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4. | 莊益源、林文昌、徐嘉彬、邱臙珍(20040100)。靜態與動態風險值模型績效之比較。證券市場發展,15(4)=60,107-159。 延伸查詢![new window](/gs32/images/newin.png) |
5. | Silvapulle, P.、Granger, C.(2001)。Large Returns, Conditional Correlation and Portfolio Diversification: A Value-at-Risk Approach。Quantitative Finance,58,542-551。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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7. | Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives,21(2),2-13。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Lopez, J.(1999)。Methods for Evaluating Value-at-Risk Estimates。Economic Review,12,3-17。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Bystrom, H. N. E.(2004)。Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory。International Review of Financial Analysis,13(2),133-152。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Butler, J. S.、Schachter, B.(1998)。Estimating Value-at-Risk with a Precision Measure by Combining Kernel Estimation with Historical Simulation。Review of Derivatives Research,1,371-390。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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15. | Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance 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) |
16. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | 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) |
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圖書1. | Zangari, P.(1996)。An Improved Methodology for Measuring VaR。New York:RiskMetrics-Monitor。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Gumbel, E.(1958)。Statistic of Extremes。New York:Columbia University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | 蔣炤平、林允正、李進生、謝文良、陳達新、盧陽正(2001)。風險管理:風險值(VaR)理論與應用。新竹:清蔚科技股份有限公司。 延伸查詢![new window](/gs32/images/newin.png) |
4. | Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY:Morgan Guaranty Trust Company。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Silverman, B. W.(1986)。Density Estimation for Statistics and Data Analysis。Chapman and Hall。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |