期刊論文| 1. | Cassuto, A. E.(1995)。Non-Normal Error Patterns: How to Handle Them。Journal of Business Forecasting Methods and System，14(2)，15-16。   |
| 2. | Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business，49，496-508。 |
| 3. | Poterba, James M.、Summers, Lawrence H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。American Economic Review，76(5)，1142-1151。 |
| 4. | Engle, R.、Russell, J.(1998)。Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data。Econometrica，66(5)，1127-1162。 |
| 5. | Galant, A. R.、Hsu, C. T.、Tauchen, G. E.(1999)。Calculating volatility diffusions and extracting integrated volatility。Review of Economics and Statistics，81，617-631。 |
| 6. | Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance，42(2)，281-300。 |
| 7. | Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control，18(5)，931-955。 |
| 8. | Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。 |
| 9. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。 |
| 10. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。 |
| 11. | French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics，19(1)，3-29。 |
| 12. | Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。 |
| 13. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 14. | 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。 |
| 15. | Andersen, Torben G.、Bollerslev, Tim(1997)。Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns。The Journal of Finance，52(3)，975-1005。 |
| 16. | 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。 |
| 17. | 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。 |
| 18. | Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance，57(3)，1047-1091。 |
| 19. | Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics，10(4)，407-432。 |
| 20. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。 |
| 21. | Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business，53(1)，61-65。 |
| 22. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。 |
| 23. | 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。 |
| 24. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。 |