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引文資料
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
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 EWMA
;
VaR
;
Fat-tail
;
Power EWMA
;
Power exponential distribution
原始連結:
連回原系統網址
相關次數:
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:
1
共同引用:0
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。
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。
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。
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。
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。
6.
Hsieh, D.(1989)。Modeling Heteroskedasticity in Daily Foreign Exchange Rates。Journal of Business and Economic Statistics,7,307-317。
7.
Jackson, P.、Maude, D. J.、Perraudin, W.(1997)。Bank Capital & Value at Risk。Journal of Derivatives,73-89。
8.
Koedijk, K. G.、Kool, C.(1994)。Tail Estimates and the EMS Target Zone。Review of International Economics,2,153-165。
9.
Linden, M.(2001)。A Model for Stock Return Distribution。International Journal of Finance and Economics,6,159-169。
10.
Loretan, M.、Phillips, P.(1994)。Testing the Covariance Structure of Heavy-Tailed Time Series。Journal of Empirical Finance,1,211-248。
11.
Nelson, D.、Foster, D.(1994)。Asympototic Filtering Theory for Univariate ARCH Models。Econometrica,62,1-41。
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。
13.
Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review,33(1),137-158。
14.
Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。
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。
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。
17.
Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk,4(2),25-41。
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。
19.
Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。
20.
Boudoukh, J.、Richardson, M.、Whitelaw, R. F.(1997)。Investigation of a Class of Volatility Estimators。Journal of Derivatives,4(3),63-71。
21.
Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。
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。
23.
Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。
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。
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。
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。
27.
Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。
28.
Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review,39(4),841-862。
29.
Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。
30.
Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。
研究報告
1.
Lopez, J.(1998)。Methods for Evaluating Value-at-Risk Estimates。
2.
Engel, J.、Gizycki, M.(1999)。Conservatism, Accuracy & Efficiency: Comparing Value-at-Risk Models。Australian Prudential Regulation Authority。
3.
Huisman, R.、Koedijk, K. G.、Kool, C. J. M.、Palm, F.(1998)。The Fat-Tailedness of FX Returns。
4.
Kaiser, T.(1996)。One-Factor-GARCH Models for German Stocks-Estimation and Forecasting。
學位論文
1.
Wu, F. S.(2003)。Power EWMA Model in Value at Risk Estimation(博士論文)。Soochow University。
圖書
1.
Marrison, Chris(2002)。The Fundamentals of Risk Measurement。New York, NY:McGraw-Hill Book Company。
2.
Drudi, F.、Generale, A.、Majnoni, G.(1997)。Sensitivity of VaR Measures to Differing Risk Models。Banca D`Italia。
3.
Dowd, Kevin(1998)。Beyond Value-at-Risk: The New Science of Risk Management。John Wiley & Sons。
4.
Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。
5.
Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。Irvine:University of California。
6.
Greene, William H.(2000)。Econometric Analysis。Upper Saddle River, New Jersey:Prentice Hall Znternational Inc.。
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