| Reference: | 黃裕烈、管中閔 (2014), “向量自我迴歸模型, 計量方法與 R 程式”。
H. Lutkepohl (2005). New Introduction to Multiple Time Series Analysis.
Koop, G., M.H. Pesaran, and S.M. Potter (1996). Impulse Response Analysis in Non-Linear Multivariate Models. Journal of Econometrics, 74, 119–147.
Pesaran, H.H. and Y. Shin (1998). Generalized Impulse Response Analysis in Linear Multivariate Models. Economics Letters, 58, 17–29.
Markku Lanne and Henri Nyberg (2014). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.
M. Jacomy, S. Heymann, T. Venturini, and M. Bastian (2011). ForceAtlas2, A Continuous Graph Layout Algorithm for Handy Network Visualization.
Claessens, S., Forbes, K.J. (2001). International Financial Contagion. Kluwer Academic Publishers, Boston, Dordrecht and London.
King, M., Sentana, E. and Wadhwani, S. (1994). Volatility and Links Between National Stock Markets. Econometrica, 62(4), 1–33.
Edwards, S., Susmel, R. (2001). Volatility Dependence and Contagion in Emerging Equity Markets. Journal of Development Economics, 66, 505–532
Forbes, K.J. and Rigobon, R. (2002). No Contagion, Only Interdependence Measuring Stock Market Comovements. Journal of Finance, 57(5), 22–61.
Baur, D. (2003). Testing for Contagion - Mean and Volatility Contagion. Journal of Multinational Financial Management, 13, 405–422
Frank, N., Hesse, H. (2009). Financial Spillovers to Emerging Markets During the Global Financial Crisis.
Baur, D., Fry, R. A. (2009). Multivariate Contagion and Interdependence.
Dooley, M. P., Hutchison, M.M., (2009). Transmission of the U.S. Subprime Crisis to Emerging Markets Evidence on the Decoupling-Recoupling Hypothesis.
Diebold, F.X. and K. Yilmaz (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets. Economic Journal, 119, 158–171.
K. Yilmaz (2010). Return and Volatility Spillovers among the East Asian Equity Markets. Journal of Asian Economics, 21(3), 304–313.
Diebold, F.X. and K. Yilmaz (2011). Equity Market Spillovers in the Americas.
Diebold, F.X. and K. Yilmaz (2014). On the Network Topology of Variance Decompositions Measuring the Connectedness of Financial Firms. Journal of Econometrics, 182(1), 119–134.
Demirer, M., Diebold, F.X., Liu, L. and K. Yilmaz (2015). Estimating Global Bank Network Connectedness. |
