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5. | Chow, G. C.(1990)。Testing for Equality between Sets of Coefficients in Two Linear Regression Relationship over Time。Econometric,29,591-605。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Fraser, P.(1996)。UK Excess Share Returns: Firm Size and Volatility。Scottish Journal of Political Economy,43,71-84。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Hsieh, D.(1991)。Chaos and Nonlinear Dynamics: Applications to Financial Markets。Journal of Finance,47,1145-1189。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Koutmos, G.、Lee, U.、Theodossiou, P.(1994)。Time-Koutmos Varying Betas and Volatility Persistence in International Stock Markets。Journal of Economics and Business,46,101-112。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Lin, C. J.、Teräsvirta, T.(1994)。Testing the Constancy of Regression Parameters against Continuous Structural Change。Journal of Econometrics,62,211-228。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Malik, A. K.(2005)。European Exchange Rate Volatility Dynamics: An Empirical Investigation。Journal of Empirical Finance,12,187-215。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Poon, S. H.、Taylor, S. J.(1992)。Stock Returns and Volatility: An Empirical Study of the UK Stock Market。Journal of Banking and Finance,16,37-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Ryden, T.、Teräsvirta, T.(1998)。Stylized Facts of Daily Return Series and the Hidden Markov Model。Journal of Applied Econometrics,13,217-244。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markers: International Evidence。International Journal of Forecasting,17,459-482。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Taylor, M. P.、Peel, D. A.(1999)。Nonlinear Adjustment, Long-Run Equilibrium and Exchange Rate Fundamentals。Journal of International Money and Finance,19,33-53。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Thomas, S.、Wickens, M.(1993)。An International CAPM for Bonds and Equities。Journal of International Money and Finance,12,390-412。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Xing, X.、Howe, J. S.(2003)。The Empirical Relationship between Risk and Return: Evidence from the UK Stock Market。International Review of Financial Analysis,12,329-346。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Yang, Y. N.(2002)。Structural Changes in US-Japan Exchange Rates。Chung Yuan Journal,30,453-459。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | De Santis, G.、Imrohoroglu, S.(1997)。Stock Returns and Volatility in Emerging Financial Markets。Journal of International Money and Finance,16(4),561-579。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | 姜淑美、鄭婉秀、邱建良(20030300)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64。 延伸查詢![new window](/gs32/images/newin.png) |
20. | Ross, S. A.(1989)。Information and Volatility: the No-Arbitrage Martingale Approach to Timing and Resolation Irrelevancy。Journal of Finance,44,1-17。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Poterba, James M.、Summers, Lawrence H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。American Economic Review,76(5),1142-1151。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model。Econometrica,55,391-407。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Chou, Ray Yeutien(1988)。Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3(4),279-294。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association,89(425),208-218。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Crawford, V. P.、Sobel, J.(1982)。Strategic Information Transmission。Econometrica,50(6),1431-1451。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Flannery, M. J.、Protopapadakis, A. A.(2002)。Macroeconomic Factors Do Influence Aggregate Stock Returns。The Review of Financial Studies,15(3),751-782。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | 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) |
29. | 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) |
30. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | 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) |
33. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |