| 期刊論文1. | Davidson, James(2003)。Moment and memory properties of linear conditional heteroscedasticity models, and a new model。Journal of Business and Economic Statistics,22,16-29。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Hosking, J. R. M.(198104)。Fractional differencing。Biometrika,68(1),165-176。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Granger, C. W. J.(1980)。Long Memory Relationships and the Aggregation of Dynamic Models。Journal of Econometrics,14(2),227-238。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | 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) | 7. | Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews,11(2),143-172。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Baillie, Richard T.、Bollerslev, Tim(1994)。Cointegration, Fractional Cointegration, and Exchange Rate Dynamics。The Journal of Finance,49(2),737-745。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Baillie, Richard T.、Bollerslev, Tim、Mikkelsen, Hans O.(1996)。Fractionally Integrated Generalize Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,74(1),3-30。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | 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) | 學位論文1. | 陳姿吟(2000)。台灣股市上、中、下游股價關聯性之研究--以積體電路產業為例(碩士論文)。實踐大學。 延伸查詢![new window](/gs32/images/newin.png) | 圖書1. | Davidson, Russell、MacKinnon, James G.(1993)。Estimation and Inference in Econometrics。Oxford University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 其他1. | 何威翰(1998)。臺灣個人電腦相關產業關聯性之研究。 延伸查詢![new window](/gs32/images/newin.png) | 2. | 張裕波(1997)。電子股上、中、下游股價關聯性之研究。 延伸查詢![new window](/gs32/images/newin.png) | 3. | 陳韋豪(2005)。台灣半導體產業上、中、下游股價關聯性與波動性外溢效果之研究--雙變量EGARCH模型的應用。 延伸查詢![new window](/gs32/images/newin.png) | 4. | 曾前勝(2004)。我國TFT-LCD產業上中下游股價關聯性之研究。 延伸查詢![new window](/gs32/images/newin.png) | 5. | 劉祥熹與陳揚仁(2007)。台灣、日本與韓國TFT--LCD面板產業股價連動性之研究,台北:淡江大學財務金融學系。 延伸查詢![new window](/gs32/images/newin.png) | 6. | Agiakoglou, C., P. Newbold, and M. Wohar(1992)。Bias in an Estimator of the Fractional Differencing Parameter。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Cheung, Y. W.(1993)。Long Memory in Foreign-exchange Rate。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Chung, C. F. and R. T. Baillie(1993)。Small Sample Bias in Conditional Sum of Squares Estimators of Fractionally Integrated ARMA Models。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Li, W. K. and A. I. Mcleod(1986)。Fractional Time Series Modelling。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | MacKinnon, J. G.(1994)。Approximate Asymptotic Distribution Functions for Unit-root and Cointegration Tests。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Roll, R. and S. Ross(1995)。The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Weiss, A. A.(1986)。Asymptotic Theory for ARCH Models: Estimation and Testing。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |