| Reference: | 1. 王冠閔，黃柏農（2004），台灣股﹑匯市與美國股市關聯性探討，臺灣經濟預測與政策，34，31-72
2. 方文碩，王冠閔，董澍琦（2006），亞洲金融危機期間股票市場的蔓延效果，管理評論，25（2），61-82
3. 王冠閔，吳書慧（2006），台灣股、匯市與美國股市傳導機制之實證分析，運籌研究集刊，10，1-15
4. 王冠閔（2007），不對稱訊息下台灣股、匯市與美國股市蔓延效果之預測檢定，人文暨社會科學期刊，3（1），69-80
5. 王怡文，李世昌，李彥賢（2006），日經225股價指數與指數期貨報酬率之動態關係—DCC-GARCH模型分析，元培學報，13，21-34
6. 吳吉林、原鵬飛（2009），信息、政策衝擊和中國股票、债券及外匯市場一體化—基於AG-DCC GARCH模型的金融市市場動態相關性分析，南方經濟，11
7. 李欣儒（2008），以ADCC模型探討衝擊事件對亞洲主要股市間動態相關的影響，台北大學統計所
8. 陳美菊，金融海嘯前後新興亞洲國家資本移動分析，經濟研究，11，321-348
9. 張蕾（2007），金融資產動態相關性方法及應用研究，廈門大學
10. 周雨田，楊士漢（2009），台灣股市與美國那斯達克的動態相關性分析，交通大學企業管理碩士學程
11. 張維敉（2002），金融危機與風險外溢─DCC模型之應用，國立中央大學財務金融研究所
12. 陳盈之（2002），市場訊息變動對外匯波動之不對稱影響與其反轉特性：選擇權市場的證據，國立政治大學財務管理研究所
13. 黎明淵，林修葳，郭憲章，楊聲勇（2003），美、日股市巨幅波動下的股市連動效果－美國、日本與亞洲四小龍股市實證結果，證券市場發展季刊，4，117-144
14. Hyde, Stuart, Don Bredin, and Nghia Nguyen. （2007）. “Correlation Dynamics between Asia-Pacific, EU and US Stock Returns.” In Asia-Pacific Financial Market: Integration, Innovation and Challenges, International Finance Review, vol. 8:39–61.
15. Yasushi Hamao, Ronald W. Masulis and Victor Ng. （1990）. Correlations in Price Changes and Volatility across International Stock Markets, The Review of Financial Studies, 3（2）, 281-307
16. Thomas C. Chiang, Bang Nam Jeon and Huimin Li. （2007）. Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, pp. 1206–1228
17. Yang, J., Zhou, Y., & Leung, W. K. （2010）. Asymmetric correlation and volatility dynamics among stock, bond, and securitized real estate markets. Journal of Real Estate Finance and Economics, forthcoming.
18. Samitas, A., Kenourgios, D., Paltalidis, N. （2007）. Financial crises and stock market dependence. Working paper, EFMA Annual Meeting.
19. Kearney, C., Poti, V. （2006）. Correlation dynamics in European equity markets. Research in International Business and Finance 20（3）, 305–321.
20. Robert F. Engle （1982）. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987–1008.
21. Engle, R. F., and K. Kroner （1995）. “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11, 122–150.
22. Robert F. Engle （2002）. “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models,” Journal of Business and Economic Statistics, 20, 339–350.
23. Cappiello, L., Engle, R., Sheppard, K. （2006）. Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics 4 （4）, 537–572.
24. Bollerslev, T. （1986）. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307–328.
25. R. Engle, V. Ng. （1993）. Measuring and testing the impact of news on volatility, Journal of Finance 48 1749–1778.
26. Christos S. Savva（2008）. International stock markets interactions and conditional correlations, Journal of International Financial Markets, Institutions & Money 19 645–661
27. Brain H. Boyer, Tomomi Kumagai, and Kathy Yuan.（2006）. How Do Crises Spread?, Journal of Finance, 957-1003
28. Rakesh Gupta, A. T. Mollik. （2008）. Volatility, Time Varying Correlation and International Portfolio Diversification: An Empirical Study of Australia and Emerging Markets, International Research Journal of Finance and Economics, Vol. 18
29. Bekaert, G., Harvey, C.R., Lundblad, C., 2002e. Liquidity and expected returns: lessons from emerging markets.Working paper, Columbia, Duke and Indiana Universities.
30. Bekaert, G., Harvey, C.R., Roper, A., 2002f. Large-scale privatization and the dynamics of emerging market equity returns. Working paper, Columbia, Duke and Wisconsin.
31. Bekaert, G., Harvey, C.R., Lundblad, C., 2003a. Equity market liberalization in emerging markets. Federal Reserve Bank of St. Louis Review （in press）
32. .Bekaert, G., Harvey, C.R., Ng, A., 2003b. Market integration and contagion. Journal of Business （in press）.
33. Bekaert, G., 1995. Market integration and investment barriers in emerging equity markets. World Bank Economic Review 9, 75– 107
34. Bekaert, G., Urias, M., 1996. Diversification, integration and emerging market closed-end funds. Journal of Finance 51, 835– 869.
35. Bekaert, G., Urias, M., 1999. Is there a free lunch in emerging market equities? Journal of Portfolio Management 25, Spring, 83– 95.
36. Bekaert, G., Erb, C.B., Harvey, C.R., Viskanta, T.E., 1997. What matters for emerging market investments?
37. Emerging Markets Quarterly 1 （2）, 17– 46. Geert Bekaert, Campbell R Harvey. （2003）. Emerging markets finance, Journal of Empirical Finance Volume 10, Issues 1-2, February 2003, Pages 3-55
38. Yasushi Hamao, Ronald W. Masulis, Victor Ng. （1990）. Correlations in Price Changes and Volatility across International Stock Markets Review of Finance Study, 1157-1189
39. Dimitris Kenourgios, Aristeidis Samitas, Nikos Paltalidis. （2010）. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework, Journal of International Financial Markets, Institutions and Money, 21（1）, 92-106
40. P. Hartmann, S. Straetmans and C. G. de Vries. （2004）. Asset Market Linkages in Crisis Periods, The Review of Economics and Statistics, 86（1）, 313-326
41. Oskar Morgenstern（1959）, The International Spread of Business Cycles, NBER Chapters, in: International Financial Transactions and Business Cycles, 3-39 |
