期刊論文| 1. | Hamilton, James D.、Susmel, Raul(1994)。Autoregressive Conditional Heteroskedasticity and Changes in Regime。Journal of Econometrics，64(1/2)，307-333。   |
| 2. | Cai, J.(1994)。A Markov Model of Switching-regime ARCH。Journal of Business & Economic Statistics，12(3)，309-316。 |
| 3. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。 |
| 4. | Hansen, B. E.(1992)。The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP。Journal of Applied Econometrics，7，61-82。 |
| 5. | Longstaff, Francis A.、Schwartz, Eduardo S.(1992)。Interest-Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model。The Journal of Finance，47(4)，1259-1282。 |
| 6. | 許溪南、沈添吉(19971100)。臺灣短期利率混沌現象與非線性結構之研究。成功大學學報，32，79-102。 延伸查詢 |
| 7. | Turner, Christopher M.、Startz, Richard、Nelson, Charles R.(1989)。A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market。Journal of Financial Economics，25，3-22。 |
| 8. | Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics，42(1)，27-62。 |
| 9. | 林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊，26(4)，431-457。 延伸查詢 |
| 10. | Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。 |
| 11. | Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review，80(4)，689-713。 |
| 12. | Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance，47(3)，1209-1227。 |
| 13. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 14. | Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。 |
| 15. | Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics，8(2)，225-234。 |
| 16. | Hamilton, J. D.(1988)。Rational-Expectations Econometrics Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates。Journal of Economic Dynamics & Control，12，385-423。 |
| 17. | Diebold, F. X.(1986)。Modelling the Persistence of Conditional Variance: A Comment。Econometric Reviews，5，51-56。 |
| 18. | Driffill, J.(1992)。Change in regime and the term structure。Journal of Economic Dynamics & Control，16，165-173。 |
| 19. | 林丙輝、葉仕國(1999)。臺灣地區利率期限結構模型之實證探索－狀態空間模型估計法。證券市場發展季刊，10(4)，55-88。 延伸查詢 |
| 20. | 黃朝熙(1999)。臺灣景氣循環的階段與特色：馬可夫狀態轉換模型的分析。經濟論文叢刊，27(2)，185-213。 延伸查詢 |
| 21. | Mark, N. C.、Lam, Pok-Sang、Cecchetti, S. G.(1990)。Mean Reversion in Equilibrium Asset Prices。The American Economic Review，80，398-418。 |