Almedia, A. and Goodhart, C. and Paynes, R., The effects of macroeconomic news on high frequency exchange ratebehavior, Journal of Financial and Quantitative Analysis, 1998, 33 (3), 383-408,
Andersen, T. G. and Bollerslev, T., DM-Dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, 1998, 53, 219-265,
Andersen, T. G. and Bollerslev, T. and Diebold, F. and Vega, C., Micro effects of macro announcements: Real-time price discovery in foreign exchange, American Economic Review, 2003, 93, 38-62,
Anderson, T. W., An Introduction to Multivariate Statistical Analysis, New York: Wiley, 1984, 2nd, edition,
Backus, D. K., Empirical models of the exchange rate: separating the wheat from the chaff, Canadian Journal of Economics, 1984, 17 (4), 824-846,
Baillie, R. T. and Bollerslev, T., Intraday and intermarket volatility in foreign exchange rates, Review of Economic Studies, 1991, 58, 565-585,
Bates, J. M. and Granger, C. W. J., The combination of forecasts, Operations Research Quarterly, 1969, 20, 451-468,
Bauwens, L. and Omrane, W. B. and Giot, P., News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Money and Finance, 2005, 24, 1108-1125,
Bernanke, B. S. and Boivin, J., Monetary policy in a data-rich environment, Journal of Monetary Economics, 2003, 50, 525-546,
Bessembinder, H., Bid-ask spreads in the interbank foreign exchange markets, Journal of Financial Economics, 1994, 35, 317-348,
Bj{o}nnes, G. H. and Rime, D., Dealer behavior and trading systems in foreign exchange merkets, Journal of Financial Economics, 2005, 75, 571-605,
Bollerslev, T., Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Review of Economics and Statistics, 1990, 72, 498-505,
Bollerslev, T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 1986, 31, 307-327,
Bollerslev, T. and Domowitz, I., Trading patterns and prices in the interbank foreign exchange market, Journal of Finance, 1993, 48, 1421-1443,
Bollerslev, T. and Ghysels, E., Periodic autoregressive conditional heteroscedasticity, Journal of Business and Economic Statistics}, 1996, 14 (2), 139-151,
Bollerslev, T. and Melvin, M., Bid-ask spreads and volatility in the foreign exchange market: An empirical analysis, Journal of International Economics, 1994, 36, 355-372,
Bollerslev, T. and Wooldridge, J. M., Quasi Maximum Likelihood Estimation and Inference in Dynamic Models With Time-Varying Covariances, Econometric Reviews, 1992, 11, 143-172,
Boothe, P., Exchange rate risk and bid-ask spread: A seven country comparison, Economic Inquiry, 1988, 26, July, 485-492,
Box, G. E. P. and Jenkins, G. M. and Reinsel, G. C., Time Series Analysis: Forecasting and Control, Prentice Hall, Englewood Cliffs, NJ., 1994,
Brock, W. A. and Kleidon, A. W., Periodic market closure and trading volume: A model of intraday bids and asks, Journal of Economic Dynamics and Control, 1992, 16, 451-489,
Cai, F. and Howorka, E. and Wongswan, J., Informational linkages across trading regions: Evidence from foreignexchange markets, Journal of International Money and Finance, 2008, 27 (8), 1215-1243,
Chaboud, A. P. and Chernenko, S. and Howorka, E. and Krishnasami Iyer, R. S. and Liu, D. and Wright, J. H., The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market, International Finance Discussion Paper, 823, 2004,
Chen, C. C., Dimension reduction and exchange rate movements, Working paper, 2007,
Cheung, Y. W. and Chinn, M. D. and Garcia Pascual, A., Empirical exchange rate models of the nieties: Are any fit to survive?, Journal of International Money and Finance, 2005, 24, {1150-1175},
Cheung, Y. W. and Wong, C. Y. P., A survey of market practitioners' views on exchange rate dynamics, Journal of International Economics, 2000, 51, 401-419,
Chinn, M. D. and Meese, R. A., Banking on currency forecasts: How predictable is the change in money?, Journal of International Economics, 1995, 38 (1), 161-178,
Dan'{i}elsson, J. and Payne, R., Real trading patterns and prices in the spot foreign exchange markets, Journal of International Money and Finance, 2002, 21, 203-222,
Ding, D. K., The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis, The Journal of Futures Markets, 1999, 19 (3), 307-324,
Dornbusch, R., Expectations and Exchange Rate Dynamics, The Journal of Political Economy, 1976, 84, 1161-1176,
Drost, F. C. and Nijman, T. E., Temporal Aggregation of GARCH Processes, Econometrica, 1993, 61, 909-928,
Elliott, G. and Timmermann, A., Economic Forecasting, Journal of Economic Literature, 2008, 46:1, 3-56,Engle, R. and Patton, A., Impacts of trades in an error-correction model of quote prices}, note = {UCSD Economics Working Paper, No. 2000-26}, {2001},
Engle, R. F., Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U. K. Inflation}, {Econometrica}, {1982}, {50}, {987-1007},
Engle, R. F. and Bollerslev, T., Modeling the persistence of conditional variances, Econometric Reviews, 1986, 5, 1-50,
Evans, M. D. D. and Lyons, R. K., How is macro news transmitted to exchange rates?, Journal of Financial Economics, 2008, 88 (1), 26-50,Evans, M. D. D. and Lyons, R. K., Order flow and exchange rate dynamics, Journal of Political Economy, 2002, 110 (1), 170-180,Fernandez-Villaverde, J. and Rubio-Ramirez, J. F., Comparing dynamic equilibrium models to data: A Bayesian approach, Journal of Econometrics, 2004, 123, 153-187,
Frenkel, J. A., A monetary approach to the exchange rate : Doctrinal aspects and empirical evidence., The Scandinavian Journal of Economics, 1976, 78 (2), 200-224,
Gallardo, P. and Heath, A., Execution methods in foreign exchange markets, Bank of International Settlements Quarterly Review, March 2009, 83-91,
Geweke, J., The dynamic factor analysis of economic time series, Latent Variables in Socio-Economic Models: D. J. Aigner and A. S. Goldberger, eds., North-Holland, Amsterdam, 365-383., 1977,
Glassman, D., Exchange rate risk and transaction costs: Evidence from bid-ask spreads}, {Journal of International Money and Finance}, 1987, 6, No. 4, 479-490,
Goodhart, C. A. E. and Figliuoli, L., Every minute counts in financial markets}, {Journal of International Money and Finance}, {1991}, 10, 23-52,
Goodhart, C. A. E. and Ito, T. and Payne, R. G., One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System, The Microstructure of Foreign Exchange Markets, 1996, in Frankel et al. (Eds.), University of Chicago Press,
Goodhart, C. A. E. and Payne, R. G., Microstructural dynamics in a foreign exchange electronic broking system}, {Journal of International Money and Finance, 1996, 15, No. 6, 829-852,
Hartmann, P., Trading volumes and transaction costs in the foreign exchange market: Evidence from daily Dollar-Yen spot data}, {Journal of Banking and Finance, 1999, 23, 801-824,
Heynen, R. C. and Kat, H. M., Volatility prediction: a comparison of the stochastic volatility, GARCH (1,1), and EGARCH (1,1) models}, The Journal of Derivatives, 1994, 2, 50-65,Hsieh, D. A. and Kleidon, A. W., Bid-ask spreads in foreign exchange markets: Implications for modelsof asymmetric information, in Frankel, Jeffrey A., Giampaolo Galli and Alberto Giovannini, eds., The Microstructure of Foreign Exchange Markets, The University of Chicago Press, Chicago, 1996,
Hu, Y. P. and Chou, R. J., On the Pe~{n}a-Box model, Journal of Time Series Analysis, 2004, 25, 811-830,
Inoue, A. and Kilian, L., How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation, Journal of the American Statistical Association, 2008, 103(482), 511-522,
Ito, T. and Hashimoto, Y., Intraday seasonality in activities of the foreign exchange markets:Evidence from the electronic broking system, Journal of the Japanese and International Economies, 2006, 20 (4), 637-664,
Ito, T. and Hashimoto, Y., Microstructure of the Yen/Dollar foreign exchange market}, NBER Working paper 10856, 2004,
Ito, T. and Roley, V., News from the US and Japan: Which moves the Yen/Dollar exchange rate?, Journal of Monetary Economics, 1987, 19 (2), 255-277,
Iwatsubo, K. and Kitamura, Y., Intraday evidence of the informational efficiency of the yen/dollar exchange rate, Applied Financial Economics, 2009, 19 (14), 1103-1115,
Jang, H. and Venkatesh, P., Consistency between predicted and actual bid-ask quote-revisions, Journal of Finance, 1991, 46, 433-446,
Jorda, O. and Marcellino, M., Modeling high-frequency foreign exchange data dynamics, Macroeconomic Dynamics, 2003, 7 (4), 1-18,
Kroner, K. F. and Jahangir, S., Time-varying distributions and dynamic hedging with foreign currency futures, Journal of Financial and Quantitative Analysis, 1993, 28, 535-551,
Krugman, P. R. and Obstfeld, M., International Economics: Theory and Policy, Pearson International Edition, 2006, Seventh Edition,
Lee, S. W. and Hansen, B. E., Asymptotic Theory for the GARCH(1,1) Quasi-Maximum Likelihood Estimator, Econometric Theory, 1994, 10, 29-52,Li, K. C., Sliced inverse regression for dimension reduction, Journal of the American Statistical Association, 1991, 86}, 316-327,
Love, R. and Payne, R., Macroeconomic news, order flows and exchange rates, working paper, 2004,
Lyons, R. K., Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics, 1995, 39, 321-351,
MacDonald, R., Exchange rate behaviour: are fundamentals important?, The Economic Journal, 1999, 109 (November), F673-F691,
Mark, N., Exchange rates and foundamentals: evidence on long-horizon predictability, American Economic Review, 1995, 85, 201-218,
Meese, R. and Rogoff, K., Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics, 1983, 14 (1-2), 3-24,
Meese, R. and Rogoff, K., The out-of-sample failure of empirical exchange rate models. In: Frenkel, J. (Ed.), Exchange Rates and International Economics., University of Chicago Press, Chicago., 1983,
Mussa, M., Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market, Carnegie-Rochester Conference Series on Public Policy, 1979, 1, 9-57},Mussa, M., The Exchange Rate, the Balance of Payments and Monetary and FiscalPolicy under a Regime of Controlled Floating, Scandinavian Journal of Economics, 1976, 78 (2), 229-248},
Ohnishi, T. and Takayasu, H. and Ito, T. and Hashimoto, Y. and Watanabe, T. and Takayasu, M., Dynamics of quote and deal prices in the foreign exchange market, Journal of Economic Interaction and Coordination}, {2008}, {3: 1}, {99-106},Payne, R. G., Informed trade in spot foreign exchange markets: An empirical investigation, {Journal of International Economics, 2003, 61, 307-309,
Pe~{n}a, D. and Box, G. E. P., Identifying a simplifying structure in time series, Journal of American Statistical Association, 1987, 82, 836-843,
Pe~{n}a, D. and Poncela, P., Nonstationary dynamic factor analysis, Journal of Statistical Planning and Inference, 2006, 136, 1237-1257,
Sager, M. and Taylor, M. P., The impact of European Central Bank Governing Council announcements on the foreign exchange market: A microstructural analysis, Journal of International Money and Finance, 2004, 23, 1043-1051,
Sager, M. and Tayor, M. P., Commercially available order flow data and exchange rate movemnets: Caveat emptor, Journal of Money, Credit and Banking, 2008, 40, 583-625,
Sargent, T. J. and Sims, C. A., Business cycle modeling without pretending to have too much a prior economic theory, New Methods in Business Cycle Research, 1977, 45-110, Federal Reserve Bank of Minneapolis, Minneapolis,
Somanath, D., Efficient exchange rate forecasts, Journal of International Money and Finance, 1986, 5 (2), 195-220,
Stock, J. H. and Watson, M. W., Forecasting with many predictors, Handbook of Economic Forecasting, Amsterdam: North-Holland, 2006,
Stock, J. H. and Watson, M. W., Combination forecasts of output growth in a seven country dataset, Journal of Forecasting, 2004, 23, 405-430,
Stock, J. H. and Watson, M. W., Forecasting using principal components from a large number of predictors, Journal of American Statistical Association, 2002, 97, 1167-1179,
Tiao, G. C. and Tsay, R. S., Model specification in multivariate time series (with discusssion), Journal of the Royal Statistical Society, 1989, B, 51, 157-213,
Tsay, R. S., Analysis of Financial Time Series, 2nd edition, New York: Wiley, 2005,
Weiss, A. A., Asymptotic Theory for ARCH Moels: Estimation and Testing, Econometric Theory, 1986, 2, 107-131,
Wright, J. H., Bayesian model averaging and exchange rate forecasts, Journal of Econometrics, 2008, 145, 329-341,
Yao, J. M., Market making in the interbank foreign exchange market, Stern School of Business, New York University, 1998, Working paper S-98-3,
高櫻芬．彭雅玲, 外匯交易市場之市場微結構, 台灣金融財務季刊, 2003, 4: 2, 103-115,