BIBLIOGRAPHY

Books

Apte, P. G., 2002, International Financial Management, 3" ed, Tata McGraw Hill, New Delhi.

Bany, H., and C. Storey, 1990, Management and Control of Currency and Interest Rate Risk, Probus, New York.

Bishop, P., and D. Dixon, 1992, Foreign Exchange Handbook, McGraw Hill, Singapore.

Black, D., 1992, Financial Market Analysis, McGraw-Hill, Singapore.

Black, J., and P. Lawrence, 1992, ABC of Management: A Hand-book of Management Terms and Concepts, A.I.T.B.S, Delhi.

Brook, C., 2002, Introductory Econometrics for Finance, Cambridge University Press, UK.

Carbaugh, R. J., 2001, International Economics, 5Ih ed, Eastern Press, Bangalore.

Dan, R., and K.P.M. Sundharam, 2004, Indian Economy, 19Ih ed, S. Chand and Company, New Delhi.

Fama, E. F., and M. H. Miller, 1972, Theory of Finance, Dryden Press.

Franses, P.H., 1998, Time Series Models for Business and Economic Forecasting, Cambridge University Press, UK.

Fuller, W. A,, 1976, Introduction to Statistical Time series, John Wiley, New Delhi.

Fuller, W.A., 1976, Introduction to Statistical Time Series, Wiley, New York.

Gujarathi, D. N., 1995, Basic Econometrics, McGraw Hill, Singapore.

Gupta, S.B., 1999, Monetary Economics: Institutions, Theory and Policy, S. Chand and Company, New Delhi.

Howcraft, B., and C. Storey, 1990, Management and Control of Currency and Interest Rate Risk, Probus, New York.

Jeff, M., 1989, International Financial Management, 2" d., West, New York.

Johansen, S., 1995, Likelihood-Base Inferences in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.

Jones, E.T., and D.L. Jones, 1987, Hedging Foreign Exchange: Converting . Risk to ProJif, Wiley, New York.

Machiraju, H.R., 2002, Indian Financial System, 2nd ed., Vikas Publishing House, New Delhi.

Madura, J., 1989, International Financial Management, 2d ed, West New York.

McMenamin, Jim., 2000, Financial Management An Introduction, Oxford University Press.

Mills, T.C., 1999, The Econometric Modelling of Financial Time Series, 2"* ed., Cambridge University Press.

Moles, P., and N. Teny, 2002, Handbook of International Financial Terms, Oxford University Press.

Patterson, K., 2002, An Introduction to Applied Econometrics: A Time Series Approach, Palgrave, Delhi.

Pindych, R. S. and D. L. Rubinfeld, 1991, Econometric Models and Economic Forecasts, McGraw Hill, New York.

Raghunathan, V., 2001, Stock Exchanges and Investments: Straight Answers to 125 Nagging Questions, 2" ed., Tata McGraw Hill, Delhi.

Rajwade, A.V., 2000, Foreign Exchange International Finance Risk Management, Academy of Business studies, New Delhi.

Rodrigenz, R.M., and E.E. Carter, 1984, International Financial Management, 3" ed., Prentice-Hall, Englewood Cliffs, N.J.

Scitovsky, T., 1969, Money and the Balance of Payments, London.

Shapiro, A.C., 1988, International Corporate Finance, 2d ed., Ballinger, Cambridge University Press.

Sharan, V., 2003, International Financial Management, Prentice-Hall, New Delhi.

Sharpe, W. F., 1970, Portfolio Theory and Capital Markets, McGraw-Hill.

Sharpe, W.F., J. Alexander, and J.V. Bailey, 2001, Investments, Prentice-Hall, New Delhi.

Strong, R.A, 2001, Porfolio Management Handbook, Jaico Publishing house, Mumbai.

Taneja, M. K. and Myer, R. M., 1999, Economics of Development and Planning, Jalandar, Shoban La1 Nagin Chand & Co.

Taneja, S.K., 1968, The Indian Rupee in a Maelstorm, Sterling Publishers (Pvt) Ltd, New Delhi.

Van Home, J.C., and J.M. Wachowing Jr, 2001, Fundamental of Financial Management, 1 I ' ~ ed., Pearson Education Asia.

Watson, A., P. Cowdell, and D.Hyde, 2002, Finance of International Trade, A.I.T.B.S. Publishers and Distributors, Delhi.

Wiener, N., 1956, The Theory of Prediction, in E.F. Beckenbak, ed., Modern Mathematics for Engineers, MGraw-Hill, New York, 165-190.

Woelfel, C.J., 1994, Encyclopedia of Banking and Finance, 10' ed., S. Chand and Company, New Delhi.

Abdalla, I. S. A., and V. Murinde, 1997, "Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea,

. Pakistan, and Philippines", Applied Financial Economics, 7,25-35.

Abid, F., N. Aoua, and A.D. Mikhail, 2003, "Linkage between, and Contagion in, Asian Stock and Foreign Exchange Markets (September 1987- October 1999)", Finance India, XVII (4), 13 1 1-1343.

Adler, M., and D. Bamard, 1984, "Exposure to Currency Risk: Definition and Measurement", Financial Management, 4 1-50.

Agganval, R., 1981, "Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates", Akron Business and Economic Review, 7- 12.

Ajayi, R.A., and M. Mougoue, 1996, "On the Dynamic Relation betwsen Stock Prices and Exchange Rates", Journal of Financial Research, 19, 193-207.

Alphonse, P., 2000, "Efficient Price Discovery in Stock Index Cash and Futures Markets", Annales d'Economie et de Statistique, 60, 177-188.

Amain, B.A., and L.S. Hook, 2000, "The Relationship between Stock Prices and Exchange Rate: Empirical Evidence Based on the KLSE Market", Asian Economic Review, 42 (I), 39-49.

Antonious, A., I. Garrett, and R. Priestley, 1998, "Calculating the Equity Cost of Capital using the APT: the impact of the ERM, Journal of International Money and Finance, 17,949-965.

Apte, P.G., 1998, "Currency Exposure and Stock Prices", Journal of Foreign Exchange and International Finance, XI1 (2), 135- 143.

Baharumshah, A.Z., A.M.M. Masih, and M. Azali, 2002, "The Stock Market and the Ringgit Exchange Rate: a Note", Japan and the World Economy, 14,471-486.

Bahmani-Oskooee, M., and A. Sohrabian, 1992, "Stock Prices and the Effective Exchange Rate of the Dollar", Applied Economics, 24, 459- 464.

Baig, T., and I. Goldfajn, 1999, "Financial Market Contagion in the Asian Crisis", IMF StaflPapers, 46 (2), 167- 195.

Bailey, W., C.X. Mao, and R. Zhong, 2003, "Exchange Rate Regimes and Stock Return Volatility: Some Evidence from Asia's Silver Era", Journal of Economics and Business, 55,557-584.

Baillie, R.T., D. Selover, 1987, "Cointegration and Models of Exchange Rate Detremination", International Journal of Forecating, 3,43-5 1.

Bartov, E., and G.M. Bodnar, 1994, "Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect", Journal of Finance, XLIV ( 3 , 1755-1785.

Bartov, E., G.M. Bodnar, A. Kaul, 1996, "Exchange Rate Variability and the Riskiness of U.S. Multinational Firms: Evidence from the Breakdown of the Bretton Woods System", Journal of Financial Economics, 42, 105-132.

Bartram, S.M., 2004, "Linear and Non-linear Foreign exchange Rates Exposure of German Nonfinancial corporations", Journal of International Money and Finance, 23 (4), 673-699.

Bera, A.R., and M.L. Higgins, (1993), "ARCH models: Properties, Estimation and Testing", Journal of Economic Surveys, 7,305-366.

Bhoi, B K and S.C. Dhal, 1998, "Integration of Financial Markets in India: An Emprical Evaluation," Reserve Bank of India Occasional Papers, 19 (4), 345-80.

Bin, F-S., G.B. Morris, and D.H. Chen, 2003, "Effects of Exchange Rate and Interest-Rate Risk on ADR Pricing Behaviour", North American Journal of Economics and Finance, 14,241-262.

Bodart, V., and P. Reding, 1999, "Exchange Rate Regime, Volatility and International Correlation on Bond and Stock Markets", Journal of International Money and Finance, 18, 133- 15 1.

Bollerslev, T., 1986, "Generalised Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 3 1,307-27.

Branson, W., H. Halttunen, and P. Masson, 1977, "Exchange Rate in the Short Run: the Dollar Deutsche Mark Rate", European Economic Review, 10, 303-324.

Chamberlain, S., J.S. Howe, and H. Popper, 1997,"The Exchange Rate Exposure of U.S. and Japanese Banking Institutions", Journal of Banking and Finance, 2 1,87 1-892.

Chang, Y., 2002, "The Pricing of Foreign Exchange Risk around the Asian Financial Crisis: Evidence from Taiwan's Stock Market", Journal of Multinational Financial Management, 12,233-238.

Chen C.C., and R.W. So, 2002, "Exchange Rate Variability and the Riskiness of US Multinational Firms: Evidence from the Asian Financial Turmoil", Journal of Multinational Financial Management, 12, 41 1- 428.

Chen, J., M. Naylor, and X. Lu, 2004, "Some Insights into the Foreign Exchange Pricing Puzzle: Evidence from a Small Open Economy", Pacific-Basin Finance Journal, 12,41-64.

Chen, N., R. Roll, and S. Ross, 1986, "Economic Forces and the Stock Market", Journal of Business, 383-403.

Cheung, Yin-Wong and Kon S. Lai (1993), "Finite Sample Sizes of Johansen's likelihood ratio tests for cointegration", Oxford Bulletin of Economics and Statistics, Vo1.55, No.3, PP.3 13-328.

Choi, J.J., and A.M. Prasad, 1995, "Exchange Risk Sensitivity and Its Determinants: A Firm and lndushy Analysis of U.S. Multinationals", Journal of International Money and Finance, 24 (3), 77-88.

Choi, Y.K., and D. Kim, 2000, "Determinants of American Depositary Receipts and Their Underlying Stock Retums Implications for International Diversification", International Review of Financial Analysis, 9,351 -368.

Damele, M., Y. Kannarkar, and G . Kawadia, 2004, "A Study of Market Integration based on Indian Stock Market, Bullion Market and Foreign Exchange Market", Finance India, XVIII (2), 859-869.

Dickey, D. A., and W. A. Fuller, 1981, "The Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrics, 49, 1057-1072.

Dickey, D.A., and W.A. Fuller, 1979, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74,427-43 1.

Ding, D.K., F.H. deB. Harris., S.T. Lau, and T.H. Mclnish, 1999, "An Investigation of Price Discovery in Informationally-linked Markets: Equity Trading in Malaysia and Singapore", Journal of Multinational Financial Management, 9,3 17-329.

Dombusch, R., 1976, "Expectations at Exchange Rate Dynamics", Journal of Political Economy, 84, 1 161-76, University of Chicago, Chicago, 111.

Dorunbush, R and S. Fisher, 1980, "Exchange Rates and Current Account", American Economic Review, 70,960-971.

Doukas, J., P.H. Hall, and L.H.P. Lang., 1999, "The Pricing of Currency Risk in Japan", Journal of Banking and Finance, 23, 1-20.

Eagle, R.F., and C.W.J. Granger, 1987, "Co-integration and Error Correction: Representation, Estimation and Testing in Co-integrated Systems", Econometrica, 55,25 1-276.

Eur, C.S., and B.G. Resnick, 1988, "Exchange Rate Uncertainty, Forward Contracts, and international Portfolio Selection", Journal of Finance, XLIII (I), 197-215.

Fama E. F., 1991, "Efficient Capital Markets: 11", Journal of Finance, 46, 1575-1617.

Fama, E. F. 1990, "Stock Returns, Expected Returns, and Real Activity", Journal of Finance, 45,1089-1 108.

Farna, E. F., 1970, "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, 25,383-417.

Franck, P., and A. Young, 1972, "Stock price Reaction of Multinational Firms to Exchange Realignments", Financial Management, 1,66-73.

Frankel, J., 1992, "Measuring International Capital Mobility", American Economic Review, 82 (2), 197-202.

Frankel, J.A., and C.A. Rodriguez, 1975, "Portfoio Equilibrium and the Balance of Payments: A Monetary Approach", America1 Economic Review, 65 (4), 674-688.

Friberg R., and S. Nydahl, 1999, "Openness and the Exchange Rate Exposure of National Stock Markets", International Journal of Finance and Economics, 4 (1). 55-62.

Froot, K.A., D.S. Scharfstein, and J.C. Stein, 1993, "Risk Management: Coordinating Corporate Investment and Financing Policies", The Journal of Finance, XLVIII(5), 1629-1658.

Gao, T., 2001, "Exchange Rate Movements and the Profitability of U.S. Multinationals", Journal of International Money and Finance, 19, 117- 134.

Ghartey, E., 1998, "Monetary Dynamics in Ghana: Evidence from Cointegration, Error Correction Modelling, and Exogeneity", Journal of Development Economics, 57,473-486.

Gramming, J., M. Melvin, and C. Schlag, 2004, "Intemationally Cross-listed Stock Prices during Overlapping Trading Hours: Price Discovery and Exchange Rate Effects", Journal of Empirical Finance, 12 (I), 139- 164.

Granger C.W.J., B.H. Huang, and C.W. Yang, 1998, "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu", Discussion Papers, San Diego, CA: Department of Economics, University of California, 98-09.

Granger, C.W.J., 1969, "Investigating Casual Relations by Econometric Models and Cross-Spectral Methods", Econornetrica, 424-438.

Hall, S.G., 1986, "An Application of the Granger and Engle Two-step Examination Procedure to the United Kingdom Aggregate Wage Data", Oxford Bulletin of Economics and statistics, 48 (3), 238.

Hemnann, S., and A. Jochem, 2003, "The International Integration of the Money Market in the Central and East European Accession Countries: Deviations from Covered lnterest Parity, Capital Control and Inefficiencies in the Financial Sector", Discussion paper, Economic Research Centre, Deutsche Bundesbank.

Hendry, D.F., and G.E. Mizon, 1978, Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by The Bank of England, Economic Journal, 88,549-563.

lorio, A.D., and R. Faff, 2000, "An Analysis of Asymmetry in Foreign Currency Exposure of the Australian Equities Market", Journal of Multinational Financial Management, 10, 133- 159.

iorio, A.D., and R. Faff, 2002, "The Pricing of Foreign Exchange Risk in the Australian Equities Markets", Pacifc-Basin Finance Journal, 10, 77- 95.

Jithendranathan, T., T.R. Nirmalanadan, and K. Tandon, 2000, "Barriers to lntemational Investing and Market Segmentation: Evidence from lndian GDR Market", Pacific-Basin Finance Journal, 8,399-417.

Johansen, R., and L. Soenen, 2003, "Economic Integration and Stock Market Comovement in the Americas", Journal of Multinational Financial Management, 13,85- 100.

Johansen, S., 1988, "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics Control, 12.23 1-254.

Johansen, S., 1991, "Estimation and Hypothesis Testing of Cointegration . Vectors in Gaussian Vector Autoregressive Models", Econometrics,

59, 1551-1580.

Johansen, S., 1992, "Cointegration in Partial System and the Efficiency of Single -Equation Analysis", Journal of Econometrics, 52,389-402.

Johansen, S., Juselius, K., 1990, "Maximum Likelihood Estimation and Inference on Cointegration-with Application to the Demand for Money", Ox. Bull. Econ. Stat. 52, 169-210.

Jorion, P., 1991, "The Pricing of Exchange Rate Risk in the Stock Market", Journal of Financial and Quantitative Analysis, 26 (3), 363-377.

Keamey, C., 2000, "The Determination and International Transmission of Stock Market Volatility", Global Finance Journal, l l , 3 1-52.

Kiymaz, H., 2003, "Estimation of Foreign Exchange Exposure: An Emerging Market Application", Journal of Multinational Financial Management, 13,71-84.

Koch, T.W., and A. Saporoschenko, 2001, "The Effect of Market Returns, Interest Rates, and Exchange Rates on the Stock Returns of Japanese HorizonQl Keiretsu Financial Firms", Journal of Multinational Financial Management, 1 1, 165-1 82.

Kwon, C.S., and T.S. Shin, 1999, "Cointegration and Causality between Macroeconomic Variables and Stock Market Returns", Global Finance Journal, 10 (l), 71-81.

Lim, K-P., and V.K-S. Liew, 2004, "Non-linearity in Financial Markets: Evidence from ASEAN-5 Exchange Rates and Stock Markets", ICFAI Journal of Applied Finance, 10 (S ) , 5- 16.

Lin, E.J.Y., J.H.W. Penm., R.D. Terrell, and S. Wu, 2003, "Using Zero-non- Zero Patterned Vector Autoregressive Modelling to Test for Causality between Money Supply, GDP Growth, the London Stock Market Index and the Euro Exchange Rate", Research in Finance, 20,99-117.

Litzenberger, R.H., and K. Ramaswamy, 1982, "The Effect of Dividends on Common Stock Prices: Tax Effect or Information Effects", Journal of Finance, 3,429-44.

Logue, D., 1995, "When theory Fails: Globalisation as a Response to the (Hostile) Market for Foreign Exchange", Journal of Applied Corporate Finance, 8(3), 40-44.

Ma, C.K., and G.W. Kao, 1990, "On Exchange Rate Changes and Stock Price Reactions", Journal of Business Finance and Accounting, 17 (3), 441- 449.

Malliaropulos, D., 1998, "International Stock Return Differential and Real Rxchange Rate Changes", Journal of International money and Finance, 17,493-511.

McNees, S.K., 1986, "Forecasting Accuracy of Alternative Techniques: A Comparison of US Macroeconomic Forecasts", Journal of Business and Economic Statistics, 4 (I), 5-1 5.

Meese, R. A,, and K. Rogotff, 1983, "Empirical Exchange Rate Models of the Seventies: Are Any Fit to Survive?", Journal of International Economics, 14,3-24.

Mookerjee, R., and Q. Yu, 1997, "Macroeconomic Variables and Stock Prices in a Small Open Economy: The case of Singapore", Pacific-Basin Finance Journal, 5,377-388.

Morley, B., and E.J. Pentecost, 1998, "Asset Pricing and Foreign Exchange Risk: Econometric Evidence for the G-7", Journal of International Money and Finance, 17,3 17-329.

Nag, A. K. and A. Mitra, 1999-2000, "Integration of Financial Markets in India: An Empirical Investigation," Prajanan, XXIVIII (3), 219-41.

Nagayasu, J., 2001, "Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand", Journal ofAsian Economics, 12, 529-546.

Nath, Golak C. and G.P. Samantha, 2003, "Dynamic Relation between Exchange Rate and Stock Prices-A Case for India," NSE News, National Stock Exchange of India Limited (NSEIL), February 2003, 15-18.

Nieh. C-C., and Lee, C-F, 2001, "Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries", Quarterly Review of Economics and Finance, 41,477-490.

Pagan, A.R., 1996, "Econometrics of Financial Markets", Journal of Empirical Finance, 3, 15- 102.

Patra, M.D., and S. Pattnaik, 1998, "Exchange Rate Management in India: An Empirical Evaluation", RBI Occasional Papers, 19 (3), 185-205.

Patro, D.K., J.K. Wald, and Y.Wu, 2002, "Explaining Exchange Rate Risk in . World Stock Markets: A Panel Approach", Journal of Banking and

Finance, 26, 1951-1972.

Penttinen, A., 2000, "Devaluation-risk Related Peso Problems in Stock Returns", Journal of International Financial Markets, Institutions and Money, 10, 181-197.

Phillips P.C.B., and P. Perron, 1988, "Testing for a Unit Root in Time Series Regression", Biometrica, 75,335-346.

Phillips, P.C.B., 1987, "Time Series Regression with a Unit Rwt", Econometrica, 55,277-301.

Prasad, A.M., and M, Rajan, 1995, "The Role of Exchange and Interest Risk in Equity Valuation: A Comparative study of International Stock Markets", Journal of Economics and Business, 47,457-472.

Priestely, R., and B.A. Odegaard, 2004, "Exchange Rate Regimes and the Price of Exchange Rate Risk, Economic Letters, 82, 18 1-1 88.

Pritamani, M.D., D.K. Shome, and V. Singal, 2004, "Foreign Exchange Exposure of Exporting and Importing Firms", Journal of Banking and Finance, 28, 1697- 171 0.

Roll, R., and S. A. Ross, 1980, "An Empirical Investigation of the Arbitrage Pricing Theory", The Journal of Finance, 35, 1070-1 104.

Ross, S.A., 1976, "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13 (3), 341-360.

Sade*, M., 1992, "Stock Market Response to Unexpected Macroeconomic News: the Australian Evidence", IMF Working Paper, 61,9.

Sadorsky, P., 2001, "Risk Factors in Stock Returns of Canadian Oil and Gas Companies", Energv Economics, 23,17-28.

Sargan, J.D., 1984, "Wages and Prices in the United Kingdom: A Study in Econometric Methodology", Originally Published in 1964 and Reproduced in K.F. Wallis and D.F. Hendry, eds., Quantitative Economics and Econometric Analysis, Basil Blackwell, Oxford.

Sarker, Rakhal(1993), "A Maximum Likelihood Cointegration Analysis of Canadian Lumber Exports", Canadian Journal of Agricultural Economics, Vo1.41, No. 1, PP.97-110.

Shamsuddin, A.F.M., and J.H. Kim, 2003, "Integration and Interdependence of Stock and Foreign Exchange Markets: An Australian Perspective", Journal of International Financial Markets, Institutions and Money, 13, 237-254.

Sharpe, W. F., 1964, "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal offinance, Sep, pp. 425-442.

Sims, C.A., 1980, "Macroeconomics and Reality", Econometrica, 48, 1-48.

Smith, C., 1992a, "Stock Market and the Exchange Rate: A Multi-country Approach", Journal of Macroeconomics, 14,607-629.

Smith, C., 1992b, "Equities and the UK Exchange Rate", Applied Economics, 24,327-335.

Soenen, L.A. and E.S. Hennigar, 1988, "An Analysis of Exchange Rates and Stock Prices: the U.S. Experience between 1980 and 1986", Akron Business and Economic Review, 7- 16.

Solnik, B., 1987, "Using Financial Prices to Test Exchange Rate Models: A Note", Journal of Finance, 42, 14 1 - 149.

Tai, C-S., 2000, "Time-varying Market, Interest Rate, and Exchange Rate Risk Premia in the U.S. Commercial Bank Stock Return", Journal of Multinational Financial Management, 10,397-420.

Taylor, S. J., 1986, "Forecasting the Volatility of Currency Exchange Rates", International Journal of Forecasting, 3, 159-70.

Toda, H.Y., and P.C.B. Phillips, 1993, "Vector Autoregression and Causality", Econometrica, 61, 1367-93.

Toda, H.Y., and T. Yamamoto, 1995, "Statistical Inference in Vector Autoregressions with Possibly Integrated Processes", Journal of Econometrics, 66,225-50.

Vasconcellos, G.M., and R.J. Kish, 1998, "Cross-border Merger and Acquisitions: the European-US Experience", Journal of Multinational Financial Management, 8,43 1-450.

Wetmore, J.L., and J.R. Brick, 1998, "The Basis Risk Component of Commercial Bank Stock Returns", Journal of Economics and Business, 50,67-76.

Wangbangpo, P., and S.C. Sharma, 2002, "Stock Market and Macroeconomic Fundamental Dynamic Interactions: ASEAN-5 countries", Journal of Asian Economics, 13,27-5 1 .

Wu, Y., 2001, "Exchange Rates, Stock Prices, and Money Markets: Evidence from Singapore", Journal ofAsian Economics, 12,445-458.

Yadav, S.S., P.K. Jain, and P. Sampath, 2000, "Risk in International Business: What do Corporate Managers Say?", Accounting and Finance, 14 (2), 81-107.

Yamada, H., and H.Y. Toda, 1998, "Inference in Possibly Integrated Vector Autoregressive Models: Some Finite Sample Evidence", Journal of Econometrics, 86,55-95.

Zellner, A., 1962, "Estimators for Seemingly Unrelated Regressions and Tests of Aggregation Bias", Journal of American Statistical Association, 57, 500-509.