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題名:結合類神經網路與分位數迴歸模型之風險值估計
書刊名:中國統計學報
作者:洪明欽 引用關係
作者(外文):Hung, Ming-chin
出版日期:2002
卷期:40:2
頁次:頁195-214
主題關鍵詞:EWMA模型GARCH模型分位數迴歸模型風險值類神經網路Exponentially weighted moving average modelEWMAGARCH modelNeural networkQuantile regression modelQRSimple moving average modelSMAValue-at-risk
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:2
  • 點閱點閱:16
期刊論文
1.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
2.洪明欽、王德仁(20010600)。臺股加權指數風險值評估--分位數迴歸法之探討。東吳經濟商學學報,33,19-39。new window  延伸查詢new window
3.Alexander, C. O.、Leigh, C. T.(1997)。On the covariances matrices used in Value at Risk models。Journal of Derivatives,4(3),50-62。  new window
4.林修葳、饒秀華、黎明淵(199912)。Mitigating Tail-fatness, Lepto Kurtic and Skewness Problems in VaR Estimation via Markov Switching Settings: An Empirical Study on Major TAIEX Index Returns。Journal of Financial Studies,7(3),61-94。new window  new window
5.Taylor, J. W.(2000)。A Quantile Regression Neural Network Approach to Estimating the Conditional Density of Multiperiod Returns。Journal of Forecasting,19(4),299-311。  new window
6.Taylor, J. W.(1999)。A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns。The Journal of Derivatives,7(1),64-78。  new window
7.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
8.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
9.Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。  new window
10.Koenker, Roger W.、Bassett, Gilbert W. Jr.(1982)。Robust Tests for Heteroscedasticity Based on Regression Quantiles。Econometrica,50(1),43-61。  new window
11.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
學位論文
1.陳若鈺(1999)。風險值(ValueatRisk)的衡量與驗證:台灣股匯市之實證(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Bishop, Christopher M.(1995)。Neural Networks for Pattern Recognition。Oxford University Press。  new window
2.Morgan, J. P.(1996)。Riskmetrics Technical Documents。  new window
3.Jorion, P.(2000)。Value at Risk。McGraw-Hill。  new window
圖書論文
1.Alexander, C.(1996)。Volatility and correlation forecasting。The Handbook of Risk Management and Analysis。Wiley & Sons。  new window
 
 
 
 
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