5Engle R.F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation [J]. Econometrica, 1982, (50). 被引量:1
6Nelson D. B. Conditional Heteroskedasticity In Asset Returns: A New Approach[J]. Eeonometrica, 1991, (59). 被引量:1
7Pagan A. R. Econometric Issues in the Analysis of Regression with Generated Regressors [J]. International Economic Review, 1984, (25) 被引量:1
2Hamao, Y, Masulis, R W and Ng, V, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies, vol. 3, 281 -307. 被引量:1
3Hamilton, James D, 1994, Time Series Analysis. Princeton University Press. 被引量:1
4King, M, Sentana, E. and Wadhwani, S. 1994, Volatility and links between national stock markets, Econometrica, vol.62, 901 -933. 被引量:1
5King, M, and Wadhwani, S. 1990, transmission of volatility between stock markets, Review of Financial Studies, vol. 3,5- 33. 被引量:1
6Kroner, K F, and Ng, V K. 1998, Modeling asymmetric comovements of asset returns, Review of Financial Studies, vol.11, 817-844. 被引量:1
7Lamoureux, Christopner G, and William D. Lastrapes,1993.Forecasting stock return variance: Toward an understanding of stochastic implied volatilities, Review of Financial Studies vol. 5, 293 - 326. 被引量:1
8Lan, S T and Diltz, J D, 1994, Stock returns and the transfer of information between the New York and Tokyo stock cachanges, Journal of International Money and Finance, vol. 13, 211 -222. 被引量:1
9Mandelbrot, B, 1963, The variation of certain speculative prices, Journal of Business vol. 36, 394- 419. 被引量:1
10Qian S, H S Tong, 2000, The effect of market segmentation on stock pricess: The China syndrome, Journal of Marking &Finance vol. 24, 1875- 1902. 被引量:1