一、中文部分
古永嘉、張瓊嬌,(2002),「SGX 與TAIFEX 台股指數期貨的不偏性與隨機風險溢酬之研究」,輔仁管理評論,第九卷第二期,頁147-176。吳榮輝(1998),「匯率風險溢酬決定因素之探討」,國立中央大學,碩士論文,民國八十七年六月。
康家瑛,(2001),台灣票券市場隨時間變動期間貼水之實證研究,私立淡江大學碩士論文。
郭炳伸、何祖平、李政峰,(2001),「台幣/美元遠期外匯風險溢酬有多大?」經濟論文叢刊,第29卷第4期,頁383-413。陳培源,(2003),「金融衝擊和利率期限結構預期理論之實證研究」,私立淡江大學碩士論文。
曾寶磁,(2001),遠期外匯市場風險溢酬之影響因子-GARCH-M 模型之應用,私立淡江大學碩士論文。
蔣嘉惠,(2006),「外匯市場穩定性之研究」,國立高雄應用科技大學碩士論文。
二、英文部分
Akaike, H., (1973), Information Theory and an Extension of the Maximum Likelihood Principle, Budapest: Akademiai Kiado.
Aroskar, R., S. K. Sarkar, and P. E. Swanson, (2004), “European Foreign Exchange Market Efficiency: Evidence Based on Crisis and Noncrisis Periods,” International Review of Financial Analysis, Vol. 13, pp. 333-347.
Backus, D., G. Allan and C. Telmer, (1993), “Accounting for Forward Rate in Markets for Foreign Currency,” Journal of Finance, Vol. 48, pp. 1887-1908.
Bakshi, G., P. Carr, and L. Wu, (2008), “Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies,” Journal of Financial Economics, Vol. 87, pp. 132-156.
Bams, D. and C. C. P. Wolff, (2003), “Risk Premia in the Term Structure of Interest Rates: a Panel Data Approach,” Journal of International Financial Markets, Vol. 13, pp. 211-236.
Bams, D., K. Walkowiak and C. C. P. Wolff, (2004), “More Evidence on the Dollar Risk Premium in the Foreign Exchange Market,” Journal of International Money and Finance, Vol. 23, pp. 271-282.
Bartholdy, J., G. W. Boyle and R. D. Stover, (2003), “Deposit Insurance and the Risk Premium in Bank Deposit Rates,” Journal of Banking & Finance, Vol. 27, pp. 699-717.
Canova, F. and T. Ito, (1991), “The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market,” Journal of Applied Econometrics, Vol. 6, pp. 125-142.
Cavaglia, S., K. G. Koedijk, W. F. C. Verschoor and C. C. P. Wolff, (1998), “Interest Expectations and Exchange Rates News,” Empirical Economics, Vol. 23, pp. 525-534.
Cavaglia, S., W. F. C. Verschoor, and C. C. P. Wolff, (1994), “On the Biasedness of Forward Foreign Exchange Rates: Irrationality of Risk Premia?”, Journal of Business, Vol. 67, pp. 321-343.
Cheung, Yin-Wong, (1993), “Exchange Rate Risk Premium,” Journal of International Money and Finance, Vol. 12, pp. 182-194.
Clarida, R. H. and M. P. Taylor, (1997), “The Term Structure of Forward Exchange Premiums and the Forcastability of Spot Exchange Rates:Correcting the Errors,” The Review of Economics and Statistics, Vol. 79, pp. 353-361.
Engle, R. F. and C. W. J. Granger, (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, Vol. 55, pp. 251-276.
Engle, R. F., (1996), “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,” Journal of Empirical Finance, Vol. 3, pp. 123-191.
Fama, E., (1984), “Forward and Spot Exchange Rates,” Journal of Monetary Economics, Vol. 14, pp. 319-338.
Hansen, L. P. and R. Hodrick, (1983), “Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models,” Exchange Rate and International Macroeconomics, Chicago University Press.
Johansen, S. and K. Juselius, (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210.
Kaminsky, G. and R. Peruga, (1990), “Can a Time-Varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange?,” Journal of International Economics, Vol. 28, pp. 47-70.
Landon, S. and, C. E. Smith, (2003), “The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate,” Review of International Economics, Vol. 11, pp. 144-158.
Lewis, K., (1995), “Puzzles in International Financial Markets,” Handbook of International Economics, 3nd edition, North Holland, Amesterdam.
Mark, N., (1985), “On Time Varying Risk Premia in the Foreign Exchange Market: An Econometric Analysis,” Journal of Monetary Economics, Vol. 16, pp. 3-18.
Mark, N., (1988), “Time-Varying Betas and Risk Premia in the Foreign Exchange Contracts,” Journal of Financial Economics, Vol. 22, pp. 335-354.
McCurdy, T. H. and I. Morgan, (1991), “Tests for a Systematic Component in Deviations from Uncovered Interest Rate Parity,” Review of Economics Studied, Vol. 58, pp. 587-602.
Miffre, J., (2004), “The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments,” Journal of Business Finance & Accounting, Vol. 31, pp. 1043-1068.
Nieuwland, F. G., W. F. C. Verschoor and C. C. P. Wolff, (2000), “Exchange Risk Premia in the European Monetary System,” Applied Financial Economics, Vol. 10, pp. 351-360.
Nijman, T. E., F. C. Palm, and C. C. P. Wolff, (1993), “Premia in Forward Foreign Exchange as Unobserved Components,” Journal of Business and Economic Statistics, Vol. 11, pp. 361-365.
Rudebusch, G. D., B. P. Sack, and E. T. Swanson, (2007), “Macroeconomic Implications of Changes in the Term Premium,” Federal Reserve Bank of St. Louis Review, Vol. 89, pp. 241-269.
Schwarz, G., (1978), “Estimating the Dimension of a Model,” Annals of Statistics, Vol. 6, pp. 461-464.
Soo, K. G., G. C. Lim, and N. Olekalns, (2006), “Deviations from Uncovered Interest Parity in Malaysia,” Applied Financial Economics, Vol. 16, pp. 745-759.
Staikouras, S. K., (2004), “The Information Content of Interest Rate Futures and Time-Varying Risk Premia,” Applied Financial Economics, Vol. 14, pp. 761-771.
Tai, Chu-Sheng, (2001), “A Multivariate GARCH in Mean Approach to Testing Uncovered Interest Parity: Evidence from Asia-Pacific Foreign Exchange Markets,” Quarterly Review of Economics & Finance, Vol. 41, pp. 430-442.
Verschoor, W. F. C. and C. C. P. Wolff, (2001), “Exchange Risk Premia, Expectations Formation and ''News'' in the Mexican Peso/U.S. Dollar Forward Exchange Rate Market,” International Review of Financial Analysis, Vol. 10, pp.150- 157.
Wu, Shu, (2007), “Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets,” Journal of Money, Credit & Banking (Blackwell), Vol. 39, pp. 423-442.