:::

詳目顯示

回上一頁
題名:指數期貨的極端值行為與保證金水準之設定
書刊名:企業管理學報
作者:周恆志杜玉振 引用關係
作者(外文):Chou, Heng-chihTu, Yu-chen
出版日期:2008
卷期:76
頁次:頁129-164
主題關鍵詞:期貨保證金極端值分配條件極端值分配拔靴複製法指數期貨MarginsExtreme value theoryConditional extreme value theoryBootstrappingIndex futures
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:11
  • 點閱點閱:23
期刊論文
1.Hols, M. C.、De Vries, C. G.(1991)。The Limiting Distribution of Extremal Exchange Rate Returns。Journal of Applied Econometrics,6(3),287-302。  new window
2.周恆志、陳勝源(20040700)。漲跌幅限制與極值理論在期貨保證金設定上之應用。風險管理學報,6(2),207-228。new window  延伸查詢new window
3.Pagan, A.(1996)。The Econometrics of Financial Markets。Journal of Empirical Finance,3(1),15-102。  new window
4.Ackert, L.、Hunter, W.(1994)。Tests of a Simple Optimizing Model of Daily Price Limits on Futures Contracts。Review of Financial Economics,4,93-108。  new window
5.Broussard, J. P.、Booth, G. G.(1998)。The Behavic of Extreme Values in German Stock Index Futures: An Application to Margin Setting。European Journal of Operational Research,104,393-402。  new window
6.De Hann, U.、Stadtmuller, U.(1996)。Generalized Regular Variation of Second Order。Journal of Australian Mathematical Society,Series A,61,381-395。  new window
7.Embrechts, P.、Gruebel, R.(1999)。HARCH Processes Are Heavy Tailed Extremes。Extremes,2,87-93。  new window
8.Figlewski, S.(1984)。Margin and Market Integrity: Margin Setting for Stock Index Futures and Options。Journal of Futures Markets,43,385-416。  new window
9.Hall, P.(1990)。Using the Bootstrap to Estimate Mean Squared Error and Select Smoothing Parameter in Nonparametric Problems。Journal of Multivariate Analysis,32,177-203。  new window
10.Hahn, M.、Weiner, D. C.(1991)。On Joint Estimation of an Exponent of Regular Variation and an Asymmetry Parameter for Tail Distributions,Sums. Trimmed Sums and Extremes。Progress in Probability,30,82-111。  new window
11.McNeil, A. J.(1998)。On Extremes and Crashes。RISK,11,99。  new window
12.Neftci, S. N.(2000)。Value at Risk Calculations, Extreme Events and Tail Estimation。Journal of Derivatives,7(3),23-38。  new window
13.Philips, P. C. B.、McFarland, J. W.、McMahon, P. C.(1996)。Robust Test of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s。Journal of Applied Econometrics,11,1-22。  new window
14.Telser, L. G.(1981)。Why There Are Organized Futures Markets。Journal of Law and Economics,24(1),1-22。  new window
15.De Haan, L.、Resnick, S. I.(1980)。A Simple Asymptotic Estimate for the Index of a Stable Distribution。Journal of the Royal Statistical Society,42,83-87。  new window
16.Embrechts, P.、Resnick, S.、Samorodnitsky, G.(1999)。Extreme Value Theory as a Risk Management Tool。North American Actuarial Journal,3(2),30-41。  new window
17.Ghose, D.、Kroner, K. F.(1995)。The Relationship between GARCH and Symmetric Stable Distributions: Finding the Source of Fat Tails in the Financial Data。Journal of Empirical Finance,2(3),225-251。  new window
18.Longin, F. M.(1999)。Optimal Margin Levels in Futures Markets: Extreme Price Movements。Journal of Futures Markets,19(2),127-152。  new window
19.Dumouchel, W. H.(1983)。Estimating the Stable Index Alpha in Order to Measure Tail Thickness: A Critique。Annals of Statistics,11(4),1019-1031。  new window
20.McNeil, A. J.(1997)。Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory。ASTIN Bulletin,27(1),117-137。  new window
21.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
22.周恆志、曹懋鍇(20040900)。極端值理論於指數期貨保證金設定上之應用。亞太社會科技學報,4(1),69-94。  延伸查詢new window
23.Cotter, J.(2001)。Margin Exceedences for European Stock Index Futures Using Extreme Value Theory。Journal of Banking & Finance,25(8),1474-1502。  new window
24.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
25.McNeil, A. J.、Frey, R.(2000)。Estimation of Tail-related Risk Measure for Heteroscedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance,7(3/4),271-300。  new window
26.Chou, R.Y.(2005)。Forecasting Financial Volatilities with Extreme Value: the Conditional Autoregressive Range Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
27.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
28.Embrechts, P. C.(2000)。Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool。Derivatives Use, Trading & Regulation,6(1),449-456。  new window
29.Fenn, G.、Kupiec, P.(1993)。Prudential margin policy in a futures-style settlement system。Journal of Futures Markets,13(4),389-408。  new window
30.Gay, G. D.、Hunter, W. C.、Kolb, R. W.(1986)。A Comparative Analysis of Futures Contract Margins。Journal of Futures Markets,6,307-324。  new window
31.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
32.Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics,3(1),119-131。  new window
33.Brennan, Michael J.(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics,16(2),213-233。  new window
34.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
35.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
36.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
37.李志宏、李進生、盧陽正(20000400)。新加坡摩根臺指期貨與本國臺指期貨合約稅制、保證金、漲跌設計及替代性之評估。證券市場發展季刊,12(1)=45,147-168。new window  延伸查詢new window
38.Loretan, Mico、Phillips, Peter C. B.(1994)。Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory With Applications to Several Financial Datasets。Journal of Empirical Finance,1(2),211-248。  new window
39.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。  new window
40.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Baer, H. L.、France, V. G.、Moser, J. T.(1994)。Opportunity Cost and Prudentialitv: An Analysis of Futures Clearinghouse Behavior。The World Bank Policy Research Department。  new window
圖書
1.Chambers, J.、Cleveland, W.、Kleiner, B.、Tukey, P.(1983)。Graphical Methods for Data Analysis。Wadsworth。  new window
2.Leadbetter, M. R.、Lindgren, G.、Rootzén, H.(1983)。Extremes and Related Properties of Random Sequences and Processes。New York, NY:Springer。  new window
3.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
圖書論文
1.McNeil, Alexander J.(1999)。Extreme Value Theory for Risk Managers。Internal Modelling and CAD II。RISK Books。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE