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題名:三種修正歷史模擬法估計風險值模型之比較
書刊名:風險管理學報
作者:林楚雄 引用關係張簡彰程謝景成
作者(外文):Lin, Chu-hsiungChang Chien, Chang-chengHsieh, Ching-cheng
出版日期:2005
卷期:7:2
頁次:頁183-201
主題關鍵詞:風險值歷史模擬法回溯測試Value-at-riskHistorical simulation methodBacktesting
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(1) 博士論文(1) 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:29
期刊論文
1.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal,51(5),12-24。  new window
2.Billio, M.、Pelizzon, L.(2000)。Value-at-Risk: A Multivariate Switching Regime Approach。Journal of Empirical Finance,7(5),531-554。  new window
3.Boudoukh, J.、Richardson, M.、Whitelaw, R.(1998)。The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk。Risk,11,64-67。  new window
4.Pritsker, M.(1997)。Evaluating Value at Risk Methodologies: Accuracy versus Computational Time。Journal of Financial Services Research,12(2/3),201-243。  new window
5.Vlarr, Peter J. G.(2000)。Value at Risk Models for Dutch Bond Portfolios。Journal of Banking and Finance,24(7),1131-1154。  new window
6.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
7.Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk,4(2),25-41。  new window
8.Kupiec, P.(1995)。Technique for Verifying the Accuracy of Risk Measurement Models。Journal of Portfolio Management,3(2),73-84。  new window
9.Boudoukh, J.、Richardson, M.、Whitelaw, R. F.(1997)。Investigation of a Class of Volatility Estimators。Journal of Derivatives,4(3),63-71。  new window
10.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives,4(3),50-62。  new window
11.Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review,2(1),39-69。  new window
12.Hull, John、White, Alan(1998)。Incorporating Volatility Updating into the Historical Simulation Method for Value-at-risk。Journal of Risk,1(1),5-19。  new window
13.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
14.Barone-Adesi, G.、Giannopoulos, K.、Vosper, L.(1999)。VaR without Correlations for Portfolios of Derivative Securities。Journal of Futures Markets,19(5),583-602。  new window
研究報告
1.Engle, J.、Gizycki, M.(199903)。Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models。  new window
2.Goorbergh, R. V. D.、Vlaar, P.(1999)。Value-at-Risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?。Amsterdmn:Econometric Research and Special Studies Dept. De Nederlandsche Bank。  new window
圖書
1.Box, G. E. P.、Tiao, G. C.(1973)。Bayesian Inference in Statistical Analysis。New York。  new window
2.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY:Morgan Guaranty Trust Company。  new window
3.Jorion, P.(2000)。Value at Risk。McGraw-Hill。  new window
 
 
 
 
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