| 參考文獻: | 5. References
Baillie, R.T., Bollerslev, T., Mikkenlsen, H.O. 1996. Fractionally Intergrated Generalized Auroregressive Conditional Heteroskedaticity. Journal of Econometrics 74, PP. 3-30.
Barkoulas, J.T., Baum, C.F., Travlos, N. 2000. Long Memory in the Greek Stock Market. Applied Financial Economics, 10, 177-184.
Burton G.M. 1987. Efficient Market Hypothesis: The New Palgrave. A dictionary of Economics 2, PP. 120-23.
Chordia, T., Roll, R., Subrahmanyam, A. 2008. Liquidity and Market Efficiency. Journal of Econometrics 87, PP.249-268.
Chuang, W.I., Liu, H.H., Susmel, R. 2012. The bivirate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility. Global Finance Journal, In Press, Available Online 13, Elsevier.
Conrad, C. 2010. Non-Negativity Conditions for the Hyperbolic GARCH Model. Journal of Econometrics 157, PP. 441_457.
Ding, Z., Granger, C.W.J., Engle, R.F., 1993. A Long Memory Property of Stock Market Returns amd a New Model. Journal of Empirical Finance, PP83-106.
Gourdazi, H. 2010. Modeling Long Memory in the Indian Stock Market using Fractional Integrated Egarch Model. International Journal of Trade, Economic and Finance, Vol. 1, No. 3, PP. 231-237
Gewek, J., Porter-Hudak, S. 1983. The Estimation and Application of Long Memory Time Series Models. Journal of Times Series Analysis 4, PP. 221-238.
Granger, C. W. J. 1980. Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics, 14, PP. 227-238.
Granger, C. W. J., Joyeux, R. 1980. An introduction to long memory time series model and fractional differencing. Journal of Time Series Analysis, No 1, PP. 15-29.
Hosking, J. R. M. 1981. Fractional Differencing. Biometrica, 68, 165-176.
Lee, J., Kim, T.S., Lee, H.K. 2000. Long Memory in Volatility of Korean Stock Market Returns. Available Online.
Maheu, J.M. 2002. Can GARCH Models Capture the Long-range Dependence in Financial Market Volatility. Studies in Nonlinear Dynamics and Econometrics, 9(4), PP. 1-41.
Mun, M., Brooks, R. 2012. The roles of news and volatility in stock market correlations during the global financial crisis. Emerging Markets Review 13(1), PP. 1-7.
Nazarian, R., Naderi, E., Alikhani N.G., Amiri, A. 2013. Long Memory Analysis: An Empirical Investigation. MPRA, No. 45605.
Poon, H., Granger, C.W.J. 2003. Forecasting Volatility in Financial Markets: A Review Journal of Economic Literature XLI, PP. 478-539.
Vacha, L., Vosvrda, M.S. 2005. Dynamical Agent’s Strategies and the Fractal Market Hypothesis. Prague Economic Papers, No 2, PP. 163-170.
Xiu, J., Jin, Y. 2007. Empirical Study of ARFIMA Model Based on Fractional Differencing. Physia: A 377, PP. 137-184. |
