3Bollerslev, T. 1986 "Generalized autoregressive conditional heteroscedasticity", Journal of Econometrics,31,307~ 327.
4David Morelli 2002 "The relationship between conditional stock market volatility and conditional macroeconomic volatility Empirical evidence based on UK data", International Review of Financial Analysis, 11,101~ 110.
5Eva, L., Marianne, S. 1997"Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data", Applied Financial Economics, 7,419~ 426.
6G. William Schwert 1989 "Why does stock market volatility change over time. , The Journal of Finance,Vol XLIV, No.5.
5Albert, J. H., and S. Chib, 1993, "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Mark- ov Mean and Variance Shifts," Journal of Business & Economic Statistics, 11 (1), 1-15.
6Bry, G., and C. Boschan, 1971, Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, New York: NBER Books.
7Campbell, J. Y., A. W., Lo, and A.C. MacKinlay, 1997, The Econometrics of Financial Markets, New Jersey: Prin- ceton University Press.
8Chib, S., 1995, "Marginal Likelihood from the Gibbs Output," Journal of the American Statistical Association, ( 90 ) : 1313-1321.
9Edvards, S., Gomez, J., and F. Gracia, 2003, "Stock Market Cycles, Financial Liberalization and Volatility," Journal of International Money and Finance, (22) : 925-955.
10Hamilton J. D., and R. Susmel, 1994, "Autoregressive Conditional Heteroskedastieity and Changes in Regime," Jour- nal of Econometrics, 64( 1 ) : 307-333.
