| 期刊論文1. | Huisman, R.、Koedijk, K. G.、Pownall, R. A. J.(1998)。VaR-x: Fat Tails in Financial Risk Management。Journal of Risk,1(1),47-61。 | 2. | Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。 | 3. | 林楚雄、劉維琪、吳欽杉(19990300)。臺灣股票店頭市場股價報酬波動行為的研究。企業管理學報,44,165-191。 延伸查詢 | 4. | Beder, T. S.(1995)。VAR Seductive but Dangerous。Financial Analysts Journal,51(5),12-24。 | 5. | Danielsson, J.、de Vries, Casper G.(1997)。Tail Index and Quantile Estimation with High Frequency Data。Journal of Empirical Finance,4,241-257。 | 6. | Danielsson, J.、de Vries, Gasper G.、Jorgensen, Bjorn N.(1998)。The Value of Value at Risk: Statistical Financial, Financial, and Regulatory Considerations。FRBNY Economic Policy, Review,4(3),107-117。 | 7. | Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of Distribution。The Annals of Statistics,3(5),1163-1173。 | 8. | Hopper, G.(1996)。Value at Risk: A New Methodology for Measuring Portfolio Risk。Business Review, Federal Reserve Bank of Philadelphia,1996(Jul.),19-31。 | 9. | Hull, J.、White, A.(1998)。Value at Risk When Daily Changes in Market Variables Are Not Normally Distribution。Journal of Derivatives,5(3),9-19。 | 10. | Simons, K.(1996)。Value at Risk-New Approaches to Risk Management。New England Economic Review,1996(Sep./Oct.),3-13。 | 11. | Venkataraman, S.(1997)。Value at Risk for Mixture of Normal Distribution: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives, Federal Reserve Bank of Chicago,21(2),2-13。 | 12. | 沈大白、柯瓊鳳、鄒武哲(19980900)。風險值衡量模式之探討--以臺灣上市公司權益證券為例。東吳經濟商學學報,22,57-76。 延伸查詢 | 13. | Kupiec, P.(1995)。Technique for Verifying the Accuracy of Risk Measurement Models。Journal of Portfolio Management,3(2),73-84。 | 14. | Peter F. C.、Diebold, F. X.、Schuermann, T.(1998)。Horizon Problems and Extreme Events in Financial Risk Management。Economic Policy Review,4(3),98-116。 | 15. | Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal,52(6),47-56。 | 16. | Fornari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH models: Theory and applications to international stock markets。Journal of Applied Econometrics,12(1),49-65。 | 17. | Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives,4(3),50-62。 | 18. | Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review,2(1),39-69。 | 19. | Hull, John、White, Alan(1998)。Incorporating Volatility Updating into the Historical Simulation Method for Value-at-risk。Journal of Risk,1(1),5-19。 | 20. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 | 會議論文1. | 王甡(1999)。VaR風險管理效能及其未來發展。第七届證券暨金融市場理論與實務研討會。高雄:中山大學。 延伸查詢 | 2. | 賀蘭芝(1999)。風險值--極值理論於亞洲金融危機之應用。亞太金融中心學術研討會。高雄縣:義守大學。 延伸查詢 | 3. | 陳炎信(1999)。考慮極端事件之VaR風險管理模式。八十八學年度全國管理碩士論文獎暨研討會。台北。 延伸查詢 | 4. | 鄭義(1999)。VaR風險值評估模型之研究。亞太金融中心學術研討會。高雄縣:義守大學。 延伸查詢 | 研究報告1. | Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(1998)。The Fat-Tailedness of FX Returns。 | 2. | Butler, J. S.、Schacter, B.(1996)。Improving Value-at-Risk Estimates by Combining Kernel Estimation With Historical Simulation。 | 3. | Danielsson, J.、de Vries, Casper G.(1997)。Beyond the Sample: Extreme Quantile and Probability Estimation。London School of Economics。 | 4. | Danielsson, J.、de Haan, L.、Peng, L.、de Vries, Casper G.(1997)。Using Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation。London School of Economics。 | 5. | Huisman, R.、Kool, K. G.、Palm, F.(1997)。Fat Tail in Small Samples。 | 6. | Kees, G. K.、Pownall, R. A. J.(1998)。VaR-X: Risk Management in Emerging Markets。 | 7. | Lopez, J. A.(1997)。Methods for Evaluating Value-at-Risk Estimates。 | 學位論文1. | 康倫年(1999)。Value at Risk 與無母數方法(碩士論文)。國立臺灣大學。 延伸查詢 | 圖書1. | Jorion, P.(1997)。VALUE at RISK-The New Benchmark for Controlling Market Risk。 | 2. | Morgan, J. P.(1995)。Technical Document。Morgan Guaranty Trust Company。 | 其他1. | Danielsson, J.,De Vries, C. G.(1997)。Value at Risk and Extreme Returns。 | |