| 期刊論文1. | Weron, R.(1996)。On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables。Statistics and Probability Letters,28,165-171。 | 2. | Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。 | 3. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。 | 4. | Artzner, Philippe、Delbaen, Freddy、Eber, Jean-Marc、Heath, David(1999)。Coherent measures of risk。Mathematical Finance,9(3),203-228。 | 5. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。 | 會議論文1. | Nolan, J. P.(1999)。Fitting Data and Assessing Goodness-of-fit with Stable Distributions。The ASAIMS Conference on Heavy Tailed Distributions。 | 圖書1. | Danielsson, J.、Jorgensen, B. N.(2005)。Subadditivity Re-Examined: the Case for Value-at-Risk。 | 2. | Yamai, Y.、Yoshiba, T.(2001)。Comparative Analyses of Expected Shortfall and VaR: Their Estimation Error, Decomposition, and Optimization。 | 3. | Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。 | |