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K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance，40(3)，723-739。 | | 22. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 | | 23. | 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。 | | 24. | Andersen, Torben Gustav、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2000)。Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian。Multinational Finance Journal，4(3/4)，159-179。 | | 25. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association，96(453)，42-55。 | | 26. | Feinstein, Steven P.、Goetzmann, William N.(1988)。The Effect of the "Triple Witching Hour" on Stock Market Volatility。Economic Review，73(5)，2-18。 | | 27. | Abhyankar, A.、Ghosh, D.、Levin, E.、Limmack, R. J.(1997)。Bid-Ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange。Journal of Business Finance & Accounting，24，343-361。 | 會議論文| 1. | Ghose, D.、Kroner, K. F.(199803)。Temporal aggregation of high frequency financial data。The HFDF-I conference。Zurich, Switzerland。1-31。 | | 2. | Müller, U. A.、Dacorogna, M. M.、Davé, R. D.、Pictet, O. V.、Olsen, R. B.、Ward, J. R.(1993)。Fractals and intrinsic time-A challenge to econometricians。Opening lecture at the XXXIXth International Conference of the Applied Econometrics Association (AEA), Real Time Econometrics-Submonthly Time Series，(會議日期: 1993/10/14-10/15)。 | 圖書| 1. | Stoll, Hans R.、Whaley, Robert E.(1986)。Expiration day effects of index options and futures。New York University。 | | 2. | Dacorogna, M. M.、Muller, U. A.、Olsen, R. B.、Pictet, O. V.(1997)。Modelling short-term volatility with GARCH and HARCH models。John Wiley & Sons, Publisher。 | |