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題名：漲跌幅限制與極值理論在期貨保證金設定上之應用
書刊名：風險管理學報
作者：周恆志／陳勝源 引用關係
作者(外文)：Chou, Heng-chih／Chen, Shen-yuan
出版日期：2004
卷期：6:2
頁次：頁207-228
主題關鍵詞：漲跌幅限制；極值理論；指數期貨；保證金；違約風險；Price limits；Margin；Extreme value theory；Default risk；Index futures
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(3) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:23
期刊論文
1.Hols, M. C.、De Vries, C. G.(1991)。The Limiting Distribution of Extremal Exchange Rate Returns。Journal of Applied Econometrics，6(3)，287-302。  new window
2.Ackert, L.、Hunter, W.(1994)。Tests of a Simple Optimizing Model of Daily Price Limits on Futures Contracts。Review of Financial Economics，4，93-108。  new window
3.Hunter, W. C.(1986)。Rational Margins on Futures Contracts: Initial Margins。Review of Research in Futures Markets，5，160-173。  new window
4.Fisher, R. A.、Tippett, L. H. C.(1928)。Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample。Mathematical Proceedings of the Cambridge Philosophical Society，24(2)，180-190。  new window
5.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Volatility, Price Resolution, and the Effectiveness of Price Limits。Journal of Financial Services Research，3，165-199。  new window
6.Telser, L. G.(1981)。Margins and Futures Contracts。Journal of Futures Markets，1(2)，225-253。  new window
7.Cotter, J.(2001)。Margin exceedences for European stock index futures using extreme value theory。Journal of Banking and Finance，25，1474-1502。  new window
8.De Haan, L.、Resnick, S. I.(1980)。A Simple Asymptotic Estimate for the Index of a Stable Distribution。Journal of the Royal Stat. Soc. B，42，83-87。  new window
9.Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。Annals of Statistics，3，1163-1174。  new window
10.Kim, K. A.、Rhee, S. G.(1997)。Price Limit Performance: Evidence from the Tokyo Stock Exchange。Journal of Finance，52(2)，885-901。  new window
11.Kofman, P.(1993)。Optimizing Futures Margins with Distribution Tails。Advances in Futures and Options Research，6，263-278。  new window
12.Login, F.(1999)。Optimal Margin Levels in Futures Markets: Extreme Price Movements。Journal of Futures Markets，19，127-152。  new window
13.Moser, J. T.(1990)。Circuit Breakers, Economic Perspectives。Federal Reserve Bank of Chicago，14，2-13。  new window
14.Booth, G. G.、Broussard, J. P.、Martikainen, T.、Puttonen, V.(1997)。Prudent Margin Levels in the Finnish Stock Index Futures Market。Management Science，43(8)，1177-1188。  new window
15.Broussard, J. P.、Booth, G. G.(1998)。The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting。European Journal of Operational Research，104，393-402。  new window
16.Embrechts, P. C.(2000)。Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool。Derivatives Use, Trading & Regulation，6(1)，449-456。  new window
17.Fenn, G.、Kupiec, P.(1993)。Prudential margin policy in a futures-style settlement system。Journal of Futures Markets，13(4)，389-408。  new window
18.Figlewski, S.(1984)。Margins and Market Integrity: Margin Setting for Stock Index Futures and Options。Journal of Futures Markets，43(3)，385-416。  new window
19.Gay, G. D.、Hunter, W. C.、Kolb, R. W.(1986)。A Comparative Analysis of Futures Contract Margins。Journal of Futures Markets，6，307-324。  new window
20.Greenwald, B. C.、Stein, J. C.(1991)。Transactional Risk, Market Crashes, and the Role of Circuit Breakers。Journal of Business，64(4)，443-462。  new window
21.Jenkinson, A. F.(1955)。The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements。Quarterly Journal of the Royal Meteorological Society，81，158-171。  new window
22.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
23.Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics，3(1)，119-131。  new window
24.Arak, M.、Cook, R. E.(1997)。Do Daily Price Limits Act as Magnets? The case of Treasury Bond Futures。Journal of Financial Services Research，12(1)，5-20。  new window
25.Brennan, Michael J.(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics，16(2)，213-233。  new window
26.Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review，39(4)，885-905。  new window
27.Loretan, Mico、Phillips, Peter C. B.(1994)。Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory With Applications to Several Financial Datasets。Journal of Empirical Finance，1(2)，211-248。  new window
28.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance，57(3)，1047-1091。  new window
29.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business，53(1)，61-65。  new window
30.Yang, D.、Zhang, Q.(2000)。Drift-independent Volatility Estimation Based on High, Low, Open, and Close Prices。Journal of Business，73，477-491。  new window
會議論文
1.周恆志(2003)。期貨價格的極值行為與保證金設定之研究--以TAIFEX及SGX-DT的指數期貨為例。2003中華決策科學學會研討會。  延伸查詢new window
2.廖盈秋、周建新(2003)。應用極值理論估計台股指數期貨保證金之研究。實踐大學21世紀財務工程發展趨勢對金融投資之影響研討會。  延伸查詢new window
3.Login, F.(1995)。Optimal Margin Levels in Futures Markets: A Parametric Extreme-based Approach。Ninth Chicago Board of Trade Conference on Futures and Options。Bonn。  new window
4.McNeil, A. J.、Saladin, T.(1997)。The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions。28th International ASTIN Colloquium。  new window
圖書
1.Leadbetter, M. R.、Lindgren, G.、Rootzen, H.(1983)。Extremes and Related Properties of Random Sequences and Processes。New York, NY：Springer。  new window
2.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York：John Wiley & Sons。  new window
圖書論文
1.Hahn, M.、Weiner, D. C.(1991)。On Joint Estimation of an Exponent of Regular Variation and an Asymmetry Parameter for Tail Distributions。Sums, Trimmed Sums and Extremes。  new window
2.Fama, E. F.(1989)。Perspectives on October 1987, or What Did We Learn from the Crash?。Black Monday and the Future of Financial Markets。Homewood, IL：Dow Jones-Irwin, Inc.。  new window
 
 
 
 
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