一、中文部分
周雨田、李志宏和巫春洲(2002),台灣期貨對現貨市場的資訊傳遞效果分析」,財務金融學刊,Vol. 10, No. 2, pp1-22.賴郡德,2005,「股價指數期貨引入對現貨市場波動性之影響與比較」,中原大學國際貿易所碩士論文。李忠穎,2002,「台灣現貨與期貨市場價格行為~小型台指期貨創立之影響」,國立台北大學合作經濟學系國際企業組碩士論文。劉炳麟,2002,「CARR模型之實證研究-以台股指數為例」,中央大學財務金融研究所碩士論文。楊奕農(2005): ”時間序列分析”,雙葉出版社。
蔡麗茹和郭福欽(1997),「台灣股票報酬率波動之不對稱性、假日效果之研究------不對稱性P-GARCH模型實證應用」,台灣經濟學會年會論文集,頁187-216。
二、英文部分
Aggarwal, R. (1988),“Stock Index Futures and Cash Market Volatility,” Review of Futures Markets, 7,290-299.
Antoniou, A., and Holmes, P. (1995), “Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH,” Journal of Banking and Finance, 19,117-129.
Black, F. and M. Scholes(1973), “The Pricing of Options and Corporate Liabilies,”Journal of Political Economy, Vol. 81,637-73.
Bollerslev, T. (1986),“Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics, 33:307-327.
Bollerslev, T., Chou, R.Y., and Kroner, K. F. (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52,5-59.
Brady Commission Report, (1988): “Report of the Presidential Task Force on Market Mechanism”
Chou, Ray Y. (2005), “Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) model,” Journal of Money Credit and Banking, 37, 561-582.
Chris Brooks (2002), “Introductory Econometrics for Finance”, Cambridge University Press, P.442-3
Cox, C. C. (1976): “Futures Trading and Market Information,” Journal of Political Economy, 84,1215-1237.
Chang, E., Chou, R.Y. and Nelling, E. (2000): “Market Volatility and the Demand for Hedging in Stock Index Futures,” Journal of Futures Markets, Volume 20, 2,105-125
Edwards, F. R. (1988a): “Does Futures Trading Increase Stock Market Volatility?” Financial Analysts Journal, 44,63-69.
Edwards, F. R.(1988b): “Futures Trading and Cash market Volatility: Stock Index and Interest Rate Futures,” Journal of Futures Markets, 8,421-439.
Engle, R. F. and Bollerslev, T. (1986): “Modeling the Persistence of Conditional Variances,” Econometric Review, 5,1-50.
Engle, R., and J. Russell (1998), “Autoregressive conditional duration: a new model for irregular spaced transaction data,” Econometrica, 66,1128-1162.
Figlewski, S., (1981), “Futures Trading and Volatility in the GNMA market,” Journal of Financial, 36, 445-456.
Lee, S.B. and K.Y. Ohk(1992),“Stock and Index Futures Listing and Structure Change in Time-Varying Volatility, ” Journal of Futures Markets, Vol.12, No.5, 493-509.
Maddala, G. S. and Jiscoo Yoo. (1991), “Risk Premia and Price Volatility in Futures Markets,” Journal of Futures Markets, April:165-178.
Merton, R. C. (1995), “Financial Innovation and the Management and Regulation of Financial Institutions,” Journal of Banking and Finance, 19,461-481.
Nelson, D. B. (1991):“Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59,347-370.
Ross, S. A. (1989), “Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy,” Journal of Finance, 44, 1-17.