期刊論文| 1. | Moschini, Gian、Myers, Carlo Robert J.(2002)。Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach。Journal of Empirical Finance，9(5)，589-603。   |
| 2. | Lien, D.(2005)。The Use and Abuse of the Hedging Effectiveness Measure。International Review of Financial Analysis，14(1)，277-282。 |
| 3. | Park, Tae H.、Switzer, Lorne N.(1995)。Time-Varying Distributions and the Optimal Hedge Ratios for Stock Index Futures。Applied Financial Economics，5(3)，131-137。 |
| 4. | 李命志、邱哲修、黃景明、陳君達(20030900)。臺灣股價指數期貨最適避險策略之研究。企業管理學報，58，85-104。 延伸查詢 |
| 5. | Lee, T. H.(1994)。Spread and Volatility in Spot and Forward Exchange Rates。Journal of International Money and Finance，13(3)，375-383。 |
| 6. | Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics，6(2)，109-124。 |
| 7. | Gagnon, L.、Lypny, G.(1995)。Hedging Short-term Interest Risk Under Time-Varying Distributions。Journal of Futures Markets，15(7)，767-783。 |
| 8. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。 |
| 9. | Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis，19(1)，101-112。 |
| 10. | Lien, D.、Tse, Y. K.(1998)。Hedging Time-varying Downside Risk。Journal of Futures Markets，18(6)，705-722。 |
| 11. | Kavussanos, M. G.、Nomikos, N. K.(2000)。Constant vs. Time-varying Hedge Ratios and Hedging Efficiency in the BIFFEX Market。Transportation Research Part，36(4)，229-248。 |
| 12. | Tong, Wilson H. S.(1996)。An Examination of Dynamic Hedging。Journal of International Money and Finance，15(1)，19-35。 |
| 13. | Cecchetti, Stephen G.、Cumby, Robert E.、Figlewski, Stephen(1988)。Estimation of the Optimal Futures Hedge。The Review of Economics and Statistics，70(4)，623-630。 |
| 14. | Choudhry, Taufiq(2004)。The Hedging Effectiveness of Constant and Time-varying Hedge Ratios Using Three Pacific Basin Stock Futures。International Review of Economics and Finance，13(4)，371-385。 |
| 15. | Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。 |
| 16. | Ghosh, A.、Clayton, R.(1996)。Hedging with international stock index futures: an intertemporal error correction model。Journal of Financial Research，19(4)，477-491。 |
| 17. | Lien, D.、Tse, Y. K.、Tsui, A. K. C.(2002)。Evaluating the hedging performance of the constant-correlation GARCH model。Applied Financial Economics，12(11)，791-798。 |
| 18. | Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics，16(1)，121-130。 |
| 19. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。 |
| 20. | 沈育展、洪瑞成、邱建良、李命志(20040300)。日經225指數期貨之避險績效與最適避險策略之探討。輔仁管理評論，11(1)，153-179。 延伸查詢 |
| 21. | Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics，20(3)，339-350。 |
| 22. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 23. | 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。 |
| 24. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。 |
| 25. | 余尚武、賴昌作(20010100)。股價指數期貨之避險比率與避險效益。管理研究學報，1(1)，1-31。 延伸查詢 |
| 26. | Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance，34(1)，157-170。 |
| 27. | Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies，27(3)，139-151。 |
| 28. | Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis，28(4)，535-551。 |
| 29. | Myers, R. J.(1991)。Estimating Time-Varying Optimal Hedge Ratios on Futures Markets。Journal of Futures Markets，11(1)，39-53。 |
| 30. | Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review，51(5)，1012-1025。 |
| 31. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。 |
| 32. | 陳政德(1998)。利用國外臺股指數期貨避險最適避險比率之探討。證券金融，59，59-87。 延伸查詢 |
| 33. | Butterworth, D.、Holmes, P.(2001)。The Hedging Effectiveness of Stock Index Futures: Evidence for the FTSE 100 and FTSE Mid 250 Indexes Traded in the UK。Applied Financial Economics，11(1)，57-68。 |
| 34. | Lindahl, M.(1991)。Risk-return Hedging Effectiveness Measures for Stock Index Futures。Journal of Futures Markets，11(4)，399-409。 |
| 35. | Brailsford, T.、Corrigan, K.、Heaney, R.(2001)。A Comparison of Measure of Hedging Effectiveness: A Case Study Using the Australian All Ordinaries Share Price Index Futures Contract。Journal of Multinational Financial Management，11(4/ 5)，465-481。 |
| 36. | Lien, D.(1993)。Risk-return Measure of Hedging Effectiveness: The Case of Multiple Cash and Futures Markets。Managerial and Decision Economics，14(1)，71-74。 |
| 37. | Geppert, John M.(1995)。A Statistical Model for the Relationship between Futures Contract Hedging Effectiveness and Investment Horizon Length。Journal of Futures Markets，15(5)，507-536。 |
| 38. | Choudhry, T.(1997)。Short-run Deviations and Volatility in Spot and Futures Stock Returns: Evidence from Australia, Hong Kong, and Japan。Journal of Futures Markets，17(6)，689-705。 |
| 39. | DeMaskey, A. L.、Dellva, W. L.、Heck, J. L.(2002)。Benefits from Asian-Pacific Mutural Fund Investment with Currency Hedging。Review of Quantitative Finance and Accounting，21(1)，49-64。 |
| 40. | Chang, J. S.、Shanker, K. L.(1987)。A Risk-return Measure of Hedging Effectiveness: A Comment。Journal of Financial and Quantitative Analysis，22(3)，373-376。 |
| 41. | Howard, C. T.、D'antonio, L. J.(1987)。A Risk-return Measure of Hedging Effectiveness: A Reply。Journal of Financial and Quantitative Analysis，22(3)，377-381。 |
| 42. | Wilkinson, K. J.、Rose, L. C.、Young, M. R.(1999)。Comparing the Effectiveness of Traditional and Time Varying Hedge Ratios Using New Zealand and Australian Debt Futures Contracts。Financial Review，34(3)，79-94。 |
| 43. | Chou, W. L.、Fan, D. K. K.、Lee, C. F.(1996)。Hedging with the Nikkei Index Futures: The Conventional Model versus the Error Correction Model。Quarterly Review of Economics and Finance，36(4)，495-505。 |
| 44. | Lypny, G.、Powalla, M.(1998)。The Hedging Effectiveness of DAX Futures。European Journal of Finance，4(4)，345-355。 |
| 45. | Lien, D.(2004)。Cointegration and the Optimal Hedge Ratio: The General Case。Quarterly Review of Economics and Finance，44(5)，654-658。 |
| 46. | Chakraborty, A.、Barkoulas, J. T.(1999)。Dynamic Futures Hedging in Currency Markets。European Journal of Finance，5(4)，299-314。 |
| 47. | Butterworth, D.、Holmes, P.(2000)。Ex Ante Hedging Effectiveness of UK Stock Index Futures Contracts: Evidence for the FTSE 100 and FTSE Mid 250 Contracts。European Financial Management，6(4)，441-457。 |
| 48. | Sim, A.-B.、Zurbruegg, R.(2001)。Optimal Hedge Ratios and Alternative Hedging Strategies in the Presence of Cointegrated Time-varying Risks。European Journal of Finance，7(3)，269-283。 |
| 49. | Lien, D.、Shaffer, D. R.(1999)。A Note on Estimating the Minimum Extended Gini Hedge Ratio。Journal of Futures Markets，9(1)，101-113。 |
| 50. | Wei, S. X.(2002)。A Censored-GARCH Model of Asset Returns with Price Limits。Journal of Empirical Finance，9(2)，197-223。 |