| Reference: | 王怡文. (2010). 總體經濟指標對股市及共同基金相關性之研究-以台灣股市為例.
許溪南、王耀斌、洪銓. (2011). 台灣股票市場成分波動性之分解, 趨勢與影響因素. Web Journal of Chinese Management Review, 14-2.
魏文欽、潘芝伶、蕭翊庭. (2013). 次貸風暴後對台灣股票市場影響之探討. International Journal of Lisrel, 6(2), 32–47.
Alessi, L., Barigozzi, M., & Capasso, M. (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics & Probability Letters, 80(23-24), 1806–1813.
Ando, T., & Bai, J. (2016). Panel data models with grouped factor structure under unknown group membership. Journal of Applied Econometrics, 31(1), 163–191.
Ando, T., & Bai, J. (2017). Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures. Journal of the American Statistical Association, 112(519), 1182–1198.
Argüelles, M., Benavides, C., & Fernández, I. (2014). A new approach to the identification of regional clusters: hierarchical clustering on principal components. Applied Economics, 46(21), 2511–2519.
Baca, S. P., Garbe, B. L., & Weiss, R. A. (2000). The rise of sector effects in major equity markets. Financial Analysts Journal, 56(5), 34–40.
Bottou, L., & Bengio, Y. (1995). Convergence properties of the k-means algorithms. In Advances in neural information processing systems (pp. 585–592).
Boyd, J. H., Hu, J., & Jagannathan, R. (2005). The stock market’s reaction to unemployment news: Why bad news is usually good for stocks. The Journal of Finance, 60(2), 649–672.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57–82.
39
Cavaglia, S., Brightman, C., & Aked, M. (2000). The increasing importance of industry factors. Financial Analysts Journal, 56(5), 41–54.
Chamberlain, G., & Rothschild, M. (1982). Arbitrage, factor structure, and meanvariance analysis on large asset markets.
Diebold, F. X., Li, C., & Yue, V. Z. (2008). Global yield curve dynamics and interactions: a dynamic Nelson–Siegel approach. Journal of Econometrics, 146(2), 351–363.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427–465.
Fan, J., & Li, R. (2001). Variable selection via nonconcave penalized likelihood and its oracle properties. Journal of the American statistical Association, 96(456), 1348–1360.
Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152 164.
Forni, M., & Lippi, M. (2001). The generalized dynamic factor model: representation theory. Econometric theory, 17(6), 1113–1141.
Hallin, M., & Liška, R. (2007). Determining the number of factors in the general dynamic factor model. Journal of the American Statistical Association, 102(478), 603–617.
Hallin, M., & Liška, R. (2011). Dynamic factors in the presence of blocks. Journal of Econometrics, 163(1), 29–41.
Heston, S. L., & Rouwenhorst, K. G. (1994). Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 36(1), 3–27.
Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain longterm stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111–119.
Khan, S. S., & Ahmad, A. (2004). Cluster center initialization algorithm for K-means clustering. Pattern recognition letters, 25(11), 1293–1302.
Kim, Y., Choi, H., & Oh, H.-S. (2008). Smoothly clipped absolute deviation on high dimensions. Journal of the American Statistical Association, 103(484), 1665–1673.
Kuo, W., & Satchell, S. E. (2001). Global equity styles and industry effects: the pre-eminence of value relative to size. Journal of International Financial Markets, Institutions and Money, 11(1), 1–28.
Lin, C.-C., & Ng, S. (2012). Estimation of panel data models with parameter heterogeneity when group membership is unknown. Journal of Econometric Methods, 1(1), 42–55.
Lloyd, S. (1982). Least squares quantization in PCM. IEEE transactions on information theory, 28(2), 129–137.
Meyers, S. L. (1973). A re‐examination of market and industry factors in stock price behavior. The Journal of Finance, 28(3), 695–705.
Roll, R. (1992). Industrial structure and the comparative behavior of international stock market indices. The Journal of Finance, 47(1), 3–41.
Sargent, T. J., & Sims, C. A. (1977). Business cycle modeling without pretending to have too much a priori economic theory. New methods in business cycle research, 1, 145–168.
Tibshirani, R. (1996). Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society: Series B (Methodological), 58(1), 267–288.
Wang, H., Li, R., & Tsai, C.-L. (2007). Tuning parameter selectors for the smoothly clipped absolute deviation method. Biometrika, 94(3), 553–568.
Ward Jr, J. H. (1963). Hierarchical grouping to optimize an objective function. Journal of the American statistical association, 58(301), 236–244.
Zhang, C.-H. (2010). Nearly unbiased variable selection under minimax concave penalty. The Annals of Statistics, 38(2), 894–942.
Zhao, Y., Karypis, G., & Fayyad, U. (2005). Hierarchical clustering algorithms for document datasets. Data mining and knowledge discovery, 10(2), 141–168.
Zou, H., & Hastie, T. (2005). Regularization and variable selection via the elastic net. Journal of the royal statistical society: series B (statistical methodology),
67(2), 301–320. |
