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2. | Lyons, Richard K.(1997)。A simultaneous trade model of the foreign exchange hot potato。Journal of International Economics,42(3),275-298。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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5. | Danı́elsson, J.、Payne, R.(2002)。Real Trading Patterns and Prices in Spot Foreign Exchange Markets。Journal of International Money and Finance,21,203-222。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Darrat, A.、Rahman, F. S.、Zhong, M.(2003)。Intraday Trading Volume and Return Volatility of the DJIA Stock: A Note。Journal of Banking and Finance,27,2035-2043。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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8. | Hua, M. S.、Gau, Y. F.(2005)。Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market。Pacific-Basin Finance Journal,14,193-208。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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10. | Kalev. P.、Liu, W.、Pham, P.(2004)。Public Information Arrival and Volatility of Intraday Stock Returns。Journal of Banking and Finance,28,1441-1467。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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12. | Lin, J.、Yang, J.(2003)。Examining Intraday Returns with Buy/sell Information。Applied Financial Economics,13,447-461。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Menyah, K.、Paudyal, K.(2000)。The Components of Bid-ask Spreads on the London Stock Exchange。Journal of Banking and Finance,24,1767-1785。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Nikiforos, T. L.(2005)。Feedback Trading and Autocorrelation Interactions in the Foreign Exchange Market: Further Evidence。Economic Modeling,22,811-827。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Tse, Y.、Tsui, A. K.(1997)。Conditional Volatility in Foreign Exchange Rates: Evidence form the Malaysian Ringgit and Singapore Dollar。Pacific-Basin Finance journal,5,345-356。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Wang, K.、Chris, F.、Barrett, C. B.(2002)。An Assessment of Empirical Model Performance When Financial Market Transactions Are Observed at Different Date Frequencies: An Application to East Asian Exchange Rates。Review of Quantitative Finance and Accounting,19,111-129。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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18. | Covrig, Vincentiu、Melvin, Michael(2002)。Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?。Journal of Empirical Finance,9,271-285。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Hartmann, P.(1998)。Do Reuters Spreads Reflect Currencies' Difference in Global Trading Activity?。Journal of International Money and Finance,17,757-784。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Ito, Takatoshi、Lyons, Richard K.、Melvin, Michael T.(1998)。Is There Private Information in the FX Market? The Tokyo Experiment。The Journal of Finance,53(3),1111-1130。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Hamilton, James D.、Susmel, Raul(1994)。Autoregressive Conditional Heteroskedasticity and Changes in Regime。Journal of Econometrics,64,307-333。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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23. | Najand, M.、Yung, K.(1991)。A GARCH examination of the relationship between volume and price variability in futures markets。Journal of Futures markets,11(5),613-621。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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26. | Foster, Andrew J.(1995)。Volume-volatility Relationships for Crude Oil Futures Markets。Journal of Futures markets,15,929-951。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Wang, Kai-Li、Fawson, Christopher、Barrett, Christopher B.、McDonald, James B.(2001)。A Flexible Parametric GARCH Model with an Application to Exchange Rates。Journal of Applied Econometrics,16(4),521-536。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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29. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | 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) |
31. | Andersen, Torben G.、Bollerslev, Tim(1997)。Intraday Periodicity and Volatility Persistence in Financial Markets。Journal of Empirical Finance,4(2/3),115-158。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Baillie, Richard T.、Bollerslev, Tim(1991)。Intra-Day and Inter-Market Volatility in Foreign Exchange Rates。The Review of Economic Studies,58(3),565-585。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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