期刊論文1. | Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Taylor, J. W.(1999)。A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns。The Journal of Derivatives,7(1),64-78。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Koenker, Roger W.、Bassett, Gilbert W. Jr.(1982)。Robust Tests for Heteroscedasticity Based on Regression Quantiles。Econometrica,50(1),43-61。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |