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題名:考慮波動與時改變的歷史模擬法之風險值模式
書刊名:財務金融學刊
作者:林楚雄 引用關係張簡彰程
作者(外文):Lin, Chu-hsiungChang Chien, Chang-cheng
出版日期:2007
卷期:15:4
頁次:頁81-102
主題關鍵詞:風險值歷史模擬法一般化條件異質變異數模型指數加權移動平均法Value at riskHistorical simulationGARCH modelEWMA
原始連結:連回原系統網址new window
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  • 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:1
  • 點閱點閱:33
期刊論文
1.Harris, R. D. F.、Shen, J.(2003)。Robust Estimation of the Optimal Hedge Ratio。Journal of Futures Markets,23(8),799-816。  new window
2.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
3.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal,51(5),12-24。  new window
4.Billio, M.、Pelizzon, L.(2000)。Value-at-Risk: A Multivariate Switching Regime Approach。Journal of Empirical Finance,7(5),531-554。  new window
5.Boudoukh, J.、Richardson, M.、Whitelaw, R.(1998)。The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk。Risk,11,64-67。  new window
6.Pritsker, M.(1997)。Evaluating Value at Risk Methodologies: Accuracy versus Computational Time。Journal of Financial Services Research,12(2/3),201-243。  new window
7.Vlarr, Peter J. G.(2000)。Value at Risk Models for Dutch Bond Portfolios。Journal of Banking and Finance,24(7),1131-1154。  new window
8.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
9.Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance,24(7),1097-1130。  new window
10.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
11.Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk,4(2),25-41。  new window
12.林士貴、傅承德、柯子介(20040400)。A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk。財務金融學刊,12(1),81-116。new window  延伸查詢new window
13.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
14.Boudoukh, J.、Richardson, M.、Whitelaw, R. F.(1997)。Investigation of a Class of Volatility Estimators。Journal of Derivatives,4(3),63-71。  new window
15.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Models。Journal of Derivatives,4(3),50-62。  new window
16.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
17.Hull, John、White, Alan(1998)。Incorporating Volatility Updating into the Historical Simulation Method for Value-at-risk。Journal of Risk,1(1),5-19。  new window
18.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
19.Barone-Adesi, G.、Giannopoulos, K.、Vosper, L.(1999)。VaR without Correlations for Portfolios of Derivative Securities。Journal of Futures Markets,19(5),583-602。  new window
20.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。  new window
21.Engle, R. F.(1982)。A General Approach to Lagrange Multiplier Model Diagnostics。Journal of Econometrics,20(1),83-105。  new window
22.Barone-Adesi, G.、Giannopoulos, K.、Vosper, L.(2002)。Backtesting Derivative Portfolios with FHS。European Financial Management,31-58。  new window
23.Butler, J. S.、Schachter, B.(1998)。Estimating Value at Risk by Combining Kernel Estimation with Historical Simulation。Review of Derivatives Research,1,371-390。  new window
圖書
1.Dowd, Kevin(1998)。Beyond Value-at-Risk: The New Science of Risk Management。John Wiley & Sons。  new window
2.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY:Morgan Guaranty Trust Company。  new window
3.Jorion, P.(2000)。Value at Risk。McGraw-Hill。  new window
4.Harvey, A. C.(1981)。The Econometric Analysis of Time Series。The Econometric Analysis of Time Series。Oxford, UK。  new window
其他
1.Goorbergh, R. V. D.,Vlaar, P.(1999)。Value-at-risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?,0。  new window
 
 
 
 
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