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題名:壓力測試的改進:厚尾、偏態與混合分配模型的應用
書刊名:期貨與選擇權學刊
作者:杜化宇林子慶
作者(外文):Tu, Anthony H.Lin, Zih-ching
出版日期:2013
卷期:6:1
頁次:頁23-57
主題關鍵詞:壓力測試厚尾偏態混合分配一般化偏態t分配Stress testsFat-tailSkewnessMixture distributionThe generalized skewed-t distribution
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)
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  • 共同引用共同引用:0
  • 點閱點閱:22
期刊論文
1.Alexander, C., A.、E. Sheedy(2008)。Developing a stress testing framework based on market risk models。Journal of Banking & Finance,32,2220-2236。  new window
2.Azzalini, A.、Capitanio, A.(2003)。Distributions Generated by Perturbation of Symmetry With Emphasis on a Multivariate Skew t-Distribution。Journal of the Royal Statistical Society: Series B (Statistical Methodology),65(2),367-389。  new window
3.Basso R. M.、V.H. Lachos、C.R. Cabral、P. Ghosh(2009)。Robust mixture modeling based on scale mixtures of skew-normal distribution。Computational Statistics and Data Analysis,12,2926-2941。  new window
4.Bauwens L、S. Laurent(2005)。A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Modols。Journal of Business and Economic Statistics,23(3),346-354。  new window
5.Dempster, A. P.、Laird, N. M.、Rubin, D. B.(1977)。Maximum Likelihood Estimation from Incomplete Data via the EM Algorithm。Journal of the Royal Statistical Society: Series B (Statistical Methodology),39(1),1-38。  new window
6.Fama, E.(1963)。Mandelbrot and the stable paretian hypothesis。Journal of Business,36,420-429。  new window
7.Fernandez, C.、M. F. J. Steel(1998)。On Bayesian Modelling of Fat Tails and Skewness。Journal of the American Statistical Association,93,359-371。  new window
8.Jones, M. C.、M. J. Faddy(2003)。A skew extension of the t distribution with applications。Statist. SocB,65,159-174。  new window
9.Kim, J.、Finger, C.(2000)。A stress test to incorporate correlation breakdown。Journal of Risk,2,5-19。  new window
10.Lin, T. I.、Lee, J. C.、H. F, Ni(2004)。Bayesian Analysis of Mixture Modeling Using the Multivariate t Distribution。Statistics and Computing,14,119-130。  new window
11.Lin, T. I.、Lee, J. C.、Yen, S.Y.(2007)。Finite mixture modeling using the skew normal distribution。StatisticaSinica,17,909-927。  new window
12.Shoham, S.(2002)。Robust Clustering by Deterministic Agglomeration EM of Mixtures of Multivariate t-Distributions。Pattern Recognition,35,1127-1142。  new window
13.Shoham, S., M.、M. R., Fellows、R. A. Normann(2003)。Robust, Automatic Spike Sorting Using Mixtures of Multivariate t-Distributions。Journal of Neuroscience Methods,127,111-122。  new window
14.Wang, H. X.、Zhang, Q. B.、Luo, B.、Wei, S.(2004)。Robust Mixture Modelling Using Multivariate t-Distribution With Missing Information。Pattern Recognition Letter,25,701-710。  new window
15.Zangari, P.(1996)。A VaR methodology for portfolios that include options。Risk Metrics Monitor,1,4-12。  new window
16.Azzalini, A.(1985)。A Class of Distributions Which Includes the Normal Ones。Scandinavian Journal of Statistics,12(2),171-178。  new window
17.Fraley, C.、A. E.Raftery(2002)。Model-Based Clustering, Discriminant Analysis, and Density Estimation。Journal of the American Statistical Association,97,611-631。  new window
18.McLachlan, G. J.、D. Peel(2000)。Robust Mixture Modeling Using the t Distribution。Statistics and Computing,10,339-348。  new window
19.Azzalini, A.(1986)。Further Results on a Class of Distributions Which Includes the Normal Ones。Statistica,46(2),199-208。  new window
20.Beber, A.、Brandt, M. W.、Kavajecz, K. A.(2009)。Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market。Review of Financial Studies,22(3),926-957。  new window
21.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives,21(2),2-13。  new window
22.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
圖書
1.McLachlan, G. J.、K. E. Basord(1988)。Models: Inference and Application to Clustering。New York:Marcel Dekker。  new window
2.McLachlan, G. J.、D. Peel(2000)。Mixture Models。New York:Wiely。  new window
3.Titterington, D. M.、A. F. M. Smith、U. E. Markov(1985)。Analysis of Finite Mixture Distributions。New York:Wiely。  new window
 
 
 
 
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