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題名:An Extreme Value Theory Approach for Analyzing the Extreme Risk of the Gold Prices
書刊名:財金論文叢刊
作者:張健邦
作者(外文):Jang, Jiahn-Bang
出版日期:2007
卷期:6
頁次:頁97-109
主題關鍵詞:風險值預期損失一般化極值分配一般化柏拉圖分配Value at riskExpected shortfallGeneralized extreme value distributionGeneralized Pareto distribution
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:14
期刊論文
1.Chou, H. C.、Chen, S. Y.(2004)。Price Limits and the Application of Extreme Value Theory in Margin Setting。Journal of Risk Management,6(2),207-228。  new window
2.Neftci, S. N.(2000)。Value at Risk Calculations, Extreme Events and Tail Estimation。Journal of Derivatives,7(3),23-38。  new window
3.Bystrom, Hans N. E.(2005)。Extreme value theory and extremely large electricity price changes。International Review of Economics and Finance,14(1),41-55。  new window
4.Marohn, F.(2005)。Tail index estimation in models of generalized order statistics。Communications in Statistics: Theory & Methods,34(5),1057-1064。  new window
5.Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。  new window
6.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
7.Jenkinson, A. F.(1955)。The frequency distribution of the annual maximum (or minimum) values of meteorological elements。Quarterly Journal of the Royal Meteorological Society,81(348),158-171。  new window
8.Gençay, R.、Selçuk, F.(2004)。Extreme Value Theory and Value at Risk: Relative Performance in Emerging Markets。International Journal of Forecasting,20(2),287-303。  new window
9.Fernandez, V.(2005)。Risk Management under Extreme Events。International Review of Financial Analysis,14(2),113-148。  new window
10.Brooks, C.、Clare, A. D.、Dalle Molle, J. W.、Persand, G.(2005)。A Comparison of Extreme Value Theory Approaches for Determining Value at Risk。Journal of Empirical Finance,12(2),339-352。  new window
11.Gençay, R.、Selçuk, F.(2006)。Overnight Borrowing, Interest Rates and Extreme Value Theory。European Economic Review,50(3),547-563。  new window
12.Smith, R. L.(1985)。Maximum Likelihood Estimation in a Class of Nonregular Cases。Biometrika,72(1),67-90。  new window
圖書
1.Coles, S. G.(2001)。An Introduction to Statistical Modeling of Extreme Values。London:Springer-Verlag。  new window
2.Klüppelberg, C.、Mikosch, T.、Embrechts, P.(1997)。Modeling Extremal Events for Insurance and Finance。Springer-Verlag。  new window
 
 
 
 
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