期刊論文1. | Ewing, B. T.、Malik, F.、Ozfidan, O.(2002)。Volatility Transmission in the Oil and Natural Gas Markets。Energy Economics,24,525-538。 |
2. | Kilian, L.(2008)。Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?。Review of Economics and Statistics,90,216-240。 |
3. | Harri, Ardian、Nalley, Lawton Lanier、Hsdson, Darren(2009)。The relationship between oil, exchange rates, and commodity prices。Journal of Agricultural and Applied Economics,41(2),501-510。 |
4. | Hutchison, M. M.(1993)。Structural change and the macroeconomic effects of oil shocks: Empirical evidence from the United States and Japan。Journal of International Money and Finance,12,587-606。 |
5. | Sarno, L.、Valente, G.(2005)。Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts。Journal of International Money and Finance,24(2),363-385。 |
6. | Hamilton, James D.(2003)。What is an oil shock?。Journal of Econometrics,113(2),363-398。 |
7. | Gohin, Alexandre、Chantret, Francis(201001)。The Long-run Impact of Energy Prices on World Agricultural Markets: The Role of Macro-economic Linkages。Energy Policy,38(1),333-339。 |
8. | West, Kenneth D.(1996)。Asymptotic Inference about Predictive Ability。Econometrica,64(5),1067-1084。 |
9. | Arouri, M.、Jouini, J.、Nguyen, D. K.(2011)。Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management。Journal of International Money and Finance,30,1387-1405。 |
10. | Bera, A. K.、Garcia, P.、Roh, J. S.(1997)。Estimation of Time- Varying Hedge Ratios for Corn and Soybean: BGARCH and Random Coefficient Approaches。The Indian Journal of Statistics,59,346-368。 |
11. | Geman, H.、Kharoubi, C.(2008)。WTI Crude Oil Futures in Portfolio Diversification: The Time-to-Maturity Effect。Journal of Banking and Finance,32,2553-2559。 |
12. | Gogineni, Sridhar(2010)。Oil and the Stock Market: An Industry Level Analysis。Financial Review,45,995-1010。 |
13. | Haigh, M. S.、Holt, M. T.(2002)。Crack Spread Hedging: Accounting for Time-Varying Volatility Spillovers in the Energy Futures Markets。Journal of Applied Econometrics,17,269-289。 |
14. | Jawadia, F.、Arouri, M.、Bellalahc, M.(2010)。Nonlinear Linkages between Oil and Stock Markets in Developed and Emerging Countries。International Journal of Business,15,19-31。 |
15. | Ji, Qiang、Fan, Ying(2012)。How Does Oil Price Volatility Affect Non-Energy Commodity Markets?。Applied Energy,89(1),273-280。 |
16. | Lafuente, J.、Novales, A.(2003)。Optimal Hedging under Depar tures from the Cost-of-Carry Valuation: Evidence from the Spanish Stock Index Futures Market。Journal of Banking & Finance,27,1053-1078。 |
17. | Lee, H. T.(2010)。Regime Switching Correlation Hedging。Journal of Banking & Finance,34,2728-2741。 |
18. | Serra, T.(2011)。Volatility Spillovers between Food and Energy Markets: A Semiparametric Approach。Energy Economics,33(1155),1164。 |
19. | Wu, F.、Guan, Z.、Myers, R. J.(2011)。Volatility Spillover Effects and Cross Hedging in Corn and Crude Oil Futures。The Journal of Futures Markets,31,1052-1075。 |
20. | Alizadeh, A.、Nomikos, N.(2004)。A Markov Regime Switching Approach for Hedging Stock Indices。The Journal of Futures Markets,24(7),649-674。 |
21. | Alizadeh, A.、Nomikos, N.(2008)。A Markov Regime Switching Approach for Hedging Energy Commodities。Journal of Banking & Finance,32,1970-1983。 |
22. | Chang, C. L.、McAleer, M.、Tansuchat, R.(2010)。Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets。Energy Economics,32(6),1445-1455。 |
23. | Hass, M.、Mittnik, S.、Paolella, M. S.(2004)。A New Approach to Markov-Switching GARCH Methods。Journal of Financial Econometrics,2,493-530。 |
24. | Lee, H. T.、Yoder, J. K.、Mittelhammer, R. C.、McCluskey, J. J.(2006)。A Random Coefficient Autoregressive Markov Regime Switching Model for Dynamic Futures Hedging。The Journal of Futures Markets,26(2),103-129。 |
25. | Lee, H. T.、Yoder, J. K.(2007)。Optimal Hedging with A Regime-Switching Time-Varying Correlation GARCH Model。Journal of Futures Markets,27(5),495-516。 |
26. | Lee, Hsiang-Tai(2009)。Optimal Futures Hedging under Jump Switching Dynamics。Journal of Empirical Finance,16(3),446-456。 |
27. | McCracken, Michael W.(2007)。Asymptotics for Out-of-Sample Tests of Granger Causality。Journal of Econometrics,140(2),719-752。 |
28. | Sarno, L.、Valente, G.(2000)。The cost of carry model and regime shifts in stock index futures markets: An empirical investigation)。The Journal of Futures Markets,20,603-624。 |
29. | Sarno, L.、Valente, G.(2005)。Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts, and International Spillovers。Journal of Applied Econometrics,20,345-376。 |
30. | Chen, Li-Hsueh、Finney, Miles、Lai, Kon(2005)。A Threshold Cointegration Analysis of Asymmetric Price Transmission from Crude Oil to Gasoline Prices。Economics Letters,89,233-239。 |
31. | Du, X.、Yu, Cindy L.、Hayes, D. J.(2011)。Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis。Energy Economics,33(3),497-503。 |
32. | Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。 |
33. | Gagnon, L.、Lypny, G.(1995)。Hedging Short-term Interest Risk Under Time-Varying Distributions。Journal of Futures Markets,15(7),767-783。 |
34. | Brooks, C.、Henry, O. T.、Persand, G.(2002)。The effect of asymmetries on optimal hedge ratios。Journal of Business,75(2),333-352。 |
35. | Zhang, Y. J.、Fan, Y.、Tsai, H. T.、Wei, Y. M.(2008)。Spillover effect of US dollar exchange rate on oil prices。Journal of Policy Modeling,30(6),973-991。 |
36. | Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics,64,307-333。 |
37. | Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics,60,1-22。 |
38. | Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。 |
39. | Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。 |
40. | Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。 |
41. | Aloui, C.、Jammazi, R.(2009)。The effects of crude oil shocks on stock market shifts behaviour: A regime switchong approach。Energy Economics,31,789-799。 |