Reference: | 一、中文部分
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黃文芳,1995,台灣股市價量線性與非線性關係之研究,國立成功 大學企業管理學系碩士論文。
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黃裕烈,1996,Markov Switching Model:台灣實質GNP的應用,國立台灣大學經濟研究所碩士論文。
林益靖,1996,股市交易之價量互動,國立中興大學統計學研究所碩士論文。
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李偉銘,1997,股價指數期貨與現貨價格之關聯性分析-線性與非線性Granger因果關係檢定,國立中興大學經濟學研究所碩士論文。
曾繁仁,1998,台灣股票報酬行為分析-應用Markov Switching 模型,私立淡江大學產業經濟研究所碩士論文。
魏源宏,1998,台灣地區股票集中與店頭市場之價量因果關係探討,私立淡江大學管理科學學系碩士論文。
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二、英文部分
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Filardo, A. J., 1994, Business-Cycle Phases and Their Transition Dynamics, Journal of Business and Economic Statistics 12, 299-308.
Filardo, A. J., 1998, Choosing Information Variables for Transition Probability in a Time-Varying Transition Probability Markov Switching Model, working paper, Federal Reserve Bank of Kansas City.
Hamilton, J. D., 1994, Time Series Analysis, Princeton, NJ, Princeton University Press.
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Hiemstra, C., and J. Jones, 1994, Testing for Linear and Nonlinear Granger Causality in the Stock Price Volume Relationship, Journal of Finance 49, 1639-1664.
Kim, Chang-Jin. , 1994, Dynamics Linear Models with Markov-Switching, Journal of Econometrics 60,1-22.
Lamoureux, C., and W. Lastrapes, 1990, Heteroskedasticity in stock return data:Volume versus GARCH effects, Journal of Finance 45, 221-229.
LeBaron, B., 1992, Persistence of the Dow Jones index on rising volume, Working paper, University of Wisconsin, Madision.
Martikainen, T., V. Puttonen, M. Luoma, and T. Rothovius, 1994, The Linear and Non-linear Dependence of Stock Returns and Trading Volume in the Finnish Stock Market, Applied Financial Economics 4, 159-169. |