| Reference: | 參考資料
1. Bollerslev, T. (1986)--"Generalized Autoregressive Conditional Variance Heteroskedasticity", Journal of Econometrics 31: pp 307-327.
2. Bollerslev,T.(1987)--" A Conditional Heteroskedastic Time Series Model for Speculate Prices and Rates of Return ", The Review of Economics and Statistics: pp 542-547.
3. Bollerslev, T. (1988)---" A Note on Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process",Journal of Time Series Analysis 9: pp 121-131.
4. Bollerslev,T.and Engle,R.(1986)---" Modeling the Persistence of Conditional Variance ", Econometric Review 5: pp 1-50 .
5. Bollerslev.T. and Engle,R. and Wooldridge (1988)---" A Capital Assert Pricing Model With Time-Varying Covariance ",---Journal of Political Economicy vol 96,no.2 : pp 116-131.
6. Boothe,P.(1986)--" Foreign Exchange Market Efficiency Test:Implication of Recent Empirical Findings ", Journal of International Money and Finance 5: pp 135-152.
7 Chou,R. Y.(l988)--" Volatility Persistence and Stock Valuations:Some Emperical Evidence Using GARCH". Journal of Applied Econometrics vol 3 : pp 279-294.
8 Cosimano,T. F. and Jansen,D. W.(1988)-" Estimate of the Variance of U.S. Inflation based upon the ARCH Model : A Comment" ,Journal of Money,Credit & Banking vol 20, no 3 : pp 409-421.
9. Diebold.F. and Pauly,P.(1988)---" Endogenous Risk in a Portfolio-Balance Rational Expectation Model of the Deutschemark-Dollar Rate Ecuropean Economics Review 32 : PP 27-53.
10.Diebold,F.(1988a)---" Has the EMS Reduced Member - Country Exchange Volatility? ", Empirical Economices vol 13 : pp 81-102.
11. Diebold, F. (1988b)---" Empirical Modeling of Exchange Rate Dynamics",Lecture Notes in Economics and Mathematical System 303 ,Spring-Verlag published.
12.Diebold,F.(1989)---" The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model ", Journal of Applied Econometrices vol 4, pp 1-21.
13.Dominguez,K. M.(1985)---" Are Foreign Exchange Forecasts Rational? ",Economics Letters 21: pp 277-281.
14.Domowitz,J. and Hakkio,C. (1985)---" Conditional Variance and Risk Premium in the Foreign Exchange Market", Journal of International Economics 19: pp 47-66.
15.Engle,C. and Rodrigues,A. P.(1989)---" Test of International CAPM with Time-Varying Covariances ", Journal of Applied Econometrices vol 4. pp 119-138.
16.Engle,R.(1982)---" Autoregressive Conditional Heteroskedasticity with Estimate of the Variance of U.K.Inflation", Econometrica 50: 987-1008
17.Engle,R.(1983)---" Estimate of the Variance of U.S Inflation Based on the ARCH Model ",Journal of Money Credit and Banking 15: pp 287-30l.
18. Engle,R. ,Granger, C. W. J. and Kraft,d. (1984)---" Combining Competing Forecast of Inflation Using a Bivariate ARCH Model ", Journal of Economics Dynamics and Control 8: pp 151-165.
19. Engle,R. Lillien,D. and Robins,R.(1987)--" Estimating Time Varying Risk Premium in the Term Structure :the ARCH-H Model ", Econometrica 55:pp 391-407.
20.Engle,R.,Victor Ng and Rothschild,M.(1988)--" Assert Pricing with a Factor ARCH Covariance Structure: Estimate for Treasurey Bill ",NBER Technical Working Paper no 65.
21. Fama, E. (1984)---"Forward and Spot Exchange Rate", Journal of Monetary Economics 14 : pp 319-338.
22.Frankel,J. A.(1988)---" Recent Estimate of Time-Variation in the Conditional Variance and in the Exchange Risk Premium", Journal of International Money and Fiance 7 : pp 115-125.
23.French,K. R.,Schwert,G. W.& Stambaugh,R. F.(1987)--"Expected Stock Returs and Volatility", Journal of Financial Economics 19 : pp 3-29.
24.Friedman,B. F.and Kuttner,K. N.(1988)---" Time Vaying Risk Perceptions and the Pricing of Risk Assert ", NBER Working Paper no 2694.
25. Giovannini. A. and Philippe. J. (1987)---"Interest and Risk Premia in the Stock and in the Foreign Exchange Market", Journal of International Money and Fiance 6: pp 107-124.
26. Giovannini,A. and Philippe,J.(1988)---"The Time Varying of Risk and Return in the Foreign Exchange and Stock Market", NBER no 2573.
27.Hodrick,R. and Srivastava,S. (1984)---"An Investigation of Risk and
Return in Forward Foreign Exchange" , Journal of International Money
and Finance 3: pp 5-29.
28.Hodrick,R. and Srivastava,S. (1986)---" The Covariance of Risk and Premium and Expected Future Spot Exchange Rate ", Journal of International Money and Finance 5: (supplyment) pp 5-29.
29.Hsieh,D. A.(1984)---" Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets", Journal of International Economics 17: pp 173-184.
30.Ito,T.(1988)---"Use of (Time Domain) Vector Autoregression to Test Uncovered Interest Parity", Review of Economics and Statistics 296-
31. Ito, T and Canova, F. (1988)--"On Time Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market", NBER no 2678.
32. Lastrapes William, D. (1989)--" Exchange Rate Volatility & U.S Monetary:An ARCH Application ", Journal of Money Credit & Banking vol 21,no 1 pp 66-77.
33.Lee Tom,K. (1988)---" Does Conditional Covariance or Conditional Variance Explain Time Varying Risk Premia in Foreign Exchange Returns? ", Economics Letters 27: pp 371-373.
34.Lucas,R. E.(1982) ---" Interest Rates and Currency Prices in a Two Country World ", Journal of Monetary Economics 10 : pp 335-359.
35.McMuroy,T. H.and Mogrgan,I. G.(1988)---" Testing the Martingate Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity ", Journal of Applied Econometrics 3: 187-202.
36.Milhoj,A.(1985)---" The Moment Structure of ARCH Process " Scand Journal of Statistics 12: pp 281-292.
37.Nelson,C. R. and Kim,C. J.(l988)---" The Time Varying Parameter Model as an Alternative to ARCH for Modeling Changing Conditional variance:The case of Lucas Hypothesis ", NBER Technical Working Paper no 70.
38.Pagan,A. and Ullah,A.(1988)---" The Econometric Analysis of Models with Risk Terms" ,Journal of Applied Econometrics 3 : pp 87-105.
39.Poterba,B. J. and Summers,L. H.(1986)--" The Persistence of Volatility and Stock Market Fluctuation ", American Economic Review Vol 76 no 5: pp 1142-1151.
40.Tsay,R. S.(1987)---" Conditional Heteroscedastic Time Series Model ",J.A.S.A. pp 590-604.
41.Weiss,A. A.(1984)---" ARMAModels with ARCH Errors ", Journal of Time Series Analysis 5: pp 121-143.
42. Wooldridge,J. M. and Bollerslev, T. (1988)---" Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariance", M. I. T Working Paper. |
