| Reference: | 一、 中文部分
1. 黎明淵， “馬可夫轉換模型應用性與合用性探討”，國立政治大學國際貿易學系博士論文，民國八十九年.
二、 英文部份
1. Bessembinder, H. and Chan, K. (1995),“The Profitability of Technical Trading Rules in the Asia Stock Market”, Pacific-Basin Finance Journal 3, p.257-284
2. Brock,W., Lakonishok, J. and LeBaron, B. (1992), “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,” Journal of Finance, Vol.47, p.1731-1764.
3. Brooks, C. and Persand, G. (2001), “The Trading Profitability of Forecasts of the Gilt--Equity Yield Ratio”, International Journal of Forecasting 17, p.11-29
4. Bergman, U. M. and Hansson, J. (2005), “Real Exchange Rates and Switching Regimes”, Journal of International Money and Finance 24, 121-138
5. Clare, A.D., S.H. Thomas, and M.R. Wickens (1994), Is The Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?, Economic Journal 104, 303–315.
6. Coonter, Paul. H. (1962), “Stock Market Price: Random vs. System Change” , Industrial Management Review, Spring 1962, Vol. 3, Iss. 2, p. 24-45
7. Dacco, R. and Satchell, S. (1995) , “Why Do Regime Switching Models Forecast So Badly”`, Discussion Paper FE-7/95, Birkbeck College
8. Gray, S. F. (1996), “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process”, Journal of Financial Economics, Vol. 42, p.27-62.
9. Goldfeld, Stephen M., and Quandt, Richard E. (1973), “A Markov Model for Switching Regressions”, Journal of Econometrics, Vol.1, p.3-15
10. Hamilton, J. D. (1994) Time Series Analysis, Princeton, NJ: Princeton University Press,.
11. Hamilton, J. D., and Susmel, R. (1994) "Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, Vol.64, P307-333.
12. Hudson, R., Dempsey, M. and Keasey, K. (1996), “A Note on the Weak Form Efficiency of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices–1935 to 1994”, Journal of Banking & Finance, Vol.20, , p.1121-1132.
13. Levich, R. M. and Thomas, L. R. (1993), “The Significance of Technical Trading Rule Profits in The Foreign Exchange Market: A Bootstrap Approach”, Journal of International Money and Finance, Vol.12, p.451-474.
14. Marsh, I. W. (2000), “High-frequency Markov Switching Models in the Foreign Exchange Market”, Journal of Forecasting, 19, 123-134
15. Osler, Carol (2000), "Support for Resistance: Technical Analysis and Intraday Exchange Rates”, FRBNY Economic Policy Review , July 2000, p.53-68
16. Pruitt, S. W. and White, Richard E. (1988), “The CRISMA Trading System: Who Says Technical Analysis Can Not Beat the Market?”, Journal of Portfolio Management, September 1988, p.55-58
17. Taylor, M. P. and Allen, H. (1992),“The Use of Technical Analysis in The Foreign Exchange Market”. Journal of International Money and Finance, Vol. 11, Iss. 3, June 1992, p.304-314
|
