Reference: | Hamilton, James D., 1988, Rational Expectation Economic Analysis of Changes in Regimes: An Investigation of the Term Structure of Interest Rates, Journal of Economic Dynamic and Control, 1,385-423. Diebold, Francis X., Joon-Haeng Lee, and Gretchen C. Weinbach, 1994, Regime Switching with Time-Varying Transition Probabilities, in Colin P. Hargreaves, ed.: Nonstationary time series analysis and cointegration (Advanced Texts in Econometrics.Oxford and New York: Oxford University Press). Gray, Stephen F., 1995, An Analysis of Conditional Regime Switching Models,(Duke University). Gray, Stephen F., 1996, Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process, Journal of Financial Economics 42, 27-62. Hamilton, James D., 1990, Analysis of Time Series Subject to Changes in Regime,Journal of Econometrics 45, 39-70. Hamilton, James D., 1994. Time series analysis (Princeton: Princeton University Press). Cai, Jun.,1994, A Markov Model of Switching-Regime ARCH, Journal of Business and Economic Statistics, 12,309-316. Garcia, Rene and Pierre Perron, P., 1996, An Analysis of the Real Interest Rate under Regime Shifts, The Review of Economics and Statistics, 78,112-125. Bekaert, Geert, Robert J. Hodrick, and David A. Marshall, 1997, Peso Problem Expectaton for Term Structure Anomalies, Journal of Economics 48, 241-270. Ang, Andrew and Geert Bekaert. (2002a), International Asset Allocation with Regime Shifts. Review of Financial Studies, vol. 15, no. 4(Fall):1137-1187. Ang, Andrew and Geert Bekaert. (2002b). Regime Switches in Interest Rates. Journalof Business and Economic Statistics, vol. 20, no. 2 (April): 163-182. Ang, Andrew and Geert Bekaert. (2002c). Short Rate Nonlinearities and Regime Switches. Journal of Economic Dynamics and Control, vol. 26, no. 7-8 (July): 1243-1274. Ang, Andrew and Geert Bekaert (2003), How Do Regimes Affect Asset Allocation?,NBER. Working Paper 10080. Pelletier, Denis, 2006, Regime Switching for Dynamic Correlations, Journal of Econometrics 131, 445-473. 沈中華, 1993,台灣遠期美元外匯市場效率性之再檢定—兩狀態Markov 模型的應用,經濟論文叢刊,第21 卷第1 期,87-115 林向愷、黃裕烈與管中閔, 1998,台灣景氣循環轉折點認定與經濟成長率預測,經濟論文叢刊,第26 卷第4 期,431-457 林常青、洪茂蔚與管中閔, 1998, 台灣短期利率的動態行為:狀態轉換模型的應用,經濟論文叢刊,第30 卷,29-55 黎明淵, 2001,馬可夫轉換模型應用性與合用性探討,政治大學國際貿易學研究所博士論文 黃裕烈, 1996, Markov Switching Model:台灣實質GDP 的應用,台灣大學經濟學系研究所博士論文 |