4Barndorff-Nielsen E O,Shephard N.Power and bipower variation with stochastic volatility and jumps[J].Journal of Financial Econometrics, 2004,2( 1 ) : 1-37.
5Hsieh D A.Statistical properties of daily exchange rates: 1974-1983[J].Joumal of International Economics, 1988,24:129-145.
6Chen S W.GARCH,jumps and permanent and transitory components of volatility:The case of Taiwan exchange rate[J].Mathematics and Computers in Simulation, 2004,67 ( 3 ) : 201-216.
7Johnston K,Scott E.The statistical distribution of daily exchange rate price changes:Dependent vs independent models[J].Journal of Financial and Strategic Decisions, 1999,12(2):39-49.
8Vlaar P,Palm F.The message in weekly exchange rates in the European monetary system: Mean reversion, conditional heteroskedasticity and jumps [J].Journal of Business and Economic Statistics, 1993,11:351-360.