一、中文部份:
許怡隆，外匯市場風險溢價之探討-----異質條件變異數分析法之研究，政治大學國際貿易研究所碩士論文，民國七十八年六月。

二、英文部份:
1. Baillie, R.T. and T. Bollerslev (1989), -" The message in Daily Exchange Rates: A conditional Variance Tail”', Joumal of Business and Economics Statistics, 7: pp 297-305.
2. Baillie, R. T. and T. Bollerslev (1990), "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exhange Rate Market", Journal of International Money and Finace, 9: pp 309-324.
3. Baba, Y., R.F. Engle, D. F. Kraft, ICF. Kroner (1989), - "Multivariate Simultaneous Genera- lizcd ARCH', D.C. San Diego Working Paper # 89-75.
4. Bollerslev, T. (1986)--" Generalized Auto- regressive Conditional Heteroscedasticity", Journal of Econometrics, 31: pp 307-327.
5. Bollerslev, T. (1988)--" On the Correlation Structure for the Generalized Autogressive Conditional Hetero-scedasticity Process",Journal of Time Series Analysis, 9.2: pp121- 13l.
6. Bollerslev T. (1990)" Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized AR CH Moder, Review of EConomics and Statistics,
7. Bollerslev, T., R.F. Engle, J. M. Wooldridge. (1988), -" A Capital Asset Pricing Model with Time- Va ring Covariance"Journal of Political Economy, 96. 1: pp 116-131.
8. Bollerslev, T. and J. M. Wooldridge. (l988) --" Quasi-Maximum Likelihood Estimation of Dynamic Model with Time- Varing Covariance", M.I. T Working Paper # 505.
9. Dicky, D. A. and VV. A. Fuller (1981)-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica,49,4: pp 1057-1072.
10. Diebold, X. F. (1988)--" Empirical Modeling of Exchange Rate Dynamics", Lecture Notes in Economics and Mathmaica.l System 303, Spring- Verlag Published.
11. Diebold, X. F. and M. Nerlove (1989)-" The Dynamics of Exchange Rate Volatility: A Mul- tivariate Latent Factor AR CH Model, Journal of Applied Econometrics, 1: pp 1-21.
12. Domowitz Ⅰ. and C. S. Hakkio (1985)--" Conditional Variance and the Risk in the Foreign Exchange Market", Journal of International Economics, 19: pp 47-66.
13. Engle, F. R. (1982)--" Autoregressi1)e Con- ditional Heteroscedasticity with Estimates of the Variance of Unitedd Kindom Inflation",Econometrica, 50, 4: pp 987-1007 .
14. Engle, F. R. and T. Bollerslev. (1986)--" Modelling the Persistence of Conditional Variance", Econometric Review, 5: pp 1-50.
15. Engle, F. R. and T. Bollerslev. (1989)" Common Persistence in Conditional Variance", U. C. San Diego Working Paper # 89-75.
16. Engle, F. R., C. W. J. Granger. and D. Kraft. (1984)" Combining Competing Forcasts of Infia- tion using A Bivariate ARCH Moder', Journal of Economic Dynamics and Control, 8: pp 151-165.
17. Engle, F. R. and C. W. J. Granger. (1987)-" Co-intergration and Error Correction: Repres- sentation) Estimation and Testing", Econometrica, 55, 2: pp 251-276.
18. Engle, F. R., T. Ito. and Lin Wen-Ling. (1990) - -" Metero Shower or Heat Wave? Heteroscedas- ticity Intra-Daily Volatility in the Foreign Exchange Market",Econometrica, 58, 3: pp 525-524.
19. Engle, F. R., D. Lilien. and R. Robin (1987)" Estimating Timing Va ring Risk Premia in the Term Struct1Lre: The AR CH-M Model", Econometrica, 55, 2: pp 391-407 .
20. Engle, F. R., V. K. Ng. and M. Rothschild (1990)-" Asset Pricing with a Factor-AR CH Covariance Str?udure: Empirical Estimates for Treasure Bills") Journal of Econometrics, 45: pp 213-237.
21. Engel, C. and P. A. Rodriguez (1989)" Test of International CAP M with Timing Varing Covariance", Journal of Applied Econometrics, 4: pp 119-138.
22. Fama. E. F. (1965)" The Behaviour of Stock Market Prices", Journal of Business, 38: pp 34-105.
23. Friedman. D. and S. Vandersteel (1982)---" Short-Run Fluctuations in Foreign Exchange Rates: Evidence From the Data 1973-1979", Journal of International Economics, 13: pp 171-186.
24. Geweke, J. (1986) )) Comment" Econometric Review , 5: pp 57-61.
25. Henderson. V. H. and S. R. Searle (1979)-" Vec and Vech operators for Matrices) with some uses in Jacobians and Multivariate Statistics", The Canadian Journal of Statistics, 7, 1:pp 65-81.
26. Hsieh. A." D. (1989)--" Modelling HeteTosce- dasticity in Daily Foreign Exchange Rates", Journal of Business and Economics Statistics, 7.3: pp 307-317.
27. Kiminsky. G. and R. Peruga (1990)-" Can a Timing Varing Risk Premium Explain Excess Returns in the Forward ]vI arket for Foreign Exchange? ", Journal of International Economics, 28: pp 47-70.
28. Ljung. G. M. and G.E.P.Box. (1978)-" On a. Measure of Lack of Fit in Time Series Moder', Biometrica, 65.2: pp 297-303.
29. Mandelbrot. B. (1963)-- " The Variation of CeTtain Speculative Prices", Journal of Business, 36: pp 394-419.
30. Meese. R.A. and K. Rogoff. (1983)-" EmpiTical Exchange Rate Models of the Seventies-Do They Fit Out of Sample? "Journal of International Economics, 14: pp 3-24.
31. Meese. R.A. and K.J. Singleton (1982)-" On Unit Root and the Empirical Modeling of Ex- change Rate", Journal of Finance, 37.4: pp 1029-1035.
32. Milhog. A. (1987)-" A Conditional Variance Model for Daily Deviation of Exchange Rate," Journal of Business and Economics Statistics, 5.1: pp 99-103.
33. Nelson. D.B. (1990)- -" Stationary and Persistence in GARCH (1,1) Moder', Econometric Theory, 6: pp 318-334.
34. Pantula, S.C. (1986) " Comment" Econometric Review, 5: pp 71-73.
35. Pagan. A. and A. Ullah. (1988)-" The Econometric Analysis of Models with Risk Terms", Journal of Applied Econometrics, 3: pp 87-105.
36. Weiss. A.A. (1984)--" ARMA Models with ARCH .Error", Journal of Time Series Analysis, 5.2: pp 1-25.
37. Weiss. A.A. (1986)-" Asymptotic Theory for ARCH Model: Estimation and Testing", Econo- metric Theory, 2: pp107-131.
38. White. H. (1982)--" Maximum Likelihood Estimation of Misspecified Moder', Econometrica, 50, 1: pp 1-25.
39 . Wooldridge. J .M. (1990)--" A Unified Approach to Robust Regression-Based Specification Test", Econometric Theory, 6:pp 17-43.