3Hamilton J D. A new approach to the economic analysis of nonstationary time series and the business cycle[ J]. Econometrica,1989, (57): 358-384.
4Hamilton J D, Susmel R. Autoregressive conditional heteroskedasticity and changes in regime[J]. Journal of Econometrics, 1994,(64): 307-333.
5Cai J. A markov model of switching-regime ARCH[J]. Journal of Business and Economic Statistics, 1994, (12): 309-316.
6Lamoureux C G, Lastrapes W D. Persistence in variance, structural change and the GARCH model[ J]. Journal of Business and Economic Statistics, 1990, (8): 225-234.
7M J M, McCurdy T H. Identifying bull and bear markets in stock returns[J]. Journal of Business and Economic Statistics, 2000,(18): 100-112.
8BOLLERSLEV T , ENGLE R F, NELSON D B. ARCH models Handbook of Econometrics [ M ]. North - Holland Amsterdam: ENGLE R F and McFadden D, 1994. 2959-3038.
9NEISON D B. Conditional heteroskedasticity in asset returns a new approach[ J ]. Econometrica, 1991,59,347 - 370.
10YEHA Yinhua, LEE Tsunsiou. The interaction and vola tility asymmetry of unexpected returns in the greater China stock markets [ J ]. Global Finance Journal, 2000,11:129- 149.