1. Alexander, C. and A. Dimitriu (2005): “Indexing and Statistical Arbitrage.” The Journal of Portfolio Management, (31), pp. 50-63.

2. Arshanapalli, B., Doukas, J. (1993):” International stock market linkage: evidence from preand post-October 1987 period.“ Journal of Banking &Finance 17 (1), pp.193–208.

3. Becker, K.G., Finnerty, J.E. and Gupta, M. (1990): “The intertemporal relation between the U.S. and Japanese stock markets.” Journal of Finance (45), pp.1297-1306.

4. Corhay, A., Rad, A.T., Urbain, J.P.(1993):” Common stochastic trends in European stock markets.” Econimcs Letters 42(4), pp. 385–390.

5. Engle, R., Granger, C.W.J. (1987): “Co-integration and error correction: representation, estimation and testing.” Econometrica 55(2), pp.251–276.

6. Engle, R.F., and Kroner, K.F. (1995): “Multivariate simultaneous generalized ARCH.” Econometric Theory (11), pp.122-150.

7. Eun, C. and Shim, S. (1989): “International transmission of stock market movements., Journal of Financial and Quantitative Analysis (24), pp. 241-256.

8. Gklezakou, T. and Mylonakis, J. (2010): “Links and interdependence of developed stock markets under global economic crisis conditions.” Journal of Financial Services Marketing (14), pp. 314–327.

9. Grobys, K. (2009): “Volatility response of investment funds to shocks in the underlying stock market - an empirical volatility impulse response (VIR) analysis.” University Kiel ,Department of Econometrics.

10. Hafner, C. and Herwartz, H. (2001): “Volatility Impulse Response Functions for Multivariate GARCH Models”, CORE Discussion Papers 1998047.

11. Hafner, C. and Herwartz, H. (2006): „Volatility Impulse Response Functions for Multivariate GARCH Models: An Exchange Rate Illustration.” Journal of International Money and Finance (25), pp. 719-740.

12. Hamao, Y., Masulis, R., and Ng, V. (1990): “Correlations in price changes and volatility across international stock markets.” Review of Financial Studies (3), pp.281-307.

13. Johansen, S. (1988): “Statistical analysis of cointegration vectors.” Journal of Economic Dynamics and Control (12), pp. 231–254.

14. Johansen, S., Juselius, K.(1990):” Maximum likelihood estimation and inference on cointegration with applications to the demand for money.” Oxford Bulletin of Economics and Statistics 52 (2), pp.169–210. 15.

15. Johansen, S.(1991): ” Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregression residuals.” Econometrica 59(6), pp. 1551–1581.

16. Kaiser, D.G, and Füss, R (2007): “The tactical and strategic value of hedge fund strategies: a cointagration approach”, Financial Markets and Portfolio Management (21), pp.425-444.

17. Pascual, A.G. (2003): “Assessing European stock markets (co)integration”, Economics Letters (78), pp.197-203.

18. Panopoulou, E. and Pantelidis, T. (2005): ” Integration at a cost: Evidence from volatility impulse response functions”, NUIM Working Paper N1540305.

19. Stock, J.H. (1987), “Asymptotic properties of least squares estimators of cointegrating vectors.” Econometrica (55), pp. 277-302.