| 期刊論文| 1. | Longin, F. M.(1999)。Optimal Margin Levels in Futures Markets: Extreme Price Movements。Journal of Futures Markets，19(2)，127-152。   | | 2. | Smith, R.(1985)。Maximum Likelihood Estimation in a Class of Non-regular Cases。Biometrika，72，67-90。 | | 3. | Figlewski, S.(1984)。Margins and Market Integrity: Margin Setting for Stock Index Futures and Options。Journal of Futures Markets，4(3)，385-416。 | | 4. | Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business，76(1)，83-108。 | | 5. | 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。 | | 6. | Booth, G. G.、Broussard, J. P.、Martikainen, T.、Puttonen, V.(1997)。Prudent Margin Levels in the Finnish Stock Index Market。Management Science，43，1177-1188。 | | 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。 | | 8. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。 | | 9. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。 | | 10. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 | | 11. | Ackert, L., and Hunter, W.,(1990)。“A Sequential Test Methodology for Detecting Futures Market Disruptions with Applications to Futures Margin Management,”。Review of Future Markets，9(2)，318-341。 | | 12. | Cotter, J.、Mckillop, D.G.(2000)。“The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange,”。Journal of Business Finance and Accounting，27(3/4)，487-510。 | | 13. | Fishe, R., and Goldberg, L., and Gosnell, T., and Sinha, S.,(1990)。“Margin Requirements in Future Markets: The Relationship to Price Volatility,”。Journal of Future Markets，10(5)，541-554。 | | 14. | Gay, G. D., and Hunter, W. C., and Kolb, R. W.,(1986)。“A Comparative Analysis of Future Contract Margins,”。Journal of Future Markets，6(2)，307-324。 | | 15. | Gnedenko, B.V.,(1943)。“Sur la distribution limite dutreme maximum d’une serie aleatoire,”。Annals of Mathematics，44，423-453。 | | 16. | Goldberg, L., and Hachey, A.,(1992)。“Price Variability and Margin Requirements in Foreign Exchange Future Markets,”。Journal of International Money and Finance，11，328-339。 | | 17. | Hall, J.A., Brorsen, B.W., Irwin, S.H.,(1989)。“The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normal Hypothesis,”。Journal of Financial and Quantitative Analysis，24，105-116。 | | 18. | Jackson, Patricia, and Maude, D. J., and Perraudin, Willian,(1997)。'Bank Capital and Value at Risk,'。Journal of Derivatives，Spring，73-89。 | | 19. | Jenkinson, A.F.,(1969)。“Statistics of extremes. Estimation of maximum floods,”。Tech. Note，No. 98，183–227。 | | 20. | Prescott, P. and Walden, A.T.,(1980)。'Maximum-likelihood Estimation of The Parameters of The Three-parameter Generalized Extreme-value Distribution,'。Biometrica，67，723-724。 | | 21. | Prescott, P. and Walden, A.T.,(1983)。'Maximum-likelihood Estimation of The Parameters of The Three-parameter Generalized Extreme-value Distribution Form Censored Sample,'。Journal of Statistical Computation Simulation，16，241-250。 | | 22. | Yang, SR., Brorsen, B.W.,(1993)。'Nonlinear Dynamics of Daily Futures Prices: Conditional Heteroskedasticity of Chaos?'。Journal of Futures Markets,，13，175-191。 | 會議論文| 1. | 林楚雄、謝秀虹(2002)。台股指數期貨保證金水準之設定--極值理論。2002管理創新與新願景研討會。真理大學。 延伸查詢 | | 2. | 黃玉娟、林帛靜(2002)。期貨市場報酬分配之厚尾型態與風險值衡量模式之探討－臺灣臺指期貨與新加坡摩根臺指期貨。 延伸查詢 | 研究報告| 1. | 李存修(2007)。期貨市場各期貨交易契約保證金研究結構比適足性之研究。 延伸查詢 | | 2. | Barone-Adesi, G. and Kostas, G.,(2000)。“Non-parametric VaR techniques. Myths and Realities,”。 | 學位論文| 1. | 張雅惠(2007)。肥尾模型的波動性預測。 延伸查詢 | 圖書| 1. | Gumbel, E. J.(1958)。Statistics of Extremes。New York：Columbia University Press。 | | 2. | Danielsson, J., de Vries, C.G.,(1997)。“Beyond the Sample: Extreme Quantile and Probability Estimation,”(Mimeo)。Rotterdam。 | |