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題名:亞洲地區風險值模型之績效分析
書刊名:風險管理學報
作者:邱臙珍 引用關係莊益源 引用關係
作者(外文):Chiu, Yen-chenChuang, I-yuan
出版日期:2005
卷期:7:1
頁次:頁5-28
主題關鍵詞:風險值波動率極值理論Value at riskVolatilityExtreme value theory
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(0) 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:0
  • 共同引用共同引用:3
  • 點閱點閱:15
期刊論文
1.Hull, J.、White A.(1998)。Incorporating volatility updating the historical simulation method for Value-at-risk。Journal of Risk,11(2),9-20。  new window
2.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
3.Longin, F. M.(1996)。From Value-at-Risk to Stress Testing: the Extreme Value Approach。Journal of Banking & Finance,24,1097-1130。  new window
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。new window  延伸查詢new window
5.Silvapulle, P.、Granger, C.(2001)。Large Returns, Conditional Correlation and Portfolio Diversification: A Value-at-Risk Approach。Quantitative Finance,58,542-551。  new window
6.Sheather, S. J.、Marron, J. S.(1990)。Kernel quantile estimators。Journal of the American Statistical Association,85,410-416。  new window
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。  new window
8.Lopez, J.(1999)。Methods for Evaluating Value-at-Risk Estimates。Economic Review,12,3-17。  new window
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。  new window
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。  new window
11.Boudoukh, J.、Richardson, M.、Whitelaw, R.(1998)。The Best of Both Worlds。Risk,11,64-67。  new window
12.Hull, John C.、White, Alan D.(1998)。Value at risk when daily changes in market variables are not normally distributed。Journal of Derivatives,5(3),9-19。  new window
13.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
14.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
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。  new window
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。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
19.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review,39(4),841-862。  new window
20.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
21.McNeil, A. J.、Frey, R.(2000)。Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach。Journal of Empirical Finance,7(3/4)=56,271-300。  new window
學位論文
1.高志明(1999)。核心密度函數法在風險值估計的應用與評估(碩士論文)。銘傳大學。  延伸查詢new window
2.魏志安(2002)。核密度分配估計風險值之探討(碩士論文)。國立中正大學。  延伸查詢new window
圖書
1.Zangari, P.(1996)。An Improved Methodology for Measuring VaR。New York:RiskMetrics-Monitor。  new window
2.Gumbel, E.(1958)。Statistic of Extremes。New York:Columbia University Press。  new window
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
4.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY:Morgan Guaranty Trust Company。  new window
5.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
6.Silverman, B. W.(1986)。Density Estimation for Statistics and Data Analysis。Chapman and Hall。  new window
圖書論文
1.Danielsson, J.、De Vries, C. G.(2000)。Value-at-Risk and Extreme Returns。Extremes and Integrated Risk Management。Risk Book。  new window
 
 
 
 
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