,” Journal of Asian Economics, 18(1). 217-236. Feb. 2007. |
|
[18] | Jarque, C. M., and Bera, A. K, “A Test for Normality of Observations and Regression Residuals,” International Statistical Review, 55(2). 163-172. Aug. 1987. |
|
[19] | Joshi, P, “Return and Volatility Spillovers Among Asian Stock Markets,” Sage Open Journal, 1(1). Jun. 2011. |
|
[20] | Kang, S. H. and Yoon, S. M, “The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia,” Journal of East Asian Economic Integration, 15(4). 49-71. 2011. |
|
[21] | Koop, G., Poirer, D. J., and Tobias, J. L, Bayesian Econometric Methods, Cambridge University Press, 2007. |
|
[22] | Kroner, K. F. and Ng, V. K, “Modelling Asymmetric Comovements of Asset Returns,” Review of Financial Studies, 11(4), 817-844. Oct. 1998. |
|
[23] | Litterman, R. B, “Techniques of Forecasting using Vector Autoregressions,” Working Paper-Federal Reserve Bank of Minneapolis, 115. 1979. |
|
[24] | Litterman, R. B, “A Bayesian Procedure for Forecasting with Vector Autoregression,” Working Paper- Massachusetts Institute of Technology, Department of Economics. 1980. |
|
[25] | Liu, H. C. and Hung, J. C, “Forecasting S&P-100 Stock Index Volatility: The Role of Volatility Asymmetry and Distributional Assumption in GARCH Models,” Expert Systems With Applications, 37(7). 4928-4934. Jul. 2010. |
|
[26] | Miah, M. and Rahman, A, “Modelling Volatility of Daily Stock Returns: Is GARCH(1,1) Enough?” American Scientific Research Journal for Engineering, Technology, and Sciences (ASRJETS), 18(1), 29-39. Mar. 2016. |
|
[27] | Mollik, A. T and Bepari, M. K, “Feedback Trading Behavior in Dhaka Stock Exchange (DSE), Bangladesh,” International Review of Business Research Papers, 9(5). 154-168. Sep. 2013. |
|
[28] | Morales, L. and Gassie, E, “Structural Breaks and Financial Volatility: Lessons from BRIC Countries,” Unpublished. 2011. |
|
[29] | Nekhili, R. and Muhammad, N, “Volatility Spillovers among the Gulf Arab Emerging Markets,” China-USA Business Review, 9(4). 25-32. Apr. 2010. |
|
[30] | Rahman, M. M., Zhu, J. P., and Rahman, M. S, “Impact Study of Volatility Modeling of Bangladesh Stock Index using Non-normal Density,” Journal of Applied Statistics, 35(11). 1277-1292. Nov. 2008. |
|
[31] | Rayhan, M. A., Sarker, S. A. M. E., and Sayem, S. M, “The Volatility of Dhaka Stock Exchange (DSE) Returns: Evidence and Implications,” ASA University Review, 5(2). 87-99. Jul. 2011. |
|
[32] | Saleem, K., Collan, M., Ahmed, S., and Gyasi, A. K, “Market Integration, Return and Volatility Dynamics: Empirical Evidence from African Stock Markets,” International Business Research, 7(9), 30-44. Aug. 2014. |
|
[33] | Sharpe, W. F, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, 19(3). 425-442. Sep. 1964. |
|
[34] | Siddikee, M. N. and Begum, N. N, “Volatility of Dhaka Stock Exchange,” International Journal of Economics and Finance, 8(5). 220-229. Apr. 2016. |
|