一、中文部分
[1]王保進,多變量分析-套裝程式與資料分析,高等教育文化事業有限公司,2004。
[2]李博志,應用計量經濟學,五南書局,2000。
[3]林楚雄、陳宜玫,台灣股票市場風險值估測模型之實證研究,管理學報,第十九卷第四期,737-758,2002。[4]徐健中,狀態空間理論之應用-以台灣貨幣市場為例,中央大學產業經濟研究所,碩士論文,1992。[5]陳雍仁,黃金市場與外匯市場互動關係之研究-以台灣為例,成功大學企業管理研究所,碩士論文,1996。[6]陳詩晴,台灣票券投資組合風險值之評估,輔仁大學金融研究所,碩士論文,2001。[7]曾鴻志,台灣股票市場預測模型,中央大學資訊管理研究所,碩士論文,1993。[8]彭昭英,SAS與統計分析,儒林圖書公司,2004。
[9]葉芝栢、葉芝宇,財務工程-基礎理論與Excel實務模擬,全華科技圖書股份有限公司,2005。
[10]趙偉勝,以狀態空間模型整合基因演算法建立股價預測模型,台北大學企業管理研究所,碩士論文,2001。[11]蔡維溢,以VaR風險計量模型衡量衍生性金融商品之市場風險,中原大學企業管理研究所,碩士論文,1996。[12]羅美合,台灣地區國產車市場銷售量與價格預測模型,中央大學產業經濟研究所,碩士論文,1993。
二、英文部分
[1]Alexander. C. O and Leigh. C. T, On the Covariance Matrices Used in Value at Risk Models, Journal of Derivative, pp. 50-62, 1997.
[2]Bender. T. S, VAR: Seductive but Dangerous, Financial Analysts Journal, pp. 12-24, 1995.
[3]Cerchi. M and Havenner. A, Cointegration and Stock Prices, Journal of Economic Dynamics and Control, pp. 333-346, 1988.
[4]Engle. J and Gizycki. M, Conservatism Accuracy and Efficiency: Comparing Value-at-Risk, Working Paper, Australian Prudential Regulation Authority, 1999.
[5]Havenner. A and Leng. Z, Improved Estimates of the Parameters of State Space Time Series Models, Journal of economic dynamics and control, vol. 20, pp. 767-789, 1996.
[6]Johnston. J, Econometric Methods, 3rd edition, McGraw-Hill, New York, 1984.
[7]Jorion, Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill, New York, 1997.
[8]Lilian. S. Y and Jeffrey. S. P. and Hosking. J. R. M, An Algorithm for Estimating Parameters of State-Space Models, Statistics & Probability Letters vol. 28, pp. 99-106, 1996.
[9]Mittnik. S, Forecasting with Balanced State Space Representations of Multivariate Distributed Lag Models, Journal of Forecasting, vol. 9, pp. 207-218, 1990.
[10]Mittnik. S, Multivariate Time Series Analysis with State Space Models, Computers and Mathematics with Application, vol.17, pp. 1189-1201, 1989.
[11]Ogata. K, Discrete-Time Control System, Prentice-Hall, New York, 1987.
[12]Peter. J. B. and Richard. A. D, Introduction to Time Series and Forecasting, Springer, New York, 2002.
[13]Shumway. R. H, Applied Statistical Time Series Analysis, Prentice-Hall, New Jersey, 1988.
[14]Strejc. V, State Space Theory of Discrete Linear Control, John Willy & Sons, New York, 1981.
[15]Vukina. T and Anderson. J. L, A State-Space Forecasting Approach to Optimal Intertemporal Cross-Hedging, American Journal of Agricultural Economics, Vol. 75, pp.416-424, 1993.