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題名:A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
書刊名:財務金融學刊
作者:林士貴 引用關係傅承德柯子介
作者(外文):Lin, Shih-kueiFuh, Cheng-derKo, Tze-jieh
出版日期:2004
卷期:12:1
頁次:頁81-116
主題關鍵詞:風險值厚尾拔靴法重點抽樣變異數縮減多維常態分配多維t分配蒙地卡羅模擬Value-at-riskHeavy-tailedBootstrapImportance resamplingVariance reductionMultivariate normal distributionMultivariate t distributionMonte carlo simulation
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:38
期刊論文
1.Efron, B.(1979)。Bootstrap methods: Another look at the jackknife。The Annals of Statistics,7,1-26。  new window
2.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
3.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
4.Blattberg, Robert C.、Gonedes, Nicholas J.(1974)。A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices。Journal of Business,47(2),244-280。  new window
5.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
6.Cont, R.(2001)。Empirical properties of asset returns: stylized facts and statistical issues。Quantitative Finance,1,223-236。  new window
7.傅承德、Hu, Inchi(2004)。Efficient importance sampling for events of moderate Deviations with applications。Biometrika,91,471-490。  new window
8.Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(1999)。Asymptotically optimal important sampling and Stratification for pricing path-dependent options。Mathematical Finance,9,117-152。  new window
9.Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(1999)。Importance sampling in the Health-Jarrow-Morton Framework。The Journal of Derivatives,7,32-50。  new window
10.Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(2000)。Variance Reduction Techniques for Estimating Value-at-risk。Management Science,46,1349-1364。  new window
11.Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(0)。Portfolio value-risk with heavy-tailed risk factors。Mathematical Finance,12,239-269。  new window
12.Goffinet, B.、Wallach, D.(1996)。Optimized importance sampling quantile estimation。Biometrika,83,791-800。  new window
13.Hall, P.(1990)。Asymptotic properties of the bootstrap for heavy-tail distributions。Annuals of Probability,18,1342-1360。  new window
14.Hall, P.(1990)。Performance of balanced bootstrap resampling in distribution function and quantile problems。Theory Rel. Fields,85,239-260。  new window
15.Hall, P.(1991)。Bahadur representations for uniform resampling and importance Resampling with Applications to Asymptotic Relative Efficiency。Annals of Statistics,19,1062-1072。  new window
16.Horowitz, J. L.(2001)。The Bootstrap。Handbook of Econometrics, Volume 5,3161-3228。  new window
17.Johns, M. V.(1988)。Importance sampling for bootstrap conference intervals。Journal of the American Statistical Association,83,709-714。  new window
圖書
1.Morgan, J. P.(1995)。Riskmetrics Technical Manual。New York, NY:J. P. Margan。  new window
2.Nelsen, Roger B.(1999)。An Introduction to Copulas。New York:Springer。  new window
3.Glasserman, Paul(2003)。Monte Carlo Methods in Financial Engineering。Springer-Verlag。  new window
4.Rachev, S. T.、Mittnik, S.(2000)。Stable Paretian Models in Finance。John Wiley and Sons。  new window
5.Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall。  new window
6.Jorion, P.(2000)。Value at Risk。McGraw-Hill。  new window
7.Anderson, T. W.(1984)。An introduction to multivariate statistical analysis。John Wiley & Sons, Inc.。  new window
8.Hall, P.(1992)。The Bootstrap and Edgeworth Expansion。New York, NY:Springer-Verlag New York Inc.。  new window
9.Efron, Bradley、Tibshirani, Robert J.(1993)。An Introduction to the Bootstrap。Chapman & Hall/CRC。  new window
10.Bucklew, J. A.(1990)。Large Deviation Techniques in Decision, Simulation, and Estimation。Large Deviation Techniques in Decision, Simulation, and Estimation。New York, NY。  new window
11.Embrechts, P.、McNeil, A.、Straumann, D.(1999)。Correlation and Dependence Properties in Risk Management: Properties and Pitfalls。Risk Management: Value at Risk and Beyond。沒有紀錄。  new window
 
 
 
 
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