期刊論文1. | Pericli, A.、Koutmos, G.(1997)。Index futures and options and stock market volatility。The Journal of Futures Markets,17(8),957-974。 |
2. | Allan, H.、Nicholls, D.(1991)。The Impact of Index Futures Markets on Australian Share Market Volatility。Journal of Business Finance and Accountings,18(2),267-280。 |
3. | Hiraki, Takato、Maberly, Edwin D.、Takezawa, Nobuya(1995)。The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract。Journal of Banking and Finance,19,921-936。 |
4. | Engel, R. F.、Lillien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: the ARCH-M model。Econometrica,55,391-407。 |
5. | Brorsen, B. W.(1991)。Futures trading, transactions costs and stock market volatility。Journal of Futures Markets,11,153-163。 |
6. | Antoniou, Antonios、Holmes, Phil(1995)。Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking & Finance,19(1),117-129。 |
7. | Edwards, F. R.(1988)。Futures Trading and Cash Market Volatility: Stock Index and Interest Rates Futures。Journal of Futures Markets,8,421-439。 |
8. | Baldauf, Brad、Santoni, G. J.(1991)。Stock Price Volatility: Some Evidence from an ARCH Model。Journal of Futures Markets,11,191-200。 |
9. | Brown, M. B.、Forsythe, A. B.(1974)。Robust Tests for the Equality of Variance。Journal of American Statistical Association,69,364-367。 |
10. | Cheung, Y. W.、Ng, L. K.(1991)。The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities。Review of Futures Markets,9(2),121-154。 |
11. | Chan, K.(1992)。A Further Analysis of the Lead-Lag Relationship between the Case Market and the Index Futures Market。Review of Financial Studies,5(1),123-152。 |
12. | Conover, W. J.、Johnson, Merk E.、Johnson, Myrle M.(1981)。A Comparative Study of Tests for Homogeneity of Variances, with Applications to the Outer Continental Shelf Bidding Data。Technometrics,23,351-361。 |
13. | French, K. R.、Schwert, G. W.、Stambaugh, R. F.(1987)。Expected Stock Return and Volatility。Journal of Financial Economics,19,3-29。 |
14. | Herbst, A. F.、McCormack, J. P.、West, E. N.(1987)。Investigation of a Lead-Lag Relationship between Spot Indices and Their Futures Contracts。Journal of Futures Markets,7,373-382。 |
15. | Gerety, M. S.、Mulherin, J. H.(1991)。Patterns in Intraday Stock Market Volatility, Past and Present。Financial Analysts Journal,47,71-79。 |
16. | Maberly, E. D.、Allen, D. S.、Gilbert, R. F.(1989)。Stock Index Futures and Cash Market Volatility。Financial Analysts Journal,45,75-77。 |
17. | Lockwood, L. J.、Linn, S. C.(1990)。An Examination of Stock Market Return Volatility During Overnight and Intraday Periods 1964-1989。Journal of Finance,45(2),591-601。 |
18. | Laatsch, F. E.、Schwarz, T. V.(1988)。Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets。Review of Futures Markets,7,272-289。 |
19. | Sterge, J. A.(1989)。On the Distribution of Financial Futures Price Changes。Financial Analyst Journal,45,75-78。 |
20. | Najand, M.、Yung, K.(1994)。Conditional Heteroskedasticity and the Weekend Effect in S&P 500 Index Futures。Journal of Business Finance and Accounting,21(4),603-612。 |
21. | Mcleod, A. L.、Li, W. K.(1983)。Diagnostic Checking ARMA Time Series Model Using Squared-Residual Autocorrelations。Journal of Monetary Economics,10,139-163。 |
22. | Edwards, F. R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。 |
23. | Becketti, S.、Roberts, D. J.(1990)。Will increased regulation of stock index futures reduce stock market volatility。Federal Reserve Bank of Kansas City Economic Review,75(6),33-46。 |
24. | Harris, L.(1989)。S&P 500 cash stock price volatilities。The Journal of Finance,44(5),1155-1175。 |
25. | Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets,9,442-457。 |
26. | Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets,12(5),493-509。 |
27. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。 |
28. | Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets,15(4),457-488。 |
29. | French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。 |
30. | Chou, R. Y.(1988)。Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3,279-294。 |
31. | Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。 |
32. | Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews,5(1),1-50。 |
33. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
34. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。 |
35. | Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies,4(4),657-684。 |
36. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 |
37. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。 |