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題名：馬可夫狀態轉換模型與混合分配模型估計風險值之應用--以臺灣發行量加權股價指數為例
書刊名：中原企管評論
作者：洪瑞成 引用關係／鄭婉秀／李命志／張清模
作者(外文)：Hung, Jui-cheng／Cheng, Wan-hsiu／Lee, Ming-chih／Chang, Ching-mo
出版日期：2003
卷期：1:1
頁次：頁45-64
主題關鍵詞：風險值；馬可夫狀態轉換模型；混合常態分配模型；混合誤差分配模型；壓力測試；VaR；Markov switching model；Mixture normal distribution model；Mixture error distribution model；Stress test
原始連結：連回原系統網址new window
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期刊論文
1.McNeil, A. J.、Frey, R.(2000)。Estimation of Tail-related Risk Measure for Heteroscedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance，7(3/4)，271-300。  new window
2.Benet, B. A.(1992)。Hedging period length and ex-ante futures hedging effectiveness: The case of foreign exchange risk cross hedges。Journal of Futures Markets，12，163-175。  new window
3.Hamilton, J. D.(1991)。A quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions。Journal of Business and Economic Statistics，9，27-39。  new window
4.Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance，24(7)，1097-1130。  new window
5.Danielsson, J.、De Vries, C. G.(1997)。Tail Index and Quantile Estimation with Very High Frequency Data。Journal of Empirical Finance，4(2/3)，241-257。  new window
6.Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal，52(6)，47-56。  new window
7.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。  new window
8.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
9.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
10.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
11.Liesenfeld, Roman、Jung, Robert C.(2000)。Stochastic Volatility Models: Conditional Normality versus Heavy-Tailed Distributions。Journal of Applied Econometrics，15(2)，137-160。  new window
圖書
1.Basel Committee on Banking Supervision(199504)。An Internal Model-based Approach to Market Risk Capital Requirements。Basle, Switzerland：Bank for International Settlements。  new window
2.Basel Committee on Banking Supervision(199601)。Amendment to the Capital Accord to Incorporate Market Risks。Basle, Switzerland：Bank for International Settlements。  new window
3.Jorion, P.(1996)。Value at Risk: the new benchmark for controlling market risk。Chicago：Irwin。  new window
4.周大慶、沈大白、張大成、敬永康、柯瓊鳳(2002)。風險管理新標竿--風險值理論與應用。臺北：智勝文化。  延伸查詢new window
其他
1.Basle Committee on Banking Supervision(1995)。An Internal Model-Based Approach to Market Risk Capital Requirements，Basle, Switzerland。  new window
2.林修葳、饒秀華、黎明淵(2000)。藉由馬可夫轉換模型解決風險值計測過程高峰、厚尾與偏態問題--國內主要股市指數實證結果。  延伸查詢new window
3.張家瑋(2002)。狀態轉換模型下涉險值的計算--方法與實證。  延伸查詢new window
4.黃采薇(2002)。馬可夫轉換模型應用於風險值（VaR）之計測--以台灣股價為例。  延伸查詢new window
5.Basle Committee on Banking Supervision(1996)。Overview of the Amendment to the Capital Accord to Incorporate Market Risks，Basel, Switzerland。  new window
6.Basle Committee on Banking Supervision(1996)。Supervisory Framework for the Use of "Back-testing" in Conjunction with the Internal Models Approach to Market Risk Capital Requirements，Basel, Switzerland。  new window
7.Diananda, P. H.(1949)。Note on Some Properties of Maximum Likelihood Estimates。  new window
8.Duffie, D. ; Pan, J.(2001)。Analytical Value-at-Risk with Jumps and Credit Risk。  new window
9.Kim, J. ; Finger, C.(1999)。A Stress Test to Incorporate Correlation Breakdown，RiskMetrics Group。  new window
10.Subbotin, M. T.(1923)。On the Law of Frequency of Errors。  new window
11.Turner, M. C.(1960)。On Heuristic Estimation Methods。  new window
12.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: the Use of Quasi-Bayesian Estimation Techniques。  new window
 
 
 
 
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