期刊論文1. | Eaker, M. R.、Grant, D. M.(1987)。Cross-Hedging Foreign Currency Risk。Journal of International Money and Finance,6,85-105。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | 臧大年(1993)。期貨避險比例之估計。證券市場發展,18,1-24。 延伸查詢![new window](/gs32/images/newin.png) |
3. | Anderson, Ronald W.、Danthine, Jean-pierre(1981)。Cross hedging。Journal of Political Economy,89(6),1182-1196。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Powers, M. J.(1970)。Does futures trading reduce price fluctuations in the cash markets?。American Economic Review,60,460-464。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Hill, Joanne、Schneeweis, T.(1981)。A Note on the Hedging Effectiveness of Foreign Currency Futures。Journal of Future Markets,1(4),659-664。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Schwert, G. W.(1987)。Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data。Journal of Monetary Economics,20(1),73-103。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Benet, Bruce A.(1992)。Hedge Period Length and Ex-ante Futures Hedging Effectiveness: The Case of Foreign-exchange Risk Cross Hedges。The Journal of Futures Markets,12(2),163-175。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Dale, C.(1981)。The Hedging Effectiveness of Currency Futures Markets。The Journal of Futures Markets,1,77-88。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Hill, Joanne、Schneeweis, T.(1982)。The hedging effectiveness of foreign currency futures。The Journal of Financial Research,5(1),95-104。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Pizzi, M. A.、Economopoulos, A. J.、O'Nell, H. M.(1998)。An Examination of the Relationship between Stock Index Cash and Futures Market: A Cointegration Approach。The Journal of Futures Markets,18(3),297-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | 李春華、林筠(1993)。最適避險比率估計方法之研究。證券市場發展季刊,5,110-131。 延伸查詢![new window](/gs32/images/newin.png) |
20. | 黃一祥、王明隆(1994)。外匯期貨最適交叉衡抵:GARCH模式之應用。證券管理,12(12),1-12。 延伸查詢![new window](/gs32/images/newin.png) |
21. | Aggarwal, R.、DeMaskey, A. L.(1997)。Using derivatives in major currencies for cross-hedging currency risks in Asia emerging markets。The Journal of Futures Markets,17,781-796。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Braga, F. S.、Martin, L. J.、Meilke, K. D.(1989)。Cross hedging the Italian Lira/ US dollar exchange rate with Deutech mark futures。The Journal of Futures Markets,9,87-99。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Gastineau, Gary L.(1995)。The currency hedging decision: A search for synthesis in asset allocation。Financial Analysts Journal,51,8-17。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Leistikow, Dean、Ferguson, Robert(1998)。Are regression approach futures hedge ratios stationary?。The Journal of Futures Markets,18,851-866。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Geppert, John M.(1995)。A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length。The Journal of Futures Markets,15,507-536。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Grammatikos, T.、Saunders, A.(1983)。Stability and the hedging performance of foreign currency futures。The Journal of Futures Markets,3,295-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Hardy, Charles O.、Lyon, Leverett S.(1923)。The theory of hedging。Journal of Political Economy,31,276-287。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Urrutia, J. L.、Malliaris, A. G.(1991)。Tests of random walk of hedging ratio and measures of hedging effectiveness for stock indexes and foreign currencies。The Journal of Futures Markets,11,55-68。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Malliaris, A. G.、Urrutia, J. L.(1991)。The impact of lengths of estimation periods and hedging horizon on the effectiveness of a hedge: Evidence from foreign currency futures。The Journal of Futures Markets,11,271-289。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Perold, A. F.、Schulman, E. C.(1988)。The free lunch in currency hedging: Implications for investment policy and performance standards。Financial Analysts Journal,44(3),45-52。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Stein, J. L.(1961)。The simulaneous determination of spot and futures prices。The American Economic Review,51,1012-1025。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Grossman, S. J.(1977)。The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities。The Review of Economic Studies,44(3),431-449。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |