[1] Balke , N.S. , & Fomby, T.B. (1997). Threshold cointegration: Overview and implementation in R. International Economic Review, 38(3), 627-645.

[2] Caner, M., & Bruce, H. (1998). Threshold autoregression with a near unit root. University of Wisconsin Working Paper : mimeo.

[3] Chan, K.S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21, 520-533.

[4] David , AS. (1997). The impact of social-responsibility screens on investment performance: Evidence from the Domini 400 social index and Domini equity mutual fund. Review of Financial Economics, 6(2), 137-149

[5] Enders, W., & Granger, C.W.J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics, 16, 304-11.

[6] Enders, W., & Siklos, P L. (2001). Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19, 166-176.

[7] Engle, R.F. (2002). Dynamic conditional correlation - A simple class of multivariate GARCH models. Journal of Business and Economic Statistics, 20, 339-350.

[8] Hoti, S., McAleer, M., & Pauwels, L.L. (2007). Measuring risk in environmental finance. Journal of Economic Surveys, 21(5), 970-998.

[9] Hoti, S., McAleer, M., & Pauwels, L.L. (2008). Multivariate volatility in environmental finance. Mathematics and Computers in Simulation, 78, 189-199.

[10] Hussein, K.A. (2004). Ethical investment: empirical evidence from FTSE Islamic index. Islamic Economic Studies, 12 (1), 21-40.

[11] Nikolaos, S., Ioannis, K., Nikos, K., & George, K. (2009). Macroeconomic effects on D.J.S.I.-World returns. International Journal of Economic Sciences and Applied Research, 2(2), 95-110.

[12] Sariannidis, N., Koskosas, I. , Kartalis, N., & Konteos, G. (2009). Macroeconomic effects on D.J.S.I.-world returns. International Journal of Economic Sciences and Applied Research, 2(2), 95-110

[13] Suhejla, H., Michael, M., & Laurent, L.P. (2007). Measuring risk in environmental finance. Journal of Economic Surveys, 21(5), 970-998.

[14] Suhejla, H., Michael, M., & Laurent, L.P. (2008). Multivariate volatility in environmental finance. Mathematics and Computers in Simulation, 78, 189-199.

[15] Tse, Y.K., & Tsui, K.C. (2002). A multivariate GARCH model with time-varying correlations. Journal of Business & Economic Statistics, 20, 351-362.