عبده تبریزی، حسین و میثم رادپور (1388). اندازهگیری و مدیریت ریسک بازار، تهران، انتشارات آگاه.
جمشیدی، فرشید و مهتاب کشاورز (1384). برآورد چگالی دادهها و آمارهها، پژوهشکدۀ آمار.
Ang, A. & Bekaert, G. (2000). International asset allocation with time-varying correlations, Review of Financial studies, 15, 1137-1187.
Ang, A., Chen, Joseph. & Xing, Yuhang. (2002). Downside Risk & The Momentum Effect. Journal of Financial Economics, 65, 24-66
Campbell, R., Koedijk, K. & Kofman, p. (2000). Covariance and Correlation in International Equity Returns, Erasmus University Rotterdam, Working Paper.
Cotter, J. & Longin, F. (2007). Implied Correlations from VaR, University College Dublin, Working paper.
Dobri´c, J., Frahm, G. & Schmid, F. (2010). Dependence of stock returns in bull and bear markets, Computational Statistics & Data Analysis, under revision.
Engel, Robert. (2002). Dynamic Conditional Correlation: a Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, American Statistical Association Journal of Business & Economic Statistics, 20(3): 339-350.
Granger, C.W.J. & Silvapulle, P. (2001). Capital Asset Pricing Model, Bear, Usual and Bull Market Conditions and Beta Instability: A Value at Risk Approach, University of California, Working Paper, San Diego.
Grubel, H.G. & Fadner, K. (1971). The interdependence of international equity markets, Finance, 26, 89-94.
Galagedera, D.U. (2009). Economic significance of downside risk in developed and emerging markets, Applied Economics Letters, 16, 1627–1632.
Hamilton, J.D. & Susmel, R. (1994). Autoregressive Conditional heteroskedasticity and changes in regime, Econometrics, 64, 307-33
Huang, Alex YiuHou. (2012). Value at Risk Estimation by Quantile Regression and Kernel Estimator, Review of Quantitative Finance and Accounting.
Jorion, P. (2000). Value at Risk: The New Benchmark for Managing Finanacial Risk, New York, Mc Graw-Hill.
Kaplanis, E.C. (1988). Stability and Forecasting of the Comovement Measures of Intemational Stock Market Returns, Journal of International Money and Finance, 7, 63-75.
Kanas, A. (1998). Volatility Spillovers across Equity Markets: European Evidence, Applied Financial Economics, 8, 245-256.
Kiani, Khurshid M. (2011). Relationship between Portfolio Diversification and Value at Risk Empirical Evidence, Emerging Markets Review, 12, 443-459.
Longin, F. & Solnik, B. (1995). Is The International Correlation of Equity Returns Constant: 1960-1990, J. Int. Money Finance, 14, 3-26.
Levy, R.A. (1974). Beta Coefficients as predictors of Returns, Financial Analysts Journal, 30, 61-69.
Ramchmand, L. & Susmel, R. (1998). Volatility and cross correlation across major stock markets, Empirical Finance, 5, 397-416.
Resti, A. & Sironi, A. (2007). Risk Management and Shareholders Value in Banking: From Risk Measurement Models to Capital Allocation Policies, New York, John Wiley.
Sheather, S.J. & Marron, J S. (1990). Kernel Quantile Estimators, American Statistical Association, 85, 410-416.
Silvapulle, P. & Grannger, C.W.J. (2001). Large Returns, Conditional Correlation and Portfolio Diversification: a Value at Risk approach, Quantitative Finance, 1(5): 542-551.
Scherrer, W. & Ribarits, E. (2007). On the Parameterization of Multivariate GARCH Models, Econometric Theory, 23, 464-484.
Yiu, K. (2004). Optimal Portfolios under a Value at Risk, Journal of Economic Dynamics and Control, 28