3Bollerslev, T. Generalized Autoregressive Conditional Heteroskedasticity [ J]. Journal of Econometrics, 1986, (31) :307 -327. 被引量:1
4Campbell, JohnY. and Ludger Hentschel. No news is good News : An symmetric model of changing volatility in stocker Returns [ M ]. Unpublished manuscript, Princeton University, 1990. 被引量:1
5Chiang, ThomasC. and DoongS. C. Empirical Analysis of Stock Returns and Volatility- Evidence from Seven Asian Stock Markets Based on TAR - GARCH Model [ J]. Review of Quantitative Finance and Accounting, 2001, (17) :301 -318. 被引量:1
6Crouhy, Michel and Michael Rockinger. Volatility Clustering Asymmetry and Hysteresis in Stock Returns : International Evidence[ J]. Financial Engineering and the Japanese Markets, 1997, (4) :1 -35. 被引量:1
7Ding, Z., Granger, C. W. J. and Engle, R. F. A long memory property of stock market returns and a new model [ J ]. Journal of Empirical Finance, 1993, (1):83-106. 被引量:1
8Engle, R. F. Autoregressive Conditional heteroskedasticity with estimates of UK inflation[ J]. Econometrica, 1982, (50) :987 - 1008. 被引量:1
9Engle ,R. F. ,and Victor K. Ng. Measuring and testing the impact of news on volatility [ J ]. Journal of Finance,1993, ( 48 ) :1749 - 1778. 被引量:1
10Fama E F. The Behavior of Stock Market Prices [ J ]. Journal of Business,1965. 38. 被引量:1