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題名:GARCH家族模型對涉險值(VaR)估計的績效評估
書刊名:臺灣銀行季刊
作者:梁雪富
出版日期:2018
卷期:69:1
頁次:頁90-102
主題關鍵詞:厚尾偏態GARCH涉險值匯率波動率槓桿效應
原始連結:連回原系統網址new window
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  • 共同引用共同引用:0
  • 點閱點閱:5
期刊論文
1.Choi, In(1999)。Testing the Random Walk Hypothesis for Real Exchange Rates。Journal of Applied Econometrics,14,293-308。  new window
2.Kim, Jae H.(2009)。Automatic Variance Ratio Test under Conditional Heteroskedasticity。Finance Research Letters,6(3),179-185。  new window
3.González-Rivera, Gloria、Lee, Tae-Hey、Mishra, Santosh(2004)。Forecasting Volatility: a Reality Check Based on Option Pricing, Utility Function, Value-at-risk and Predictive Likelihood。International journal,20(4),629-645。  new window
4.Poon, Ser-Huang、Granger, Clive W. J.(2003)。Forecasting Volatility in Financial Markets: A review。Journal of Economic Literature,41(2),478-539。  new window
5.Miller, Merton H.、Muthuswamy, Jayaram、Whaley, Robert E.(1994)。Mean reversion of Standard & Poor's 500 Index basis changes: Arbitrage-induced or statistical illusion?。Journal of Finance,49(2),479-513。  new window
6.Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review,33(1),137-158。  new window
7.Ding, Zhuanxin、Granger, Clive W. J.(1996)。Modeling volatility persistence of speculative returns: a new approach。Journal of Econometrics,73(1),185-215。  new window
8.Fernández, Carmen、Steel, Mark F. J.(1998)。On bayesian modeling of fat tails and skewness。Journal of the American Statistical Association,93(441),359-371。  new window
9.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
10.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
11.Kim, Jae H.(2006)。Wild bootstrapping variance ratio tests。Economics Letters,92(1),38-43。  new window
12.Escanciano, J. Carlos、Lobato, Ignacio N.(2009)。An automatic portmanteau test for serial correlation。Journal of Econometrics,151(2),140-149。  new window
13.Harvey, Andrew、Sucarrat, Genaro(2014)。EGARCH models with fat tails, skewness and leverage。Computational Statistics & Data Analysis,76,320-338。  new window
14.Sucarrat, Genaro(2013)。Betategarch: Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models。The R Journal,5(2),137-147。  new window
15.Taylor, Stephen J.(1994)。Modeling stochastic volatility: A review and comparative study。Mathematical finance,4(2),183-204。  new window
16.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
17.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
18.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews,5(1),1-50。  new window
19.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
20.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
21.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。  new window
22.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
23.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
24.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
25.Lobato, Ignacio、Nankervis, John C.、Savin, N. Eugene(2001)。Testing for Autocorrelation Using a Modified Box-Pierce Q Test。International Economic Review,42(1),187-205。  new window
研究報告
1.Ghalanos, Alexios(2017)。Introduction to the rugarch package。  new window
2.Harvey, Andrew C.、Chakravarty, Tirthankar(2008)。Beta-t-(e) garch。  new window
圖書
1.Harvey, Andrew C.(2013)。Dynamic models for volatility and heavy tails: with applications to financial and economic time series。Cambridge University Press。  new window
2.Jorion, Philippe(2001)。Financial risk manager handbook 2001-2002。Wiley。  new window
其他
1.Bernardi, Mauro,Catania, Leopoldo,Petrella, Lea(2014)。Are news important to predict large losses?,https://arxiv.org/abs/1410.6898。  new window
圖書論文
1.Bollerslev, T.、Engle, R. F.、Nelson, D. B.(1994)。ARCH models。Handbook of Econometrics。Elsevier Science, Amsterdam:North-Holland。  new window
 
 
 
 
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