期刊論文1. | Baillie, R. T.(199607)。Long memory processes and fractional integration in econometrics。Journal of Econometrics,73(1),35-59。 |
2. | Fama, E. F.(1965)。The behavior of stock market price。Journal of Business,38(1),34-105。 |
3. | Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the estimates for autoregressive time series with a unit root。Journal of the American Statistical Association,74(366),427-431。 |
4. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 |
5. | Geweke, J. F.、Porter‐Hudak, S.(1983)。The estimation and application of long memory time series models。Journal of Time Series Analysis,4(4),221-238。 |
6. | Chung, C. R.、Baillie, R. T.(1993)。Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models。Empirical Economics,18,791-806。 |
7. | Granger, C. W. J.、Joyeux, Roselyne(1980)。An introduction to long-memory time series models and fractional differencing。Journal of Time Series Analysis,1(1),15-29。 |
8. | Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society,55(2),277-301。 |
9. | Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。 |
10. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
11. | Baillie, Richard T.、Bollerslev, Tim(1994)。Cointegration, Fractional Cointegration, and Exchange Rate Dynamics。The Journal of Finance,49(2),737-745。 |
12. | Baillie, Richard T.、Bollerslev, Tim、Mikkelsen, Hans O.(1996)。Fractionally Integrated Generalize Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,74(1),3-30。 |
13. | Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。 |
14. | Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。 |
15. | Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。 |
16. | Granger, C. W. J.(1986)。Developments in Study of Cointegrated Economic Variable。Oxford Business and Economic Statistics,48,213-228。 |
17. | Cheung, Y. W.(1993)。Long Memory in Foreign-Exchange Rate。Journal of Business and Economic Statistics,11,93-101。 |
18. | Cheung, Y. W.、Lai, K. S.(1993)。A Fractional Cointeration Analysis of Purchasing Power Parity。Journal of Business and Economic Statistic,11,103-122。 |
19. | Chung, C. F.(1996)。A Generalized Fractionally Integrated ARMA Process。Journal of Time Series Analysis,17,111-140。 |