期刊論文1. | Ramchand, L.、Susmel, R.(1998)。Volatility and cross correlation across major stock market。Journal of Empirical Finance,5,397-416。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Hamilton, J. D.(1988)。Rational-expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates。Journal of Economic Dynamics and Control,12,385-423。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Hamilton, J. D.(1989)。A new approach to the economic analysis of nonstationary time series and business cycle)。Econometrica,57,357-384。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Ghosh, A.(1993)。Cointegration and error correction model: International causality between index and futures prices。The Journal of Futures Markets,13,193-198。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Miller, M. H.(1990)。International competitiveness of U. S. futures markets。Journal of Financial Service Research,4,387-408。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Patrick, J.(2002)。Financial crisis and the great depression: A regime switching approach。Journal of Money, Credit, and Banking,34(1),76-93。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Tse. Y. K.(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets Returns。Journal of Futures Markets,19,911-930。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Pesaran, M. H.、Shin, Y.(2002)。Long-run structural modeling。Econometric Reviews,21,49-88。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Najand, M.、Yung, K.(1994)。A GARCH examination of the relationship between volume and price variability in futures markets。Journal of Futures Markets,11,465-478。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Bentzen, J.、Engsted, T.(2001)。A revival of the autoregressive distributed lag model in estimating energy demand relationships。Energy,26(1),45-55。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | 黃仁德、林彥伶(20020900)。臺灣失業率的轉換機率與預測--馬可夫轉換模型的應用。中國統計學報,40(3),303-331。 延伸查詢![new window](/gs32/images/newin.png) |
12. | 莊忠柱(20001000)。股價指數期貨與現貨的波動性外溢:臺灣的實證。證券市場發展,12(3)=47,111-139。 延伸查詢![new window](/gs32/images/newin.png) |
13. | Diebold, F. X.(1986)。Modeling the persistence of conditional variances。Econometric Review,5,51-56。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | 黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。 延伸查詢![new window](/gs32/images/newin.png) |
17. | Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Shyy, Gang、Vijayraghavan, Vasumathi、Scott-Quinn, Brian(1996)。A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ Ask Quotes: the Case of France。Journal of Futures Markets,16(4),405-420。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Tse, Y. K.(1995)。Lead-lag relationship between spot index and futures price of the Nikkei stock average。Journal of Forecasting,14(7),553-564。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Tsay, R. S.、Tiao, G. C.(1984)。Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Non-stationary ARMA Models。Journal of the American Statistical Association,79,84-96。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | 徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊,13(5),515-540。 延伸查詢![new window](/gs32/images/newin.png) |
24. | Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets,19(2),217-232。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Pizzi, Michael A.、Economopoulos, Andrew J.、O'Neill, Heather M.(1998)。An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach。Journal of Futures Markets,18(3),297-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets,15(4),457-488。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | 林常青、洪茂蔚、管中閔(20020300)。臺灣短期利率的動態行為--狀態轉換模型的應用。經濟論文,30(1),29-55。 延伸查詢![new window](/gs32/images/newin.png) |
31. | Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics,42(1),27-62。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics,64,307-333。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics,60,1-22。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | 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) |
37. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。 ![](/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. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |