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M.、Wu, E.(2006)。Dynamics of Bond Market Integration between Established and Accession European Union Countries。Journal of International Financial Markets,6(1),41-56。 | 52. | Ang, A.、Chen, J.(2002)。Asymmetric Correlation of Equity Portfolio。Journal of Financial Economics,63(3),443-494。 | 53. | Bauwens, L.、Laurent, S.(2005)。A New Class of Multivariate Skew Densities, with Application to GARCH Models。Journal of Business and Economic Statistics,23(3),346-354。 | 54. | Branson, W. H.(1977)。Asset Markets and Relative Prices in Exchange Rate Determination。Sozialwissenschaftliche Annalen,1,69-89。 | 55. | Brooks, C.(1997)。Linear and Non-Linear Forecastability of High-Frequency Exchange Rates。Journal of Forecasting,16(2),125-145。 | 56. | Christiansen, C.(2000)。Macroeconomic Announcement Effects on the Covariance Structure of Government Bond Returns。Journal of Empirical Finance,7(5),479-507。 | 57. | Cifarelli, G.、Paladino, G.(2006)。Volatility C0-Movements between Emerging Sovereign Bonds--Is there Segmentation between Geographical Areas?。Global Finance Journal,16(3),245-263。 | 58. | Deb, P.(1996)。Finite Sample Properties of Maximum Likelihood and Quasi-Maximum Likelihood Estimators of EGARCH Models。Econometric Reviews,15(1),51-68。 | 59. | de Goeij, P.、Marquering, W.(2006)。Macroeconomic Announcements and Asymmetric Volatility in Bond Return。Journal of Banking and Finance,30(10),2659-2680。 | 60. | Longstaff, F. A.、Schwartz, E. S.(1992)。Interest Rate Volatility and the Term Structure--A Two-Facotr General Equilibrium Model。Journal of Finance,47(4),1259-1283。 | 61. | Lee, S.、Hansen, B.(1994)。Asymptotic Theory for the GARCH (1, 1) Quasi-Maximum Likelihood Estimator。Econometric Theory,10(1),29-52。 | 62. | Reilly, F. J. R.、David, W. J.、Chan, K. C.(2000)。; Bond Market volatility Compared to Stock Market Volatility。Journal of Portfolio Management,27(1),82-93。 | 63. | Ross, S.(1989)。Information and Volatility--The Non-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy。Journal of Finance,44(1),11-17。 | 64. | Sarkar, S.、Ariff, M.(2002)。The Effect of Interest Rate Volatility on Treasury Yields。Applied Financial Economics,12(9),667-672。 | 65. | Solnik, B.、Boucrelle C.、Fur, Y. L.(1996)。International Market Correlation and Volatility。Financial Analysts Journal,52(1),17-34。 | 會議論文1. | Li, L. and Engle, R. F. ,(1998)。“Macroeconomics Announcement and Volatility of Treasury Futures,”。 | 研究報告1. | Cappiello, L. ,(2000)。“Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?”。 | 2. | Li, L., ,(2002)。“Correlation of Stock and Bond Return-Theory and Empirical Evidence,”。 | 3. | Li, L.、Engle, R. F.(1998)。Macroeconomics Announcement and Volatility of Treasury Futures。 | 4. | Li, L.(2002)。Correlation of Stock and Bond Return-Theory and Empirical Evidence。 | 5. | Cappiello, L.(2000)。Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?。Geneva, Switzerland。 | 其他1. | Pagan, A. R. and Sabau, H. ,(1987)。“On the Inconsistence of the MLE in Certain Heteroskedasticity Regression Model,”。 | 2. | Pagan, A. R.,Sabau, H.(1987)。On the Inconsistence of the MLE in Certain Heteroskedasticity Regression Model。 | |
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