期刊論文| 1. | Booth, G. G.、Martikainen, T.、Tse, Y.(1997)。Price and Volatility Spillovers in Scandinavian Stock Markets。Journal of Banking and Finance，21(6)，811-823。   |
| 2. | Kanas, A.(1998)。Volatility Spillovers across Equity Markets: European Evidence。Applied Financial Economics，8(3)，245-256。 |
| 3. | MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics，11(6)，601-618。 |
| 4. | Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。 |
| 5. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。 |
| 6. | Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance，14(6)，747-762。 |
| 7. | Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。 |
| 8. | 聶建中、林少斌、莊亨懋(20050600)。臺灣半導體上、中、下游產業股價指數之連動性探討。臺大管理論叢，15(2)，25-41。 延伸查詢 |
| 9. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 |
| 10. | Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。 |
| 11. | 胥愛琦、吳清豐(20030900)。臺灣股市報酬與匯率變動之波動性外溢效果--雙變量EGARCH模型的應用。臺灣金融財務季刊，4(3)，87-103。 延伸查詢 |
| 12. | Stevenson, S.(2002)。An Examination of Volatility Spillovers in REIT Returns。Journal of Real Estate Portfolio Management，8(3)，229-238。 |
| 13. | 李文雄、陳志鈞、陳君達(20051200)。亞洲主要股市報酬關聯性之研究--以日本股市歷史低點前後為例。企業管理學報，67，1-30。 延伸查詢 |
| 14. | Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。 |
| 15. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。 |
| 16. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。 |
| 17. | 古永嘉、洪雪卿、楊育軒、魏國棟(2006)。「我國與美、日股市連動性之研究－運用三元EGARCH模型」。台灣經濟論衡，第四卷第一期，1-26。 延伸查詢 |
| 18. | In, F.(2007)。“Volatility Spillovers across International Swap Markets: The US, Japan,and the UK”。Journal of International Money and Finance，vol. 26,no. 3，329-341。 |
| 19. | Liow, K. H., Ooi, J., Gong, Y.(2005)。“Cross-Market Dynamics in Property Stock Markets: Some International Evidence”。Journal of Property Investment and Finance，vol.23,no. 1，55-75。 |
| 20. | Mishra, A. K., Swain, N., Malhotra, D. K.(2007)。“Volatility Spillover between Stockand Foreign Exchange Markets: Indian Evidence”。International Journal of Business，vol.12,no. 3，343-354。 |
| 21. | Tse, Y., Wu, C., Young, A.(2003)。“Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange”。Global Finance Journal，vol. 14,no. 3，319-332。 |