| 期刊論文| 1. | Lintner, John(1965)。Security Prices, Risk and Maximal Gains from Diversification。Journal of Finance，20(4)，587-615。   | | 2. | Lessard, Donald R.、俞海琴、張錫杰(1974)。World, national and industry factors in equity returns。Journal of Finance，29(2)，379-391。 | | 3. | Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance，7(1)，77-91。 | | 4. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 | | 5. | 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。 | | 6. | Solnik, B. H.(1974)。The International Pricing: An Empirical Investigation of the World Capital Market Structure。Journal of Finance，29(2)，365-378。 | | 7. | Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。 | | 8. | Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica，34(4)，768-783。 | | 9. | Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。 | | 10. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。 | 其他| 1. | Agmon, T.(1974)。The Relations Among Equity Markets in the United States, United Kingdom, Germany and Japan。 | | 2. | Cumby, R.E., and J.D. Glen(1990)。Evaluating the Performance of International Mutual Funds。 | | 3. | Ferson, W.E., and C.R. Harvey(1994)。Sources of Risk and Expected Returns in Global Equity Markets。 | | 4. | Hamilton, J.D.(1988)。Rational-Expectations Econometric Analysis of Change in Regime: An Investigation of the Term Structure of Interest Rates。 | | 5. | Hamilton, J.D.(1990)。Analysis of the Time Series Subject to Change in Regime。 | | 6. | Harvey, C.R. and G. Zhou(1993)。International Asset Pricing with Alternative Distributional Specifications。 | | 7. | Luenberger, D.G.(1984)。Linear and Nonlinear Programming。 | | 8. | Prakash, A.J., M.A. Reside and M.W. Smyser(1993)。A Suggested Simple Procedure to Obtain Blue Estimator of Global Beta。 | | 9. | Ramchand, L. and R. Susmel(1998)。Variance and Covariances of International Stock Returns: the International Capital Asset Pricing Model Revisited。 | |