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題名：臺灣主要貿易國家匯率風險值之探討
書刊名：僑光學報
作者：黃元甫／張瑞真
作者(外文)：Huang, Yuan-fu／Chang, Jui-chen
出版日期：2008
卷期：30
頁次：頁85-103
主題關鍵詞：匯率；極值理論；GARCH效果；修正Hill估計式；Foreign exchange rate；Extreme value theory；GARCH effect；Var-x
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(2) 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:2
  • 共同引用共同引用:5
  • 點閱點閱:49
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.林楚雄、高子荃、邱瓊儀(20050200)。結合GARCH模型與極值理論的風險值模型。管理學報，22(1)，133-154。new window  延伸查詢new window
4.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
5.Hall, P.(1982)。On Some Simple Estimates of an Exponent of Regular Variation。Journal of the Royal Statistical Society，44(1)，37-42。  new window
6.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
7.Deo, R. S.(2002)。On Testing the Adequacy of Stable Processes Under Conditional Heteroscedasticity。Journal of Empirical Finance，9，257-270。  new window
8.Gnedenko, B. V.(1943)。Sur la distribution limit du terme maximum of d'une se'rie Alea'torie。Annals of Mathematics，44，423-453。  new window
9.Huisman, R.、Koedijk, K.、Kool, C.、Palm, F.(2001)。Tail-lndex Estimates in Small Samples。Journal of Business & Economic Statistics，19，208-216。  new window
10.Jenkinsonc, A. F.(1955)。The Freqency Distribution of the Annual Maximum (or minimum) Values of Meteorological elements。Quarterly Journal of the Royal Meteorology Society，87，145-158。  new window
11.Femandez, Viviana(2003)。Extreme value theory and value at risk。Revista de Analisis Economico，18(1)，57-85。  new window
12.林楚雄、王韻怡(20060300)。考慮GARCH效果下的尾部指數與風險值應用。風險管理學報，8(1)，49-70。new window  延伸查詢new window
13.Huisman, R.、Koedijk, K. G.、Pownall, R. A. J.(1998)。VaR-x: Fat Tails in Financial Risk Management。Journal of Risk，1(1)，47-61。  new window
14.Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business，76(1)，83-108。  new window
15.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
16.Goldie, C. M.、Smith, R. L.(1987)。Slow Variation With Remainder: A Survey of the Theory and its Applications。Quarterly Journal of Mathematics，38(1)，45-71。  new window
17.Quintos, C.、Fan, Z.、Phillips, Peter C. B.(2001)。Structural Change Tests in Tail Behavior and the Asian Crisis。Review of Economic Studies，68(3)，633-663。  new window
18.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal，51(5)，12-24。  new window
19.Vlarr, Peter J. G.(2000)。Value at Risk Models for Dutch Bond Portfolios。Journal of Banking and Finance，24(7)，1131-1154。  new window
20.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
21.Kupiec, P.(1995)。Technique for Verifying the Accuracy of Risk Measurement Models。Journal of Portfolio Management，3(2)，73-84。  new window
22.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
23.Longin, Francois M.、Solnik, Bruno(2001)。Extreme Correlation of International Equity Markets。Journal of Finance，56(2)，649-676。  new window
24.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
25.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
26.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
27.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
28.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
29.Hendricks, D.(1995)。Evaluation of value at risk model using historical data。Federal Reserved Bank of New York Economic Policy Review，2(1)，39-69。  new window
30.McNeil, A.、Frey, R.(2000)。Estimation of Tail-related Risk Measures for Heterocedastic Financial Time Series: An Extreme Value Approach。Journal of Empirical Finance，7，271-300。  new window
31.Koedijk, K.、Stork, P.、De Vries, C. G.(1992)。Differences between Foreign Exchange Rate Regimes: The View from the Tails。Journal of International Money and Finance，11，462-473。  new window
32.Wagner, N.、Marsh, T. A.(2005)。Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes。Journal of Empirical Finance，12，165-185。  new window
33.Koedijk, K.、Schafgans, M. M. A.、De Vries, C. G.(1990)。The Tail Index of Exchange Rate Returns。Journal of International Economics，29(11)，93-108。  new window
會議論文
1.江明珠、連春紅、李政峰(2006)。台灣短期利率的厚尾性質與風險值分析--極值理論的應用與比較。台灣經濟學會與北美華人經濟學會2006年聯合年會研討會。  延伸查詢new window
2.盧陽正、涂登才(2000)。考慮極端事件之VaR風險管理模式。第五屆亞太金融中心學術研討會，1-19。  延伸查詢new window
研究報告
1.Danielsson, J.、de Vries, C. G.(2000)。Value-at-Risk and Extreme Retums。  new window
2.Linsmeier, Thomas J.、Pearson, Neil D.(1996)。Risk Measurement : An Introduction to Value at Risk。Washington University。  new window
3.Danielsson, J.、de Vries, C. G.(1997)。Beyond the Sample: Extreme Quantile and Probability Estimation。Rotterdam：Erasmus University。  new window
學位論文
1.王君文(2001)。極值理論風險值評估模式之探討(碩士論文)。國立中正大學。  延伸查詢new window
2.陳俊宏(2002)。非齊質變異下尾端風險的衡量(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Goorbergh, R. V. D.、Vlaar, P.(1999)。Value-at-Risk: Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?。Econometric Research and Special Studies, Dept. De Nederlandsche Bank.。  new window
2.Gumbel, E. J.(1958)。Statistics of Extremes。New York：Columbia University Press。  new window
單篇論文
1.Danielsson, J.，de Vries, C. G.(1997)。Value at Risk and Extreme Returns，London School of Economics。  new window
 
 
 
 
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