:::

詳目顯示

回上一頁
題名:以極端值理估計利率波動性期限結構之研究
書刊名:風險評論
作者:周建新 引用關係陳振宇黃昭穎
作者(外文):Chou, Jian-hsinChen, Chen-yuHuang, Chao-ying
出版日期:2008
卷期:1:1
頁次:頁65-85
主題關鍵詞:柏拉圖分配波動性叢聚移動視窗法Pareto distributionVolatility clusteringMoving window approach
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:3
  • 點閱點閱:33
期刊論文
1.Kroner, Kenneth F.、Harjes, Richard H.、Brenner, Robin J.(1996)。Another Look at Models of the Short Term Interest Rate。Journal of Financial and Quantitative Analysis,31(1),85-107。  new window
2.Dahlquist, Magnus(1996)。On Alternative Interest Rate Processes。Journal of Banking and Finance,20(6),1093-1119。  new window
3.連春紅、廖四郎、李政峰(20050100)。估計與比較連續時間利率模型--臺灣商業本票之實證分析。管理評論,24(1),29-53。new window  延伸查詢new window
4.Ball, C. A.、Torous, W. N.(1999)。The Stochastic Volatility of Short-Term Interest Rate: Some International Evidence。Journal of Finance,54(6),2339-2359。  new window
5.周建新、于鴻福、廖盈秋(20040600)。極值理論與臺股指數期貨合理保證金之估計。交大管理學報,24(1),23-52。new window  延伸查詢new window
6.Aït-Sahalia, Y.(1996)。Testing Continuous-time Models of the Spot Interest Rate。Review of Financial Studies,9(2),385-426。  new window
7.Bali, T. G.、Neftci, S. N.(2003)。Disturbing Extremal Behavior of Spot Rate Dynamics。Journal of Empirical Finance,10(4),455-477。  new window
8.Bekiros, S. D.、Georgoutsos, D. A.(2005)。Estimation of Value-at-Risk by Extreme Value and Conventional Methods: A Comparative Evaluation of Their Predictive Performance。Journal of International Financial Markets, Institutions and Money,15(3),209-228。  new window
9.Booth, G. G.、Broussard, J. P.、Martikainen, T. P.、Puttonen, V.(1997)。Prudent Margin Levels in the Finnish Stock Index Futures Market。Management Science,43(8),1177-1188。  new window
10.Danielsson, J.、De Vries, C. G.(2000)。Value-at-Risk and Extreme Returns。Annales d'Economie et de Statistique,60,239-270。  new window
11.Longin, F. M.(1999)。Optimal Margin Levels in Futures Markets: Extreme Price Movements。Journal of Futures Markets,19(2),127-152。  new window
12.Balkema, A. A.、De Haan, L.(1974)。Residual life time at great age。Annals of Probability,2(5),792-804。  new window
13.Cotter, J.(2001)。Margin Exceedences for European Stock Index Futures Using Extreme Value Theory。Journal of Banking and Finance,25(8),1475-1502。  new window
14.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
15.Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。  new window
16.Longin, F. M.(1996)。The Asymptotic Distribution of Extreme Stock Market Returns。Journal of Business,69(3),383-408。  new window
17.Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics,3(1),119-131。  new window
18.Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance,47(3),1209-1227。  new window
19.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
20.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
會議論文
1.Longin, F. M.(1995)。Optimal Margin Level in Future Markets: A Parametric Extreme-Based Method。Ninth Chicago Board of Trade Conference on Futures and Options。Bonn。  new window
2.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new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE