Reference: | 中文部分 1. 何宗浩(2010), “技術指標、統計模型與資產配置在台灣股市的應用”, 國立台灣師範大學數學系碩士班論文 2. 李信賢(2004), “常態模型轉折點之二元樹搜尋法”, 國立中央大學統計研究所碩士班論文 3. 周家伃(2010), “跳躍風險下狀態轉換模型可解約參與型保單遞迴評價公式:股價指數之實證”, 國立高雄大學統計學研究所碩士班論文 4. 許雁然(2003), “股票市場價格轉折點之研究”, 國立成功大學統計研究所碩士班論文 5. 黃冠華(2008), “技術分析與實証研究-以移動平均線、每週交易日為例”, 國立政治大學財務管理研究所碩士班論文 6. 趙永昱(2002), “技術分析交易法則在股市擇時之實證研究”, 國立中山大學財務管理學系碩士班論文 7. 盧亞鴻(2010), “二維度幾何布朗運動轉折點之估計”, 國立成功大學統計研究所碩士班論文 8. 謝宛純(2011), “馬可夫轉換基礎下技術分析:七種國內外期貨的探討”, 國立政治大學財務管理研究所碩士班論文 英文部分 1. Brock, W. , J. Lakonishok and B. LeBaron(1992), “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns”, The Journal of Finance, 47, 1731-1764 2. Cesari, R. and D. Cremonini(2003),“Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation”, Journal of Economic Dynamics and Control, 27, 987-1011 3. Chen, J. and A. K. Gupta (1997), “Testing and locating variance changepoints with application to stock prices”, Journal of the American Statistical Association, 92, 739-747 4. Chib, S. (1998), “Estimation and comparison of multiple change-point models”, Journal of Econometrics, 2, 221-241 5. Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, 25, 383-417 6. Fama, E. F. (1991), “Efficient Capital Markets: II”, The Journal of Finance, 46, 1575-1617 7. Fukuda, K. (2006), “Monitoring unit root and multiple structural changes: An information criterion approach”, Mathematics and Computers in Simulation, 71, 121-130 8. Hamilton, J. D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, 57, 357-384 9. Hamilton, J. D. (1989), “Analysis of Time Series Subject to Changes in Regime”, Journal of Econometrics, 45, 39-70 10. Lin, S. K. , S. Y. Wang, and P. L. Tsai(2009), “Application of hidden Markov switching moving average model in the stock markets: Theory and empirical evidence”, International Review of Economics & Finance, 306-317 11. Pan, J. M. and J. H. Chen(2006), “Application of modified information criterion to multiple change point problems”, Journal of Multivariate Analysis, 97, 2221-2241 12. Pastor, L. , P. Veronesi(2009), “Learning in Financial Markets”, NBER Working Paper No. 14646 13. Perlin, M. (2011), “MS_Regress - The MATLAB Package for Markov Regime Switching Models”, working paper 14. Priestley, R. (1997), “Seasonality, Stock Returns and the Macroeconomy”, The Economic Journal, 107, 1742-1750 |