1Ball, C. A. , Torous, W. N. On Jumps in Stock Returns [J]. Journal of Financial Quantitative Analysis, 1985, (10) :337-351. 被引量:1
2Jarrow, R.A. , Rosenfeld, E. R. Jump Risks and the Intertemporal Capital Asset Pricing Model[ J]. Journal of Business, 1984,57(3) :337-351. 被引量:1
3Akgiray, V. , Booth, G.G. Compound Distribution Models of Stock Returns: An Empirical Comparison[ J]. Journal of Financial Research, 1986, (10):259- 280. 被引量:1
4Jorion, P. On Jump Processes in the Foreign Exchange and Stock Markets [J]. The Review of Financial Studies, 1988, ( 1 ) : 427-445. 被引量:1
6Das, S. R. , Sundaram, R. K. Of Smiles and Smirks : A Term Structure Perspective [J]. Journal of Financial and Quantitative Analysis, 1999,34(10) :211-240. 被引量:1
7Merton, R. C. The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns[ J ]. The Journal of Finance, 1976,31 (2) : 333 -350. 被引量:1
4Longin, F. and Solnik, B. Is the Correlation in International Equity Returns Constant - 1960-1990 [J] . Journal of International Money and Finance, 1995 (14) : 3-26. 被引量:1
5Longin F. and Solnik B. Extreme Correlation of International Equity Markets [J]. Journal of Finance, 2001 (56):649-676. 被引量:1
6Ang A. and Bekaert G. International Asset Allocation with Regime Shifts [J] . Review of Financial Studies, 2002 (15) : 1137-1187. 被引量:1
7Cevdet Aydemir A. Risk Sharing and Counter-cyclical Variation in Market Correlations [J] . Journal of Economic Dynamics and Control, 2008 (32) : 3084-3112. 被引量:1
8Connolly R.A., Stivers C. and Sun L. Commonality in the Time-variation of Stock-stock and Stock-bond Return Comovements [J] . Journal of Financial Markets, 2007 (10) : 192-218. 被引量:1
9Tse Y. K. A Test for Constant Correlations in a Multivariate GARCH Model [J] . Journal of Econometrics, 2000 (98) : 107-127. 被引量:1
10Bera A.K. and Kim S. Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns [J] . Journal of Empirical Finance, 2002 (9) : 171-195. 被引量:1
2Press S J. A component events model for security prices[J]. The Journal of Business, 1967, 40(3): 317-335. 被引量:1
3Chan W H, Maheu J M. Conditional jump dynamics in stock market returns[J]. Journal of Business and Economic Statistics, 2002, 20(3): 377-389. 被引量:1
4Chibu J S, Lee Y H. Jump dynamics and volatility: Oil and the stock markets[J]. Energy, 2009, 34(6): 788-796. 被引量:1
5Zhang C G, Chen X Q. The impact of global oil price shocks on china's stock returns: Evidence from the ARJI(-ht)-EGARCH model[J]. Energy, 2011, 36(10): 6627-6633. 被引量:1
6Maheu J M, McCurdy T H. News arrival, jump dynamics, and volatility components for individual stock returns[J]. The Journal of Finance, 2004, 59(2): 755-793. 被引量:1
7Daal E, Naka A, Yu J S. Volatility clustering, leverage effects, and jump dymamics in the US and emerging Asian equity markets[J]. Journal of Banking and Finance, 2007, 31(8): 2751-2769. 被引量:1
8Chan W H, Young D. A new look at copper markets: A regime-switching model[J]. Review of Futures Markets, 2009, 18(1): 75-85. 被引量:1
9Liu P. Regime-switching GARCH-jump models with autoregressive jump intensity[R]. Canada: University of Western Ontario, Department of Economics, 2010: 1-36. 被引量:1
10Hamilton J D. A new approach to the economic analysis of nonstationary time series business cycle[J]. Econometrica, 1989, 57(2): 357-384. 被引量:1