1Ma C K,Rao R P,Sears S. Limits moves and price resolution: the case of the treasury bond futures market[J]. The Journal of Futures Markets,1989,9:321～335.
2MaC K,Dare W H,Donaldson D R. Testing rationa-lity in futures markets[J]. The Journal of Futures Markets,1990,2:137～152.
3Gay G, Kale J, Kolb R, Noe T. (Micron) Fads in asset prices:evidence from the futures market[J]. The Journal of Futures Markets,1994,6:637～659.
4Chen H W. Price limits overreaction,and price reso-lution in futures markets[J]. The Journal of Futures Markets,1998,18(3):243～263.
5Yulia V. Veld-Merkoulova. Price limit in futures markets: effects on the price discovery process and volatility[J].The Journal of Futures Markets,2003
6Telser L G. Margin and futures contract[J]. The Journal of Futures Makets,1981,1:255～253.
7Brennan M J. A theory of price limits in futures markets[J]. Journal of Financial Economics,1986,16: 213～233.
8Miller M H. Comment:volatility,price resolution,and the effectiveness of price limits[J]. Journal of Financial Services Research,1989,3:201～203.
9Moser J T. Circuit breakers[J]. Economic Per-spectives,Federal Reserve Bank of Chicago,1990,(Septermber/October):2～13.
10France V G,Kodres L,Moser J T. A review of regulatory mechanisms to control the volatility of prices[J]. Economic Perspectives,Federal Reserve Bank of Chicago,1994,(November/December):15～26.
2Han Y W. Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model [ J ]. Journal of East Asian Economic Integration,2011,15 (2) :33 - 41.
3王远林,王辉.金融时间序列分析[M].3版.北京:人民邮电出版社,2012.
4Han Y W. Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: the Asian Crisis vs. the Global Crisis [ J ]. Journal of East Asian Economic Integration, 20 |4, 18(1) :3 -27.
5Wang Z R,Chen X H. Estimating risk of foreign exchange portfolio:u- sing VaR and CVaR based on GARCH - EVT - Copula model [ J ]. Physica A,2010,38( 1 ) :32 -41.
