2Braun,P. A, D. B. Nelson, and A. M. Sunier. Good News, Bad News, Volatility, and Betas [ J ]. Journal of Finance, 1995,50(5), 1575 - 1603.
3Poon, S. H. and C. Granger. Forecasting Financial Market Volatility : A Review[J]. Journal of Economic Literature,2003,41 (2) ,478 -539.
4Fornari F. and A. Mele. Sign-and Volatility-Switching ARCH Models:Theory and Applications to International Stock Markets [J]. Journal of Applied Econometrics, 1997,12 ( 1 ) ,49 - 65.
5Glosten L. , R. Jagannathan, and D. Runkle. On the Relation between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks[J]. Journal of Finance, 1993,48 (5). 1779- 1801.
6Engle, R. F,and V. Ng. Measuring and Testing the Impact of News on Volatility[ J]. Journal of Finance, 1993,45 (2), 1749 - 1777.
7Yang, S. and B. Brorsen,Nonlinear Dynamics of Daily Futures Prices:Conditional Heteroskedasticity or Chaos?[J]. Journal of Future Markets, 1993,13(3) ,175 - 191.
8Kyle AS.Continuous auctions and insider trading. Econometrica . 1985