期刊論文| 1. | Malliaropulos, D.(1998)。International stock return differentials and real exchange rate changes。Journal of International Money and Finance，17(3)，493-511。   |
| 2. | 黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance，40(3)，337-354。 |
| 3. | 林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展，11(1)=41，61-92。 延伸查詢 |
| 4. | 方文碩、田志遠(2001)。匯率貶值對股票市場的衝擊--雙變量GARCH-M模型。臺灣金融財務季刊，2(3)，99-117。 延伸查詢 |
| 5. | 聶建中、蔡育迪(20001000)。亞洲金融風暴對臺灣與東南亞各國股價指數及匯率間互動的影響。企銀季刊，24(2)，197-215。 延伸查詢 |
| 6. | Booth, L.、Rotenberg, W.(1990)。Assessing Foreign Exchange Exposure: Theory and Application Using Canadian Firms。Journal of International Financial Management and Accounting，2(1)，1-22。 |
| 7. | Kanas, A.(2000)。Volatility spillovers between stock returns and exchange rate changes: International Evidence。Journal of Business Finance & Accounting，27(3/4)，447-467。 |
| 8. | Smith, C. E.(1992)。Stock Markets and the Exchange Rate: A Multi-Country Approach。Journal of Macroeconomics，14(4)，607-629。 |
| 9. | 劉祥熹、張英信(20001000)。東亞主要國家股價與匯率關聯性之研究。證券金融，67，1-33。 延伸查詢 |
| 10. | Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance，41(4)，477-490。 |
| 11. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。 |
| 12. | 王毓敏(1998)。臺灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究。臺北銀行月刊，28(12)=338，159-171。 延伸查詢 |
| 13. | 劉祥熹、李崇主(20001000)。臺灣地區外資、匯率與股價關聯性之研究--VAR與VECM之應用。證券市場發展，12(3)=47，1-41。 延伸查詢 |
| 14. | Jorion, P.(1990)。The Exchange-Rate Exposure of U. S. Multinationals。Journal of Business，63(3)，331-345。 |
| 15. | Ajayi, R. A.、Mougoue, M.(1996)。On the dynamic relation between stock prices and exchange rates。Journal of Financial Research，19(2)，193-207。 |
| 16. | 蘇永成、蔡玠施(19960100)。Volatility and Return Spillovers Among Asian Emerging Markets。證券市場發展，8(1)=29，67-88。 延伸查詢 |
| 17. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。 |
| 18. | 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。 |
| 19. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 20. | Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy，96(1)，116-131。 |
| 21. | Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。 |
| 22. | Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。 |
| 23. | 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。 |
| 24. | Bodnar, Gordon M.、Gentry, William M.(1993)。Exchange rate exposure and industry characteristics: Evidence from Canada, Japan and USA。Journal of International Money and Finance，12(1)，29-45。 |
| 25. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。 |
| 26. | Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance，48(5)，1779-1801。 |
其他| 1. | 江明憲、陳英生(2001)。台灣股市日內股票報酬波動之研究。 延伸查詢 |
| 2. | 邱哲修、邱建良、蘇英谷(2001)。臺灣匯率波動對股價報酬之影響。 延伸查詢 |
| 3. | 俞海琴、張錫杰(1993)。臺灣地區股價與匯率、利率互動關係之研究--向量自我迴歸模式之應用。 延伸查詢 |
| 4. | 莊忠柱(2000)。股價指數期貨與現貨的波動性外溢：台灣的實證。 延伸查詢 |
| 5. | Brock,W.A., Dechert, W. D., Schein, J. A. and LeBaron, B.(1996)。A Test for Independence Based on the Correction Dimension。 |
| 6. | Brooks, C. and Henry, O. T.(2000)。Can Portmanteau Nonlinearity Tests Serve as General Mis-specification Tests? Evidence from Symmetric and Asymmetric GARCH Models。 |
| 7. | Johansen, S. and Juselius, K.(1992)。Testing Structure Hypotheses in 汪 Multivariate Cointegration Analysis of the PPP and the UIP for UK。 |
| 8. | Nagayasu, J.(2001)。Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Tailand。 |
| 9. | Roll, R.(1992)。Industrial Structure and the Comparative Behaviour of International Stock Market Indices。 |