期刊論文1. | Bilson, J. F. O.(1981)。The "Speculative Efficiency" Hypothesis。Journal of Business,54(3),435-451。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Merton, R. C.(1980)。On Estimating the Expected Return on the Market: An Exploratory Investigation。Journal of Financial Economics,8(4),323-361。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Sweeney, R.(1986)。Beating the Foreign Exchange Market。The Journal of Finance,41(1),163-182。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Campbell, John Y.(1996)。Understanding risk and return。Journal of Political Economy,104(2),289-345。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | 沈中華(19930300)。臺灣遠期美元外匯市場效率性之再檢定--兩狀態Markov模型的應用。經濟論文,21(1),87-115。 延伸查詢![new window](/gs32/images/newin.png) |
6. | 吳中書(19880300)。臺灣美元遠期外匯市場效率性之檢定。經濟論文,16(1),79-112。 延伸查詢![new window](/gs32/images/newin.png) |
7. | Chen, Yueh H.(19920300)。The Dynamic Behavior of Forward and Spot Foreign Exchange Rate: the New Taiwan Dollar Case。經濟論文,20(1),243-266。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Hakkio, C. S.(1981)。Expectations and the forward exchange rate。International Economic Review,22,663-678。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Frenkel, Jacob A.(1976)。A monetary approach to the exchange rate: doctrinal aspects and empirical evidence。Scandinavian Journal of Economics,78(2),200-224。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Hakkio, Craig S.、Rush, Mark(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets。Journal of International Money and Finance,8(1),75-88。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Cumby, R. E.、Obstfeld, M.(1981)。A Note on Exchange Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis。Journal of Finance,36(3),697-703。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Hsieh, D.(1984)。Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets。Journal of International Economics,17,173-184。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | 吳致寧、張萬清(19960300)。外匯市場之效率性與共積檢定。基層金融,32,21-40。 延伸查詢![new window](/gs32/images/newin.png) |
14. | 邱顯比、葉銀華(19931100)。臺灣外匯市場效率性檢定與風險性溢價之研究--Cointegration和ARCH模型。社會科學論叢,41,185-205。 延伸查詢![new window](/gs32/images/newin.png) |
15. | Hansen, Lars Peter、Hodrick, Robert J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88(5),829-853。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Wu, J. L.、Chen, S. L.(1998)。Foreign Exchange Market Efficiency Revisited。Journal of International Money and Finance,17,831-838。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Domowitz, I.、Hakkio, C. S.(1985)。Conditional Variance and the Risk Premium in the Foreign Exchange Market。Journal of International Economics,19,47-66。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Naka, A.、Whitney, G.(1995)。The Unbiased Forward Rate Hypothesis Re-examined。Journal of International Money and Finance,14(6),857-867。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | 黃志典(19980300)。Estimating the Time-Varying Risk Premia in Taiwan's Foreign Exchange Market。管理學報,15(1),81-99。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Copeland, L. S.(1991)。Cointegration Tests with Daily Exchange Rate Data。Oxford Bulletin of Economics and Statistics,53,185-198。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Granger, Clive W. J.(1986)。Developments in the study of co-integrated Economic Variables。Oxford Bulletin of Economics and Statistics,48(3),213-228。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(3),461-471。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Taylor, Mark P.(1995)。The Economics of Exchange Rates。Journal of Economic Literature,33(1),13-47。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | 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) |
29. | Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | 林金龍、吳中書、劉興嘉(19930900)。臺灣美元遠期即期匯率關係之探討--共整合分析之應用。中國統計學報,31(2),271-287。 延伸查詢![new window](/gs32/images/newin.png) |
32. | 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) |
33. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | 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) |
36. | 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) |
37. | Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
38. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
39. | Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society,57(6),1361-1401。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
40. | Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics,10(3),251-270。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
41. | 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) |
42. | Fama, Eugene F.(1984)。Forward and Spot Exchange Rates。Journal of Monetary Economics,14(3),319-338。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
43. | Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
44. | Yilmaz, Kamil、Gardeazabal, Javier、Diebold, Francis X.(1994)。On Cointegration and Exchange Rate Dynamics。The Journal of Finance,49,727-735。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
45. | Taylor, M. P.、MacDonald, R.(1989)。Foreign Exchange Market Efficiency and Cointegration: Some Evidence from the Recent Float。Economics Letters,29(1),63-68。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
46. | DeJong, D. N.、Nankervis, J. C.、Savin, N. E.、Whiteman, C. H.(1992)。Integration versus Trend Stationarity in Time Series。Econometrica,60(2),423-433。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
47. | Apergis, N.、Alexakis, P.(1996)。ARCH Effects and Cointegration: Is the Foreign Exchange Market Efficiency?。Journal of Banking & Finance,20,687-697。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
48. | Crowder, W. J.(1996)。A Note on Cointegration and International Capital Market Efficiency: A Reply。Journal of International Money and Finance,15,661-664。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
49. | Dutt, S. D.、Ghosh, D.(1995)。The Foreign Exchange Market Efficiency Hypothesis Revisited。Applied Economics Letters,2,311-315。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
50. | Engle, C.(1996)。A Note on Cointegration and International Capital Market Efficiency。Journal of International Money and Finance,15,657-660。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
51. | Ukpolo, V.(1995)。Exchange Rate Market Efficiency: Further Evidence from Cointegration Tests。Applied Economics Letters,2,196-198。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
52. | Crowder, W. J.(1994)。Foreign Exchange Market Efficiency and Common Stochastic Trends。Journal of International Money and Finance,13,551-564。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
53. | Thornton, D. L.、Jansen, D. W.、Dickey, D. A.(1991)。A Primer on Cointegration with an Application to Money and Income。Federal Reserve Bank of St. Louis Review,73(2),58-79。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
54. | Huang, Roger D.(1984)。Some Alternative Tests of Forward Exchange Rates as Predictors of Future Spot Rates。Journal of International Money and Finance,3,153-168。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
55. | Masih, A. M. M.、Masih, R.(1995)。Investigating the Robustness of Tests of the Market Efficiency Hypothesis: Contributions from Cointegration Techniques on the Canadian Floating Dollar。Applied Financial Economics,5,139-150。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
56. | Muscatelli, Vito Antonio、Hurn, Jurn(1992)。Cointegration and Dynamic Time Series Models。Journal of Economic Surveys,6(1),1-43。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
57. | Mussa, M.(1979)。Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market。Carnegie-Rochester Conference Series on Public Policy,11(1),9-57。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
58. | Newbold, P.、Wohar, M. E.、Rayner, T.、Kellard, N.、Ennew, C.(1998)。Two Puzzles in the Analysis of Foreign Exchange Market Efficiency。International Review of Financial Analysis,7(2),95-111。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
59. | 朱家祥(1995)。Detecting Parameter Shift in GARCH Models。Econometric Reviews,14(2),241-266。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |