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題名:VaR Evaluation of Bank Portfolio--Conservativeness, Accuracy and Efficiency
書刊名:財務金融學刊
作者:劉美纓 引用關係
作者(外文):Liu, Mei-ying
出版日期:2005
卷期:13:2
頁次:頁97-128
主題關鍵詞:風險值厚尾次方指數分配Power EWMAVaRFat-tailPower EWMAPower exponential distribution
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(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:29
期刊論文
1.Kearns, Phillip、Pagan, Adrian(1997)。Estimating the Density Tail Index for Financial Time Series。The Review of Economics and Statistics,79(2),171-175。  new window
2.Vlaar, P.、Palm, F.(1993)。The message in weekly exchange rates in the European monetary system: Mean reversion, conditional heteroscasticity, and jumps。Journal of Business, Economics and Statistics,11,351-360。  new window
3.Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(2001)。Tail-Index Estimates in Small Samples。Journal of Business & Economic Statistics,19(1),208-216。  new window
4.Jansen, D. W.、De Vries, C. G.(1991)。On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspectives。The Review of Economics and Statistics,73,18-24。  new window
5.Beine, M.、Laurent, S.、Lecourt, C.(2002)。Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates。Applied Financial Economics,12(8),589-600。  new window
6.Hsieh, D.(1989)。Modeling Heteroskedasticity in Daily Foreign Exchange Rates。Journal of Business and Economic Statistics,7,307-317。  new window
7.Jackson, P.、Maude, D. J.、Perraudin, W.(1997)。Bank Capital & Value at Risk。Journal of Derivatives,73-89。  new window
8.Koedijk, K. G.、Kool, C.(1994)。Tail Estimates and the EMS Target Zone。Review of International Economics,2,153-165。  new window
9.Linden, M.(2001)。A Model for Stock Return Distribution。International Journal of Finance and Economics,6,159-169。  new window
10.Loretan, M.、Phillips, P.(1994)。Testing the Covariance Structure of Heavy-Tailed Time Series。Journal of Empirical Finance,1,211-248。  new window
11.Nelson, D.、Foster, D.(1994)。Asympototic Filtering Theory for Univariate ARCH Models。Econometrica,62,1-41。  new window
12.Varma, J. R.(1999)。Rupee-Dollar Option Pricing and Risk Measurement: Jump Processes, Changing Volatility and Kurtosis Shifts。Journal of Foreign Exchange and International Finance,13(1),11-33。  new window
13.Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review,33(1),137-158。  new window
14.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
15.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
16.Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics,3(5),1163-1174。  new window
17.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
18.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
19.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
20.Boudoukh, J.、Richardson, M.、Whitelaw, R. F.(1997)。Investigation of a Class of Volatility Estimators。Journal of Derivatives,4(3),63-71。  new window
21.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
22.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
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
25.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
26.Baillie, Richard T.、Bollerslev, Tim(1989)。The Message in Daily Exchange Rates: A Conditional-Variance Tale。Journal of Business & Economic Statistics,7(3),297-305。  new window
27.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
28.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review,39(4),841-862。  new window
29.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
30.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
研究報告
1.Lopez, J.(1998)。Methods for Evaluating Value-at-Risk Estimates。  new window
2.Engel, J.、Gizycki, M.(1999)。Conservatism, Accuracy & Efficiency: Comparing Value-at-Risk Models。Australian Prudential Regulation Authority。  new window
3.Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(1998)。The Fat-Tailedness of FX Returns。  new window
4.Kaiser, T.(1996)。One-Factor-GARCH Models for German Stocks-Estimation and Forecasting。  new window
學位論文
1.Wu, F. S.(2003)。Power EWMA Model in Value at Risk Estimation(博士論文)。Soochow University。  new window
圖書
1.Marrison, Chris(2002)。The Fundamentals of Risk Measurement。New York, NY:McGraw-Hill Book Company。  new window
2.Drudi, F.、Generale, A.、Majnoni, G.(1997)。Sensitivity of VaR Measures to Differing Risk Models。Banca D`Italia。  new window
3.Dowd, Kevin(1998)。Beyond Value-at-Risk: The New Science of Risk Management。John Wiley & Sons。  new window
4.Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。  new window
5.Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。Irvine:University of California。  new window
6.Greene, William H.(2000)。Econometric Analysis。Upper Saddle River, New Jersey:Prentice Hall Znternational Inc.。  new window
 
 
 
 
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