一、中文部分
白麗真(1996),「即期與遠期匯率之長期均衡及短期動態關係」,國立臺灣大學財務融 學研究所碩士論文。林俊安(1998),「亞洲風暴中亞太國家匯率變動率對股市波及效果之網狀GARCH研究」,國立臺灣大學財務金融學研究所碩士論文。曾瓊滿(1998),「新台幣NDF對新台幣即期匯價與波動性影響之實證研究」,國立臺灣大學財務金融學研究所碩士論文。蔡佳宏(1998),「台灣股市與匯市間報酬及波動性之外溢效果─GARCH及GMM之應用」,國立政治大學企業管理學研究所碩士論文。鄭如芳(1999),「股市匯市報酬率及其波動性外溢效果分析」,私立淡江大學國際企業學研究所碩士論文。吳慧雅(2000),「無本金交割遠期外匯與即期外匯市場之相關性分析」,私立義守大學管理科學研究所碩士論文。廖育成 (2000),「即期匯率與遠期匯率間關聯性探討」,淡江大學財務金融學研究所碩士論文。李健溢(2001),「亞洲金融危機期間通貨貶值對股票報酬的動態效果」,私立逢甲大學經濟學研究所碩士論文。殷惠緡(2001),「股價與匯價關聯性分析---多變量GARCH模式運用」,私立淡江大學財務金融學研究所碩士論文。林宇文(2003),「股價匯價利率傳遞效果之分析---多變量VAR-EGARCH的應用」,私立逢甲大學經濟學研究所碩士論文。
高志宏(2003),「台灣、日本、南韓股匯市與美國股市相關性之實證研究-GARCH-M模式之應用」,私立東吳大學經濟學研究所碩士論文。二、英文部分
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