參考文獻 |
[1] Andersen, T. G., T. Bollerslev,” Answering the Skeptics: Yes, Standard Volatility Models do provide Accurate Forecasts”, International Economic Review, Vol. 39, pp.885-905, 1998.
[2] Andersen, T. G., T. Bollerslev, F. X. Diebold, P. Labys, ”The distribution of realized exchange rate volatility”, Journal of the American Statistical Association Vol. 96, pp.42–55, 2001a.
[3] Andersen, T. G., T. Bollerslev, F. X. Diebold, P. Labys, “The distribution of realized stock return volatility”, Journal of Financial Economics Vol. 61, pp.43–76, 2001b.
[4] Andersen, T. G. and T. Bollerslev, “Answering the skeptics: Yes, standard volatility models do provide accurate forecasts”, International Economic Review Vol. 39, pp. 885–905, 1998.
[5] Antoniou A., G. Pescetto, A. Violaris, “Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU countries: A multivariate analysis”, Journal of Business Finance & Accounting, Vol. 30, pp. 645-668, 2003.
[6] Barndorff-Nielsen O.E., N. Shephard, “Estimating quadratic variation using realized variance”, Journal of Applied Econometrics, Vol.17, pp. 457 – 477, 2002.
[7] Barndorff-Nielsen O.E., N. Shephard, "Power and bi-power variations with stochastic volatility and jumps", Journal of Financial Econometrics, Vol. 2, pp.1–48, 2004.
[8] Charlotte C., ”Volatility-Spillover Effects in European Bond Markets”, European Financial Management, Vol. 13, pp.923-948, 2007.
[9] Cumhur E., K. A. Cem, S. E. Meziyet, “Effects of macroeconomic variables on Istanbul stock exchange indexes”, Applied Financial Economics, Vol 15,pp. 987 – 994, 2005.
[10] Diebold F.X., and K. Yilmaz, "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Paper No. 13811, 2008.
[11] Eun C. and S. Shim, "International Transmission of Stock Market Movements", The Journal of Financial and Quantitative Analysis, Vol. 24, pp.241-56, 1989.
[12] French, R. K., G. W. Schwert, and R. F. Stambaugh, “Expected stock returns and volatility”, Journal of Financial Economics Vol. 19, pp.3-20, 1987.
[13] Garman M. B., and M. J. Klass, "On the estimation of security price volatilities from historical data, "Journal of Business, Vol. 53, pp.67–78, 1980.
[14] Kuo W. H., H. Hsinan, M.H. Chiang, “Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan”, Applied Financial Economics, Vol. 18, pp. 421, 2008.
[15] Lieven B.,"Volatility Spillover Effects in European Equity Markets ", Journal of Financial and Quantitative Analysis, Vol. 40, pp.373-401, 2005.
[16] Liu Y. A., M. S. Pan, “Mean and volatility spillover effects in the U.S. and Pacific-basin stock markets“, Multinational Finance Journal, Vol. 1, pp. 47-63, 1997.
[17] Mishra A. K., N. Swain, D. K. Malhotra, “Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence”, International Journal of Business, Vol. 12, pp. 343-348, 2007.
[18] Morelli, D., “The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility Empirical Evidence base on UK Data”, International Review of Financial Analysis, Vol. 11, pp.101-110, 2002.
[19] Sims C. A., “Macroeconomics and Reality,” Econometrica, Vol. 48, pp1-48, 1980.
[20] Talla D. and I. A. Moosa, “Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach”, Emerging Markets Finance and Trade, Vol. 42, pp.78-89, 2006.
[21] Theodossiou, Panayiotis, Lee, Unro, “Mean and volatility spillovers across major national stock markets: Further empirical evidence“, The Journal of Financial Research, Vol.16, pp. 337, 1993.
[22] Wong S. K., K. W. Chau, C. Y. Yiu, “Volatility Transmission in the Real Estate Spot and Forward Markets”, Journal of Real Estate Finance and Economics, Vol. 35, pp. 281-294, 2007. |