| 期刊論文| 1. | Diebold, Francis X.、Li, Canlin(2006)。Forecasting the term structure of government bond yields。Journal of Econometrics，130(2)，337-364。   | | 2. | Christensen, J. H. E.、Diebold, F. X.、Rudebusch, G. D.(2009)。An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model。Econometrics Journal，12(3)，33-64。 | | 3. | Nelson, Charles R.、Siegel, Andrew F.(1987)。Parsimonious Modeling of Yield Curves。Journal of Business，60(4)，473-489。 | | 4. | Pagan Adrian R.(1984)。Econometric issues in the analysis of regressions with generated regressors。International Economic Review，25，221-247。 | | 5. | Bibkov, R.、Chernov, M.(2010)。No-Arbitrage Macroeonomic Determinants of the Yield Curve。Journal of Econometrics，159，166-182。 | | 6. | Diebold, F. X.、Li, C.、Yue, V.(2008)。Global Yield Curve Dynamics and Interactions: A Generalized Nelson-Siegel Approach。Journal of Econometrics，146，351-363。 | | 7. | Engle, R. F.(2011)。GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics。Journal of Economic Perspectives，15(4)，157-168。 | | 8. | Obi, P.、Sil, S.(2015)。A Conceptual Framework for Examining the Impact of Basel 2.5 on Market Risk Capital。Journal of Finance Issues，14(1)，1-12。 | | 9. | Prorokowski, L.、Prorokowski, H.(2014)。Compliance with Basel 2.5: Banks' Approaches to Implementing Stressed VaR。Journal of Financial Regulation and Compliance，22(4)，339-348。 | | 10. | Rudebusch, G. D.、Wu, T.(2008)。A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy。Economic Journal，118，906-926。 | | 11. | Svensson, L. E. O.(1996)。Estimating the Term Structure of Interest Rates for Monetary Policy Analysis。Scandinavian Journal of Economics，98，163-183。 | | 12. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。 | | 13. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。 | | 14. | Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。 | | 15. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。 | | 16. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。 | 研究報告| 1. | Svensson, L. E. O.(1994)。Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994。International Monetary Fund。 | | 2. | Bank for International Settlements(2005)。Zero-Coupon Yield Curve: Technical Documentation。Basel：Bank for International Settlements。 | | 3. | Basel Committee on Banking Supervision(2011)。Messages from the Academic Literature on Risk Measurement for the Trading Book。 | | 4. | Pepe, G.(2013)。Basel 2.5: Potential Benefits and Unintended Consequences。 | 圖書| 1. | Hull, John C.(2012)。Risk Management and Financial Institutions。John Wiley & Sons Inc.。 | | 2. | Dowd, K.(2005)。Measuring Market Risk。Chichester：John Wiley & Sons Ltd.。 | | 3. | Diebold, F. X.、Rudebusch, G. D.(2013)。Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach。Princeton：Princeton University Press。 | 單篇論文| 1. | Basel Committee on Banking Supervision(2010)。Basel III: A global regulatory framework for more resilient banks and banking systems，Bank for International Settlements。 | | 2. | Basel Committee on Banking Supervision(2009)。Analysis of the Trading Book Quantitative Impact Study，Basel：Bank for International Settlements。 | | 3. | Basel Committee on Banking Supervision(2006)。International Convergence of Capital Measurement and Capital Standards，Basel：Bank for International Settlements。 | | 4. | Bank for International Settlements(2015)。Financial Stability Institute - Basel II, 2.5 and III Implementation，Basel：Bank for International Settlements。 | | 5. | Basel Committee on Banking Supervision(2011)。Revisions to the Basel II Market Risk Framework，Basel：Bank for International Settlements。 | | 6. | Basel Committee on Banking Supervision(2013)。Fundamental Review of the Trading Book: A Revised Market Risk Framework，Basel：Bank for International Settlements。 | | 7. | Basel Committee on Banking Supervision(2014)。Fundamental Review of the Trading Book: Outstanding Issues，Basel：Bank for International Settlements。 | | 8. | Basel Committee on Banking Supervision(2016)。Minimum Capital Requirements for Market Risk，Basel：Bank for International Settlements。 | | 9. | European Banking Authority(2011)。EBA Consultation Paper on the Draft Guidelines on Stressed Value At Risk (CP48)，London：European Banking Authority。，https://eba.europa.eu/documents/10180/37853/EBA-BS-2011-166r-%28CP48-on-GL-Stressed-VaR%29-FINAL.pdf。 | 其他| 1. | De Pooter, M.，Ravazzolo, F.，van Dijk, D.(2010)。Term Structure Forecasting Using Macro Factors and Forecast Combination，Federal Reserve Board。 | |